C 14.00: When is a tranche considered to be sold and must be reported in columns 0302 and 0303?
According to Annex II to Regulation (EU) 2021/451, the following should be reported in columns 0302 and 0303 in C 14.00:
Validation rule v7370_m specifies that columns 0302 and 0303 cannot be empty in own securitisations with risk transfer. However, the fact of having risk transfer does not imply that there is a tranche completely sold to the market. Risk transfer is assumed when is retained 20% or less of the first loss tranches or, in case of not having equity tranches, 50% or less of the mezzanine tranches. Therefore, it is possible to have risk transfer and only have sold 60% of mezzanine tranches, for example.
The attachment and the detachment point of the risk sold refers to the tranche for which the originator has sold a position in a traditional securitisation. Similarly, it refers to the tranche to which the protection has been provided in a synthetic securitisation. Even if the tranche is not completely sold to the market (or protected by the protection providers), institutions shall report the attachment and detachment points (columns 302 and 303 of C 14.00) of the tranche of the securitisation in which the risk was sold or transferred.