EBA · 2022_6397 Rejected question

Validation rule v7371 - Securitization Template C 14.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99, para. 1
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-03-14
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Question

Should validation rule v7371 be a blocking error in case of a securitisation transaction under a replenishment period?

Background

The validation rule is implemented to check whether the total value of the securitised exposures in c140 of C14.00 equals the sum of columns c230, c240 and c250. In certain securitisation transactions, where a replenishment period is prescribed, tranche amortization is not always allowed. Therefore, during the period between the last replenishment date and the reference date, the amortization of the underlying pool of exposures (securitised exposures) might generate a gap between the amount reported in c140 and the sum of columns c230, c240 and c250.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6397

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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