Should a bank follow the same approach for representing the exposure underlying a securitisation in Larex (large exposures reporting) as in COREP?
Our Bank has purchased Senior Notes issued by a securitization vehicle. As the Bank is frequently receiving a Servicer Report about the underlying assets of this securitisation, it continuously knows the detailed composition and all the relevant attributes of the underlying assets. Taking this into account, the bank has chosen the following method for the representation of its exposure to the senior notes:
We noted however that there is another Article 261 in the CRR2 that could also apply for the RWA calculation for securitization exposures, but that takes for the RWA calculation the securitisation exposure as is without following the „look-through” mechanism.
Our question is the following: is it mandatory for the Bank to harmonise the approaches of handling the Senior notes exposures in different regulatory reports, i.e if we use the „look-through” approach in Larex, does the Bank then also need to use the „look-through” approach for the RWA calculation? Or is it allowed to choose freely between the two RWA calculation methodologies (Article 261 vs Article 267) irrespective of what methodology the Bank used in Larex?
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