Question
How should the maturity profile of the covered assets be reported?
Background on the question
If assets have a longer maturity profile than the bonds (ie mortgages), how should this be reflected in the template? And should the asset projection consider the minimum required over collateralisation or the current level over collateralisation?
Answer
Q&A 2015_1891 answers the first question of this Q&A. The maturity profile of the cover pool assets should be noted in {F35.00, c150 to c200} following the instruction of Annex XVII to Regulation (EU) No 680/2014 (ITS on supervisory reporting). The asset projection should consider the current level of overcollateralization. Following the Annex XVII, chapter 5.2.3: c160 to 200: “Amounts [of assets in the cover pool] shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates, expected maturity is to be used in a consistent manner”. c150: the amounts reported are the amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.