EBA · 2023_6837 Rejected question

Template C.14 - Validation rules v11662_m - if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0230} > 0)) then ({C 14.00, c0231} != empty and {C 14.00, c0231} != 1) and v11663_m if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0250} > 0)) then ({C 14.00, c0251} != empty and {C 14.00, c0251} != 0)

Name: Template C.14 - Validation rules v11662_m - if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0230} > 0)) then ({C 14.00, c0231} != empty and {C 14.00, c0231} != 1) and v11663_m if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0250} > 0)) then ({C 14.00, c0251} != empty and {C 14.00, c0251} != 0): EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 430
Topic: Supervisory reporting - COREP (incl. IP Losses)
Submitted by: Credit institution
Submitted: 2023-07-13

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Question

Range of applicability of validation rules v11662_m and v11663_m introduced with DPM 3.2 in force starting from June 2023.

Background

The above-mentioned validation rules require that Attachment and Detachment points should always be reported when Senior (column 0230) and/or Junior (column 0250) tranches are reported. However, when all the notes of the securitisation are fully retained by the originator and the securitised exposures are consequently kept in the balance sheet (e.g. self-securitisations) no risk is transferred outside of the originating institution. Thus, in this context Attachment and Detachment points are divested of significance from a substantial point of view, considering the risk neutrality for the Bank acting as originator and as sole bondholder. In addition, Annex II instructions refer to Article 256 paragraphs (1) and (2) of Reg. 2401/2017 for Attachment and Detachment points respectively. From this point of view the above-mentioned article should only be applicable to securitisations with Significant Risk Transfer that fall under the CRR securitisation framework.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6837

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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