Question ID:
2017_3298
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - FINREP (incl. FB&NPE)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
Annex V
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Nationwide Building Society
Country of incorporation / residence:
United Kingdom
Type of submitter:
Credit institution
Subject Matter:
FINREP Templates F 30.01 and F 30.02, validation v1019_m
Question:

For interests in unconsolidated structured entities for which no liquidity support is drawn, what is the treatment for validation v1019_m?

Background on the question:

Non-blocking validation v1019_m requires the total debt securities (row 050) and loans and advances (row 060) on template F 30.02 to equal the liquidity support drawn (column 020) on template F 30.01.

Our institution has interests in unconsolidated structured entities relating primarily to investments in asset backed securities, which are reported in template F 30.02 under debt securities. However, no liquidity support is drawn on these investments, resulting in column 020 of template F 30.01 to be nil. Validation v1019_m then fails.

Date of submission:
18/05/2017
Published as Final Q&A:
28/07/2017
Final Answer:

As defined in paragraph 118 of Annex V to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), institutions have to report in template F 30.01, {r010, c020} the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

In the case abovementioned the investments in ABS are debt securities held that have been issued by unconsolidated structured entities and shall be reported in template F 30.01, {r010, c020}.

The carrying amount of these investments shall be reported also in template F 30.02, row 050.

As a consequence the validation rule is correct.

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