Question ID
2022_6648
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
Paragraph
ANNEX II, paragraph 3.8.1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
114
Type of submitter
Credit institution
Subject matter
Validation rule v7371_m and v7372_m
Question

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.

Background on the question

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?

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is addressed in the validation rules file (column 'If value missing (but table prerequisites met)') published by the in accordance with Annex XV of Regulation (EU) 2021/451 (ITS on Reporting) .

For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.  

Status
Rejected question