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?
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?
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?