Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Securitisation - application of look-through methodology

Should a bank follow the same approach for representing the exposure underlying a securitisation in Larex (large exposures reporting) as in COREP?

Background on the question:

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:

  • Larex (large exposures reporting): in accordance with Article 6 of Regulation (EU) 1187/2014, the Bank has identified all the obligors of the underlying assets, where the overall exposure with the obligors exceeded 0,25% of the Bank’s eligible capital (“look-through mechanism”). In Larex, the exposure with these obligors are reported on an obligor basis.
  • COREP: the Bank has decided to use Article 267 of CRR 2 (the „look-through approach”) for the RWA calculation of the underlying assets considering, that the Bank knows the composition of the underlying assets and in order to align with the representation of the underlying assets under Larex (the same „look-through mechanism”).

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?

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because it is out of scope of the Q&A tool and it does not relate to the legislative acts referred to in Article 1(2) of the EBA Regulation and their associated delegated and implementing acts, guidelines and recommendations. The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Rejected question