The FBF supports option 2 (a single template with additional columns). The template C14.00 is one of the largest template in the COREP. It gathers detailed information on the transactions in the banking book and in the trading book.
Option1 would be unduly burdensome since it would require duplicating the set of consistency controls and it would take too long to complete the 2 templates.
We are missing further specification of rows 0030, 0040 and 0050. Is our understanding (detailed below) correct?
‐ Differentiated capital treatment : positions in an STS securitisation which receive (lower) risk weights as par articles 260, 262 and 264 of Regulation 2017/2401
‐ Of which :
i- “senior positions in SMEs” that fulfill the requirements in article 270 of regulation 2017/2401 (inc. credit risk transfer through guarantees)
ii- other STS positions that meet all the requirements in article 18 of Reg 2017/2402 including the “true sale” requirement for basic securitisation?
Reporting 2020 / Template C14.01: The revised instructions (annex 2) state that this template shall be reported separately for the four following approaches SEC-IRBA, SEC-SA, SEC-ERBA and securitisation receiving a 1250% RW. Therefore, could you confirm that banks don’t have to report in template 14.01 the other approaches (i.e. IAA and multiple approaches)?
Reporting 2020 / Template C14.00 / col.161 “Type” : In case the pool of securitised exposures is a mix of the listed types, the institution shall indicate the most important type. What criteria should banks use to assign the pool of exposures to “the most important type”? The EAD, the number of exposures or another criteria ?
Reporting 2020 / Template C14.00 / col.223 “Own funds requirements before securitisation % Ksa”: the revised instructions (annex 2) state that “Even if the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall fill in this column”. It is our understanding that this piece of information will only be used for the calculation of the output floor under the revised Basel framework (a/o dec 2017). Therefore could you confirm that banks don’t have to fill in this column until the 2017 revised Based framework is transposed in Europe?
Reporting 2020 / Template C14.00 / columns (CQS): this data is required only for the SEC-ERBA approach since the instructions specify that “Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA. Articles 263 and 264 Tables of CRR”. However the template should be updated as it is not consistent with these instructions.