EBA · 2023_6870 Rejected question

Validation rule v7364_m - Securitisation 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
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Question

Should validation rule v7364_m take into account other eligible asset types for the underlying pool of exposures?

Background

In COREP 14.00, validation rule v7364_m is implemented to check the compliance of a securitisation programme with articles 26b to 26e of securitisation regulation (2402/2017). The check performed is: if {c0446} = TRUE then ({c0040} in {[eba_RT:x19], [eba_RT:x12], [eba_RT:x13]} or ({c0040} = [eba_RT:x10] and {c0160} in {[eba_UE:x20], [eba_UE:x23]})).   This rule implies that a synthetic securitisation programme's underlying asset type has to be either loans to SMEs treated as retail or loans to SMEs treated as Corporates, in order to qualify for differentiated capital treatment. However, the validation rule does not cover other eligible asset types according to article 1 of Regulation 2019/1851 (e.g. residential loans or credit facilities provided to any type of enterprise or corporation) which are deemed to be homogeneous as well.   Should the validation rule be expanded to cover other eligible asset types?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6870

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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