News & Press
ESAs publish templates and tools for voluntary dry run exercise to support the DORA implementation
The European Supervisory Authorities (EBA, EIOPA and ESMA – the ESAs) today published templates, technical documents and tools for the dry run exercise on the reporting of registers of information in the context of Digital Operation Resilience Act (DORA) announced in April 2024.
Final Q&As
Question ID: 2023_6822
Pursuant to Template C 14.00 (column 0287) and Template C 14.01 (column 0362) of the Regulation (EU) 2021/451 (Version: Reporting Framework 3.2) the synthetic excess spread (SES) should be reported under the section “off-balance sheet items and derivatives”. Does this indicate that all synthetic securitisations have to be reported under “off-balance sheet items and derivatives”?
More specifically, does the balance sheet treatment of the securitisation positions in columns 0310 – 0400 refer to the securitisation position itself (i.e. all the columns must be either on-balance or off-balance (e.g. off-balance in case of a CDS)) or to the underlying (i.e. the underlying loans must be reported as on-balance and the synthetic excess spread as off-balance; the result is that in the same row (corresponding to one securitisation position) different columns are reported which can refer to both on- and off-balance positions))?
E.g.: An institution acts as originator in a direct synthetic securitisation of loans. There are three tranches (junior, mezzanine, senior) and a synthetic excess spread. Significant risk transfer is achieved. The underlying exposures remain on the balance sheet of the originator.
Question ID: 2023_6852
We would appreciate a confirmation of the below described interpretation in order to correctly feed ITS MREL and TLAC template with reference dates before 30.06.2024 (when the new template will be applicable).