In the case where an institution did not originate any positions in a securitisation what values should be reported in column 010 of template C13.00?
Validation rule v4795_m indicates that column 010 (‘Total amount of securitisation exposures originated)’ of template C 13.00 must be greater than or equal to column 050 (‘Original exposure pre conversion factors’).
The instructions to template C 13.00 (Annex II of Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)), column 010, state: ‘Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction’, which suggests that only originator institutions should complete this column.
In the event that an institution is a reporting (i.e. investor) institution but not an originating institution, should zero is reported in column 010, which is less than the original exposure in column 050?
It is correct that institutions shall fill in column 010 of template C 13.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) only for originated positions. Consequently, validation rule v4795_m may fail for rows 010 and 020 of this template, because the total amount of originated exposures can be smaller than the total original exposure from all securitisation positions held by the reporting institution if the institution does not assume the role of an originator.
The same issue arises with regard to rows 010 and 020 of template C 12.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and validation rules v4792_m.
Validation rules v4792_m and v4795_m will be amended in the future.