Question ID:
2020_5252
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 (as amended)
Article/Paragraph:
Annex II
Disclose name of institution / entity:
No
Type of submitter:
Competent authority
Subject Matter:
Reporting of positions in a securitisation that has not achieved SRT in C14.01.
Question:

It is not clear whether these positions should be reported in C14.01, or under which approach.

Background on the question:

According to Annex II to Regulation (EU) No 680/2014 (ITS on Reporting), paragraph 110, SEC DETAILS has to be reported for “securitisations originated / sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book).”
That is, the institution should report all its positions in a securitisation, irrespectively of whether SRT has been achieved or not. In case SRT has not been achieved in a securitisation and the institution is holding positions in it, these should be reported in columns 310 to 360 of C14.01.
According to paragraph 113c, “The template SEC DETAILS 2 shall be reported separately for the following approaches:
1) SEC-IRBA;
2) SEC-SA;
3) SEC-ERBA;
4) 1 250%.”
Therefore, it seems there is no appropriate approach to report the positions from securitisations that have achieved no SRT, since its own funds requirement is calculated under the credit risk framework (CR SA or CR IRB).
Therefore, should these positions be reported in C14.01, and if so, under which approach?

Date of submission:
13/05/2020
Published as Final Q&A:
19/03/2021
EBA Answer:

According to the instructions of template C 14.01 of Annex II to Regulation (EU) No 680/2014 (ITS on Reporting), “In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book)”.

 

Positions held by the institution should be reported in C14.01, in the appropriate sheet depending on the approach applied to calculate the own funds requirement associated with the positions. In cases where the own funds requirement is not calculated within the securitisation framework, the position details shall not be reported in C 14.01. Paragraph 110 of Annex II will be amended accordingly to reflect this.  

Status:
Final Q&A
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