Question
Do institutions need to report the residual maturity of the cover pool assets or the residual maturity of the covered bonds the assets are backing in the maturity ladder of the Cover Pool Assets (C 150-C 200)?
Background on the question
There are only interpretations and not a clear specification of which residual maturity is required.
Answer
In the Annex XVII to Regulation (EU) No 680/2014 (ITS on supervisory reporting), chapter 5.2.3, instructions for col. 150 state that the template include the amounts of assets in the cover pool. The instruction for col. 160 clarifies that the amounts shall be provided at the reporting date, assuming no change in the cover pool compared to the reporting date, except for amortization. The expected maturity should be used for amounts outstanding at future dates, that is to say the residual maturity of the cover pool assets.