EBA · 2014_902 Final Q&A

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 090

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
N/A
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Individual
Submitted
2014-03-05
Answered
2014-09-05
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Field 090 - % of Retention at Reporting Date. Do we report percentage retention at reporting date or at origination? Secondly, how are Investor positions to be reported given the information is not publicly available?

Background

The field, stated as required to be reported for Investor and Originator positions, is entitled "... at Reporting Date" however the guidelines suggest that the percentage reported can be at origination i.e. not dynamic. Which is it? Secondly, percentage retention does not appear to be a requirement for disclosure in the prospectus. How do we therefore report this for Investor positions?

Answer

According to Article 405(1)  of the Regulation (EU) No. 575/2013 (CRR), the net economic interest shall be measured at origination and maintained on an ongoing basis. Column 090 "% OF RETENTION AT REPORTING DATE" of C 14.00 Template (CR SEC Details) shall display either the percentage resulting from a dynamic readjustment if it has been re-measured or the percentage measured at origination.   Under the due diligence requirements (Article 406(1)(a) of the CRR), investors are required to have the information disclosed under Article 405(1)  of the CRR on the net economic interest that originators, sponsors and original lenders retain and maintain in a securitization. According to Article 409 of the CRR, this information shall be provided to investors by originators, sponsors and original lenders. These requirements are not applicable to securitisations issued before 1 January 2011 (Article 404 of the CRR).

Original source: European Banking Authority, Q&A ID 2014_902

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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