EBA · 2017_3352 Final Q&A

Validation rule v4795_m, C 13.00 - Securitisations

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2017-06-16
Answered
2017-08-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In the case where an institution did not originate any positions in a securitisation what values should be reported in column 010 of template C13.00?

Background

Validation rule v4795_m indicates that column 010 (‘Total amount of securitisation exposures originated)’ of template C 13.00 must be greater than or equal to column 050 (‘Original exposure pre conversion factors’). The instructions to template C 13.00 (Annex II of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)), column 010, state: ‘Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction’, which suggests that only originator institutions should complete this column. In the event that an institution is a reporting (i.e. investor) institution but not an originating institution, should zero is reported in column 010, which is less than the original exposure in column 050?

Answer

It is correct that institutions shall fill in column 010 of template C 13.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) only for originated positions. Consequently, validation rule v4795_m may fail for rows 010 and 020 of this template, because the total amount of originated exposures can be smaller than the total original exposure from all securitisation positions held by the reporting institution if the institution does not assume the role of an originator. The same issue arises with regard to rows 010 and 020 of template C 12.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and validation rules v4792_m. Validation rules v4792_m and v4795_m will be amended in the future.

Original source: European Banking Authority, Q&A ID 2017_3352

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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