EBA · 2013_568 Final Q&A

Column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” to be reported only from originator institutions.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
250, para. b
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Industry association
Submitted
2013-11-27
Answered
2014-04-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)

Question

Why is the column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” not shown greyed for the rows concerning Investor and Sponsor?

Background

According to article 250 (b) CRR this effect is only possible for originator institutes.

Answer

Column 360 of CR SEC SA (C 12.00) template should be grey shaded for investors and sponsors (rows 110 13240). According to Articles 249 and 250 of Regulation (EU) No 575/2013 (CRR), maturity mismatches only affect the calculation of risk-weighted exposure amounts for securitised exposures of the originator institution of a synthetic securitisation.

Original source: European Banking Authority, Q&A ID 2013_568

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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