Question ID
2023_6870
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex II, Part II, paragraph 3.8.3
Type of submitter
Credit institution
Subject matter
Validation rule v7364_m - Securitisation Template C 14.00
Question

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

Background on the question

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?

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6864.

Status
Rejected question