EBA · 2018_4408 Final Q&A

Securitisations reporting in C 09.04 for v 2.8

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2018-12-06
Answered
2019-06-07
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How should the securitisations under the new framework be reported in template C 09.04 in v 2.8?

Background

In the consultation paper regarding securitisations in v 2.9, template C 09.04 is amended to take into account the new securitisations framework. In this amendment, r060 was deleted and r050 was changed to take into account all securitisations. However, this amendment is not in v 2.8 which will cover the transitional period when some securitisations under the new framework may be issued. In which of the rows should these new securitisations be reported (r050 or r060)?

Answer

In reporting framework v 2.8, and for reporting purposes, securitisations under the new securitisations framework shall be allocated in the following manner for template C 09.04 Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting): Securitisations under the SEC-IRBA approach should be reported in row 060; Securitisations under all remaining approaches (SEC-SA, SEC-ERBA and Other) should reported in row 050.

Original source: European Banking Authority, Q&A ID 2018_4408

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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