Template C 14.00 column 0287 & Template C 14.01, column 0362

Pursuant to Template C 14.00 (column 0287) and Template C 14.01 (column 0362) of the Regulation (EU) 2021/451 (Version: Reporting Framework 3.2) the synthetic excess spread (SES) should be reported under the section “off-balance sheet items and derivatives”. Does this indicate that all synthetic securitisations have to be reported under “off-balance sheet items and derivatives”? More specifically, does the balance sheet treatment of the securitisation positions in columns 0310 – 0400 refer to the securitisation position itself (i.e. all the columns must be either on-balance or off-balance (e.g. off-balance in case of a CDS)) or to the underlying (i.e. the underlying loans must be reported as on-balance and the synthetic excess spread as off-balance; the result is that in the same row (corresponding to one securitisation position) different columns are reported which can refer to both on- and off-balance positions))? E.g.: An institution acts as originator in a direct synthetic securitisation of loans. There are three tranches (junior, mezzanine, senior) and a synthetic excess spread. Significant risk transfer is achieved. The underlying exposures remain on the balance sheet of the originator.

The Capital Markets Recovery Package (CMRP), which came into force on 9 April 2021, has amended the Regulation (EU) 2017/2402 (Securitisation Regulation) and the Regulation (EU) No 575/2013 (CRR) in several aspects. The changes included i.a. the creation of a specific framework for simple, transparent and standardised (STS) on-balance-sheet securitisations and the introduction of the obligation to back SES with own funds.   In this context the Regulation (EU) 2021/451 (ITS on supervisory reporting of institutions) was amended by the Reporting Framework 3.2 and columns for the reporting of synthetic excess spread were included (see Template C 14.00 column 0287 and Template C 14.01, column 0362). In both templates the SES is listed under “off-balance sheet items and derivatives”.