Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Taxonomy2.9AnnexIIPart II -section 3.9.3 Col 210 & section 3.9.4 col448
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Provisions relating to securitised assets which have been derecognised for accounting.

Template C.14 (Sec Details col 210) requires reporting of information on securitised exposures including associated provisions. The memo standardised calculation C.14.1 (Sec Details Approach col 448) also requires provisions on underlying assets as an input to the SEC-SA calculation. What provisions should be used when the securitised exposures have been derecognised by the reporting entity from an accounting perspective and provisions are therefore not made by the originator bank reporting entity?

Background on the question:

The reporting requirements relating to securitisations appear to require that an originator bank reporting entity would continue to track and report provisions on securitised assets as if they continued to be recognised under the bank’s accounting framework. However where securitised assets have been derecognised for accounting purposes then provisions (eg: expected credit losses under IFRS9) are no longer made “in accordance with the accounting framework” of the bank. Q1: What is required to be reported in col 210 in this case ? Furthermore for col 448 the Sec-SA approach for defaulted exposures seems to require provisions as an input because the level of provisions compared to 20% coverage as set out in Article 127 determines the actual RW%. However where securitised assets have been derecognised for accounting purposes then the originator reporting entity no longer makes provisions (eg: expected credit losses under IFRS9) in accordance with its accounting framework. Q2: What should be assumed for provision coverage for the purposes of calculating SEC-SA RWEA?

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

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Rejected question