C 14.00, column 0040 Securitisation Type

How should a credit institution populate column 0040 of COREP table C 14.00 in the event that (i) the transaction has all the characteristics to meet the definition of ‘securitisation’ as defined in point (1) of Article 2 of Regulation (EU) 2017/2402, and; (ii) the transaction does not fully satisfy the definition of any of the securitisation types available to select from on the reporting form. For example, a transaction that meets the definition of ‘securitisation’ per point (1) of Article 2 of Regulation (EU) 2017/2402 and whose structure closely resembles that of a traditional securitisation, however does not involve an SSPE (i.e. the transfer of the economic interest in the exposures being securitised occur directly between originator and investor / sponsor).

According to Annex II to Regulation (EU) 2021/451, Institutions shall report one of the following on COREP form C14.00 column 0040 (Securitisation Type): - ABCP programme; - ABCP transaction; - Traditional securitisations other than NPE securitisations; - Non-qualifying NPE securitisations; - Qualifying NPE securitisations; - Synthetic transaction; The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in Article 242, points (11) to (14), of Regulation (EU) No 575/2013; the definitions of ‘qualifying traditional NPE securitisations’ and ‘NPE securitisations’ are provided in Article 269a(1) of Regulation (EU) No 575/2013. It is possible for a transaction to be in scope for reporting in form C14.00 on the basis that all the characteristics of a ‘securitisation’ per point (1) of Article 2 of Regulation (EU) 2017/2402 exist, while also not meeting the full definition of any of the securitisation types available to report on column 0040 of C 14.00.  This question has been raised to clarify the approach that should be taken by credit institutions to report column 0040 of C 14.00 in such cases.