Question ID:
2013_568
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
250
Paragraph:
b
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Austrian Federal Economic Chamber, Division Bank and Insurance
Country of incorporation / residence:
Austria
Type of submitter:
Industry association
Subject Matter:
Column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” to be reported only from originator institutions.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)
Question:

Why is the column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” not shown greyed for the rows concerning Investor and Sponsor?

Background on the question:

According to article 250 (b) CRR this effect is only possible for originator institutes.

Date of submission:
27/11/2013
Published as Final Q&A:
04/04/2014
Final Answer:

Column 360 of CR SEC SA (C 12.00) template should be grey shaded for investors and sponsors (rows 110 13240).

According to Articles 249 and 250 of Regulation (EU) No 575/2013 (CRR), maturity mismatches only affect the calculation of risk-weighted exposure amounts for securitised exposures of the originator institution of a synthetic securitisation.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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