It is unlcear from the instructions for the COREP which securtisations exposures should be filled in, in which tab (crsecirb, crsecsa and secdetails).
Should securtisations that are partially sold, but have not achieved siginifcant risk transfer be included? In which articles is this described? As for internal securitisations, i.e. securitisatons that are completely kept in the balance of the issuer, we wonder if these fall outside the scope of reporting in the crsecirb, crsecsa tabs
Where securitisation has achieved significant risk transfer (SRT) and the originator institution has decided to apply Article 245(1) of Regulation (EU) No 575/2013 (CRR), exposures (securitisation positions) shall be reported by the originator in CR SEC SA and CR SEC IRB templates (except for those where the originator holds no position in a traditional securitisation).
In the event that a securitisation has not achieved SRT, or where a securitisation has achieved SRT but the originator institution has decided not to apply Article 245(1) of CRR, securitised exposures shall not be reported in CR SEC SA and CR SEC IRB templates, because the capital requirements of those transactions are not calculated according Chapter 5 of Title II of Part 3 of CRR. Instead, these exposures are included in the calculation of risk-weighted exposure amounts under the SA or the IRB approach for credit risk and reported in CR SA or CR IRB templates of the originator. This applies irrespective of who holds the position in such transactions.
The scope for SEC Details is different from the scope of CR SEC SA and CR SEC IRB. According to point 109 of Annex II of the
Draft ITS on Supervisory Reporting, both securitisations without SRT and securitisations with SRT shall be reported in CR SEC Details where the reporting institution:
The intention of point 109 (c) is that all securitisations, the underlying of which are financial liabilities originally issued by the reporting institution, shall be reported in SEC Details. This underlying could include covered bonds. In this regard also the number of types listed in the instructions of column 160 was amended by no.
10 and 1 1.
This template also includes internal securitisation.
*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.