EBA · 2023_6869 Rejected question

Validation rule v11873_m - Securitization Template C 14.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2023-08-17
Browse ECB SSM Register → More Q&As on this regulation →

Question

Should validation rule v11873_m be amended for securitisation programs under an active replenishment period?

Background

In COREP 14.00, validation rule v11873_m is implemented to check whether the total value of the securitised exposures which are reported in column 0140 of C 14.00 is greater or equal to the sum of the senior, mezzanine and first loss securitisation positions. The rule check performed is {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140}.   However, in certain synthetic 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) can lead to a gap between the amount reported in c0140 and the sum of columns c0230, c0240 and c0250.   How can institutions overcome this technical issue for as long as the replenishment period is active?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6869

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.

Similar Q&As

Template C 14.00 - Validation rule v11661_m - ({C 14.00, c0231} >= {C 14.00, c0251}) or ({C 14.00, c0265} >= {C 14.00, c0251}) - If value missing (but table prerequisites met) “treat as zero/empty string”, Template C 13.01 – Validation rule v7430_m - {c0710} = {c0720} + {c0740} + {c0760} + {c0830} + {c0850}

Answered 2024-04-26

Validation rule v7378 - securitization templates C 13.01 and C 14.01

Answered 2021-09-10

v7386_m and v7387_m (COREP)

Answered 2022-10-28

Validation rule v4795_m, C 13.00 - Securitisations

Answered 2017-08-04

Validation Rules

Answered 2014-03-21

More Q&As on this topic

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)

Answered 2025-12-05

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.