Question ID
2019_4953
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
Taxonomy2.9AnnexIIPart II -section 3.9.3 Col 210 & section 3.9.4 col448
Type of submitter
Credit institution
Subject matter
Provisions relating to securitised assets which have been derecognised for accounting.
Question

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?

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question