Submission #5

AFME

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. Please refer to document attached.

Question 2: Are the instructions and templates clear to the respondents? Please refer to document attached.

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? Please refer to document attached.

Question 4: Do the respondents agree that the amended ITS fits the purpose of the underlying regulation? Please refer to document attached.

File Upload EBA COREP Securitisation Consultation Response - November 2018.pdf

Name of organisation AFME