How should Residential Mortgage-Backed Security (RMBS) instruments be reported in FINREP templates F 04.01 – F 04.04?
Annex V, Part 3 of Commission Implemented regulation (EU) No 680/2014, regarding exposure class “Securitisation positions” states that: “These exposures should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation.“
Following this guidance, RMBS instruments should be reported under counterparty sector “Households” (as this is the underlying risk of the securitisation). Tables 2 and 3 included in Annex V, Part 3 allow such a combination, i.e. Exposure class: “Securitisation”; FINREP counterparty sector “Households”. However, in templates F 04.01 – F 04.04, the possible counterparty sectors for “Debt securities” do not include “Households”.
Annex V of Commission Implementing Regulation (EU) No 680/2014 (“Instructions”) states that “the counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty” (paragraph 43, Part 1 of the Instructions).
In particular, the counterparty sector of Residential Mortgage-Backed Securities, where they meet the definition of “Debt securities” established by Regulation (EU) No 1071/2013 of the European Central Bank, should be that of the issuer of the securities (paragraph 44(b), Part 1 of the Instructions).
Instructions will be amended to avoid ambiguities in reporting securitisation positions.