Is Column 0222 in C 14.00 (% of retail exposures in IRB pools) supposed to be reported for all securitisation positions?
The instructions of column 0222 of C 14.00 of Annex 1 to the Regulation (EU) 2021/451 (ITS on Supervisory Reporting) refer to the % of retail exposures included in IRB pools for the purposes of calculating “p” parameter, in accordance with Article 259(2) of CRR.
Therefore, it seems reasonable that this cell must be reported only in cases where both SRT and SEC-IRBA are applied.
However, as this column does not include any exemption for the purposes of its fulfilment in the reporting instructions, it could be understood that also investor positions and retained positions in non SRT or non SEC-IRBA securitisations should be reported in this cell.
Instructions lay dawn in Regulation (EU) 2021/451 for column 0222, % OF RETAIL EXPOSURES IN IRB POOLS, of C 14.00 refers to point 2 of Article 259 of Regulation 575/2013. Article 259 of CRR sets out the calculation of the risk-weighted exposure amount of a securitisation position using the SEC-IRBA approach. According to paragraph 2 of this article, the % of retail exposures in IRB pools is relevant for the calculation of the p parameter.
Paragraphs 114 and 115 of Annex 2 of Commission Implementing Regulation (UE) 2021/451 limit the information reported by the entity in the role of investors and original lenders (when it is not at the same time originator or sponsor), and column 0222 is not in the scope of columns that has to be reported.
Taking all this into account, column 0222 should only be reported when the entity is in the role of originator or sponsor and it is calculating the capital requirements of positions in a securitisation using the SEC-IRBA approach.
Instructions will be changed to make clear in which cases this column should be reported.
Validation rule v7368_m will be amended accordingly.