EBA · 2023_6865 Rejected question

C14.00 - v11661_m - Attachment and Detachment points

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
N/A
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2023-08-09
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Question

The EBA Validation Rule v11661_m states that: For all securitization programs (on-balance or off-balance) the attachment point (AP) of the senior tranche must be higher than the detachment point (DP) of the first loss tranche. Should this control be applicable?

Background

The EBA Validation Rule v11661_m applicable to C14.00 COREP template states that for all securitization programs (on-balance or off-balance) the attachment point of the senior tranche must be higher than the detachment point of the first loss tranche. According to the Implementation Technical Standards, specific information related to attachment point / detachment point is not expected to be reported in case the institution does not hold any position. Therefore, if an institution does not hold any position (e.g. the senior tranche), this information should not be reported.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6865

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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