EBA · 2021_6290 Rejected question

Failed XBRL Rule v7370_m - Securitisations

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2021-11-23
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Question

Although BPI is identified as the "originator" (BPI's role - column C0110 from template C.14.00 of report COREP_OF)  of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402 - the main purpose of this securitisation (issued in 2018) was to close the loan portfolio of Banco BPI's Paris branch), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 (template C.14.00) request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable to this securitisation. Banco BPI would like to know if you confirm our understanding?

Background

During the normal validation process done Banco de Portugal to COREP submission (June 2021 position) XBRL rule v7370_m failed (template COREP_OF_Con C.14.00), and BPI comment: Although BPI is identified as the "originator" (BPI's role) of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable. Later Banco BPI received the following answer from Banco de Portugal: "The VR indeed fail as 303 is empty and this not match the condition having C0110 with Originator role. In case BPI cannot fit none of the other 3 possible value for C0110, the most appropriate way of addressing this issue is raising a Q&A".
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6290

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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