Question ID
2014_902
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
N/A
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Name of institution / submitter
Parker James
Country of incorporation / residence
UK
Type of submitter
Individual
Subject matter
C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 090
Question

Field 090 - % of Retention at Reporting Date. Do we report percentage retention at reporting date or at origination? Secondly, how are Investor positions to be reported given the information is not publicly available?

Background on the question

The field, stated as required to be reported for Investor and Originator positions, is entitled "... at Reporting Date" however the guidelines suggest that the percentage reported can be at origination i.e. not dynamic. Which is it? Secondly, percentage retention does not appear to be a requirement for disclosure in the prospectus. How do we therefore report this for Investor positions?

Submission date
Final publishing date
Final answer

According to Article 405(1)  of the Regulation (EU) No. 575/2013 (CRR), the net economic interest shall be measured at origination and maintained on an ongoing basis. Column 090 "% OF RETENTION AT REPORTING DATE" of C 14.00 Template (CR SEC Details) shall display either the percentage resulting from a dynamic readjustment if it has been re-measured or the percentage measured at origination.

 

Under the due diligence requirements (Article 406(1)(a) of the CRR), investors are required to have the information disclosed under Article 405(1)  of the CRR on the net economic interest that originators, sponsors and original lenders retain and maintain in a securitization. According to Article 409 of the CRR, this information shall be provided to investors by originators, sponsors and original lenders. These requirements are not applicable to securitisations issued before 1 January 2011 (Article 404 of the CRR).

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

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