Question ID
2023_6694
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
Annex II
Type of submitter
Individual
Subject matter
Overcollateralisation and funded reserved accounts in C 14.01
Question

Under framework v3.2, which column of template C 14.01 should contain the retained position of the overcollateralisation and funded reserve accounts shown in column 0254 of the COREP C 14.00?

Background on the question

With the application of framework v3.2 (Regulation (EU) 2021/451 as amended by Regulation (EU) 2022/1994), the securitisation's structure is shown in columns 0230, 0240, 0250, 0254, 0260, 0270, 0280 and 0287 of the template C 14.00 through the amount outstanding of the different tranches. And, if the Entity retains some position of these tranches, the retained position should be reflected in columns 0310-0360 and 0362 of template C 14.01. Therefore, all the mentioned columns of C 14.00 have their correspondence in C 14.01, with the exception of the new column 0254 of C 14.00.

As a consequence, if the Entity retains a position on an overcollateralisation and funded reserve accounts of a traditional securitisation, the total amount outstanding of this tranche would be shown in column 0254 of C 14.00, but the retained position would not be reflected in C 14.01. Moreover, RWAs would not be calculated on this amount either. 

 

Submission date
Final publishing date
Final answer

According to Article 256(4) of Regulation (EU) No 575/2013, 'for funded reserve accounts and assets providing credit enhancement, the institution shall only treat as securitisation positions the parts of those accounts or assets that are loss absorbing'. Therefore, some securitisations reported under column 0254 of C 14.00 may indeed generate RWEAs and should be reported in C 14.01 as well. The templates and instructions will be amended accordingly in the next possible opportunity. Until then, these positions should be reported under column 0330 of C 14.01 for the First loss tranches. 

However, if the overcollateralisation or funded reserve account is meeting the definition of a ‘tranche’ in accordance with point (6) of Article 2 of Regulation (EU) 2017/2402 then it should not to be reported in column 0254 of C 14.00 but in columns 0230 to 0252 of C 14.00 and the interim solution referred to in the first paragraph should not be applied. Instead, the positions should be reported in C 14.01 in the column that corresponds to the relevant column in C 14.00.  

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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