Question ID
2021_6290
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
Annex XI
Type of submitter
Credit institution
Subject matter
Failed XBRL Rule v7370_m - Securitisations
Question

Although BPI is identified as the "originator" (BPI's role - column C0110 from template C.14.00 of report COREP_OF)  of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402 - the main purpose of this securitisation (issued in 2018) was to close the loan portfolio of Banco BPI's Paris branch), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 (template C.14.00) request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable to this securitisation.

Banco BPI would like to know if you confirm our understanding?

Background on the question

During the normal validation process done Banco de Portugal to COREP submission (June 2021 position) XBRL rule v7370_m failed (template COREP_OF_Con C.14.00), and BPI comment:

Although BPI is identified as the "originator" (BPI's role) of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable.

Later Banco BPI received the following answer from Banco de Portugal: "The VR indeed fail as 303 is empty and this not match the condition having C0110 with Originator role. In case BPI cannot fit none of the other 3 possible value for C0110, the most appropriate way of addressing this issue is raising a Q&A".

 

 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained in  Annex XV to Regulation (EU) No 2021/451 (ITS on Supervisory Reporting).

Status
Rejected question