Paragraph 114 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting) states that investors in securitisation positions should report among others columns 0310-0470 in C 14.01. Validation rule v7371_m and v7372_m expects column 0140 and 0230 to be filled in C 14.00 when column 0310 in C 14.01 is filled. We believe however that columns 0140 and 0230 in C 14.00 are only to be filled by originators/multi-sellers and not investors.
Is is not clear which columns in C 14.00 and C 14.01 need to be filled when a bank is only an investor and is never the originator or sponsor in a securitisation position. Paragraph 3.8.1 point 114 in Annex II sums up the columns to be filled for institutions who are investing in securitisation positions. When we as an investor fill all the columns mentioned, including column 0310 in C14.01, validation rules v7371_m and v7372_m expects a value in column 0140 and 0230 in C 14.00 which in our opinion is not correct. Column 0140 in C 14.00 relates to the securitised exposures and is in our opinion only to be reported by originators. Column 0230 relates according to Annex II instructions to originators/ multi-sellers and not originators. Is it possible that instructions in Annex II need to be adjusted or that validation rules v7371_m and v7372_m are not correct?