Question ID
2020_5402
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
Paragraph
7
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XV
Type of submitter
Credit institution
Subject matter
EBA validation rule v7365_m
Question
Is v7365_m stating that for the C14.00 if ({c040} = [eba_RT:x10] or {c040} = [eba_RT:x11]) then {c140} <= {c130} correct?
Background on the question
Validation rule v7365_m states for C14.00 ({c040} = [eba_RT:x10] or {c040} = [eba_RT:x11]) then {c140} <= {c130 c140 is the total amount of the securitised portfolio at the reporting date (i.e. the outstanding amount of the securitised exposures). c130 is the total amount of securitised exposures at origination date.
Submission date
Final publishing date
Final answer

According to the description given in Regulation (EU) 680/2014 (ITS on Reporting), in Annex II,  for column 130, TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE, the amount reported in this column is the amount of the underlying portfolio at the origination date so it will remain unchanged along the life of the securitisation . In column 140, TOTAL AMOUNT, the outstanding amount of the securitised exposures at the reporting date has to be reported. The description indicates that the outstanding amount of those securitisation schemes backed by closed pools of assets will be progressively reduced as the underlying exposures are amortised. For those securitization schemes backed by open pools the outstanding amount may increase as more assets could be added to the pool. On the other hand, as previously stated, column 130 only includes amount referring to the origination date of the first issuance of securities (i.e. securitised portfolio at the origination date).

 

Having said that, VR v7365_m is only valid for those securitisations backed by closed pools so it will be deactivated. 

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

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.