Response to consultation on ITS on Supervisory Reporting amendments with regards to COREP securitisation

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Question 1: There is a need to have the breakdown by approach of the exposure values, RWAs and capital charge after cap. The current template C 14.00 cannot address this for cases where there is more than one approach in the same securitisation. Our proposal is to split template C 14.00 in two parts, where the first part is the information that does not change with different approaches and the second part (C 14.01) is the information that changes with different approaches. Template C 14.01 would be broken down by sheets, where each sheet would be a different approach. This option leads to more lean templates, it does not provide additional burden for cases where only one approach is used in the same securitisations and it delivers relevant supervisory insight on how the new framework is functioning regarding the new hierarchy of approaches. Do respondents agree with this option? As an alternative, we propose to add 12 new columns in template C 14.00 - the four possible approaches as a breakdown of exposure value, RWAs and capital charge after cap.

I do agree to split the template C 14.00 in two parts, it makes the template(s) more readable (although it is still somehow to large) and easier to manage: While someone collects and checks the information of the structure information of certain securitization transaction, other people may focus in RWA relevant information (approaches, exposure value in procession, RWA value etc.)

Question 2: Are the instructions and templates clear to the respondents?

It is still unclear, whether positions which are now in default should be included in the rows 0440-0670 of the template C 13.01. There is the same question from banks about the comparable rows in existing templates C 12.00 and C13.00 after the DPM amendment in version 2.7 (grey out the position in the columns where capital deduction may be taken with 1250% RW with the introduction of DPM 2.7); The amendment in DPM 2.7 seems imply that the defaulted position should not be included in the rows which breakdown of CQS at inception, but there are validation rule which seems suggest the opposite. It is suggested to clarify the scope in the rows 0440-0670 of the template C 13.01 and to introduce future validation rules in a coherent manner.

Question 3: Do the respondents identify any discrepancies between these templates and instructions and the calculation of capital requirements set out in the underlying regulation?

Columns 0580-0610 of the template 13.01 do not cover the all scenario why SEC-ERBA is trigged, they are only the exhaustive list of why SEC-ERBA is used before considering SEC-SA. The case, that the position neither has the information of K_IRB and nor has the information K_SA but does have the rating information so that SEC-ERBA, is the only available approach is not included. Therefore, it is suggested either to rename the title of the column 0580-0610 from “BREAKDOWN BY TRIGGER FOR APPLICATION OF SEC-ERBA” to “BREAKDOWN BY TRIGGER FOR APPLICATION OF SEC-ERBA BEFORE SEC-SA”, or rename those columns as “of which”-information instead of “breakdown”-information.

Question 4: Do the respondents agree that the amended ITS fits the purpose of the underlying regulation?

In general, yes, and technically it seems still feasible for banks to fill in the template without very big difficulties.

Name of organisation

BearingPoint Software Solutions GmbH