Question ID
2022_6548
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
Paragraph
1
Subparagraph
a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex II Part II - section 3.8.3 Col 210 & section 3.8.4 col 448
Type of submitter
Credit institution
Subject matter
Securitised derecognised assets
Question

Template C 14.00 (SEC DETAILS), column 0210, requires reporting of information on securitised exposures including associated provisions.

The memorandum item on the standardised calculation in C 14.01 (SEC DETAILS APPROACH), column 0448 also requires provisions on underlying asset as an input.

What provisions should be used when the securitised exposures are also derecognised by the reporting entity from an accounting perspective?

Background on the question

Question 1

The reporting requirements relating to securitisations appear to require that an originator bank reporting entity would continue to track and report provisions on securitised assets as if they continued to be recognised under the bank’s accounting framework. However, where securitised assets have been derecognised for accounting purposes then provisions (such as the expected credit losses under IFRS9) are no longer made “in accordance with the accounting framework” of the bank. What is required to be reported in column 0210 in this case?

Question 2

Furthermore, for column 0448, the SEC-SA approach for defaulted exposures seems to require provisions as an input because the level of provisions compared to 20% coverage as set out in Article 127 CRR determines the actual RW%. However, where securitised assets have been derecognised for accounting purposes then the originator reporting entity no longer makes provisions (such as the expected credit losses under IFRS9) in accordance with its accounting framework. What should be assumed for provision coverage for the purposes of calculating SEC-SA RWEA?

Submission date
Final publishing date
Final answer

In accordance with Annex II of Regulation (EU) 2021/451, institutions shall report in column 0210 of template C 14.00 the value adjustments and provisions applied to the securitised exposures following the accounting framework. Therefore, if the accounting framework determines that those adjustments and provisions are not considered when related exposures are derecognised they shall not be reported in column 0210.

Regarding the second question, in column 0448 of template C 14.01 institutions shall reported Risk Weighted exposure amount under SEC-SA following Articles 261 and 262 of the CRR. Article 127 shall be considered for underlying exposures classified as defaulted provided they are under the Standardised Approach. Related to specific credit risk adjustments, Article 1 of Regulation (EU) 183/2014 states that institutions shall exclusively deem as general and specific credit risk adjustment amounts under the applicable accounting framework.  Thus, provisions related securitised assets which have been derecognised for accounting purposes shall not be considered in this column. 

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.