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) 2021/451 – ITS on supervisory reporting of institutions
Annex II, section 3.9
Disclose name of institution / entity:
Type of submitter:
Subject Matter:
Traditional SRT securitisations with derecognized underlying assets

According to the instructions included in Regulation (EU) 2020/429, the column 0210 of C 14.00 shall show the following: “…Value adjustments shall include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet.” Additionally, based on Q&A 5077, where an inconsistency in validation rule v4797_m in template C 14.00 is raised, the provisions reported in column 0210 are referred to outstanding nominal amount at the reporting date.

How should column 0210 be filled in case of traditional SRT securitisations, where the underlying assets are entirely derecognized and for which no provisions are recognized in balance sheet after the origination?

Background on the question:

According to Q&A 5077 the value reported in column 0140 should be gross of value adjustments and provisions which should be reported in column 0210. In case of traditional SRT securitisations, for which the underlying asset is totally derecognized from balance sheet, the securitized amount corresponds to the net portfolio after any adjustment and provision and after any discount price. Hence such provisions are fully derecognized from the balance sheet.

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

This question has been rejected, on the basis that it will be addressed in Q&A 6548.

Rejected question