Template C.14 - Validation rule v11873_m - {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140}

Applicability of validation rule v11873_m introduced with DPM 3.2 in force starting from June 2023, which at the moment does not allow the reporting of values under column c140 – TOTAL AMOUNT OF SECURITISED EXPOSURES lower than the sum of columns c230 (SENIOR), c240 (MEZZANINE) and c250 (JUNIOR) positions of Template C.14.00.

Validation rule v11873_m requires that column 0140 (outstanding amount of the securitised exposures) should be at least equal to or higher than the sum of columns c0230/c0240/c0250 (total amount of Senior, Mezzanine and Junior tranches of the securitisation). The formula cannot always be verified for all kind of securitisation transactions, depending a) on their structure, b) timing of the notes payment dates and c) refund/amortisation plan. For example, in the case of a securitisation without significant risk transfer during their initial revolving period (if any), the outstanding amount of the tranches remains unchanged, whilst at the reporting date the amount of securitised exposures reported in column 0140 is expected to be lower on the basis of the portfolio amortisation; additionally, in our experience, revolving transfers do not match perfectly the amount of amortised portfolio to be replenished. Another example would be represented by amortising securitisation transactions (with and without significant risk transfer) where the payment date of the tranches does not align with the COREP reporting date. Considering that column 0140 is fed with the outstanding amount of securitised exposures net of any collections stemming from the ABS underlying portfolio (and legally segregated in the SPV) and that those amounts are distributed to the note holders only at the relevant Payment Date, then this new VR cannot always be verified.