Column 050 of C 14.00 – Accounting Treatment:
Is this field also relevant for sponsor positions?
What should be reported here for synthetic and traditional originator positions?
According to Annex II (Reporting on own funds and own funds requirements): ‘In case of synthetic securitizations, originators shall report that securitized exposures are removed from the balance sheet.’
This is not true as in case of synthetic originator securitisation, the underlings do not leave the balance sheet of the originating institution. Also the column 050 should be reported only for originators, as in case of investor and sponsor, securitized exposures are never placed on balance sheet of reporting institution (otherwise it would be originator).
Articles 242(10) and 242(11) CRR (and paragraphs (13) and (14) of the CRR as amended by Regulation (EU) 2017/2401) provide the definitions of traditional and synthetic securitisation.
Reporting Instructions (Annex II of Regulation (EU) No 680/2014) indicate that sponsors shall report one of the allowed abbreviations (i.e. ‘K’, ‘P’, ‘R’, ‘N’). For sponsors, column 050 shall be always reported as the exposures bought by the sponsor to be securitised had entered its balance sheet, so the accounting treatment is relevant. For synthetic and traditional originator positions, the allowed values are ‘K – Totally Kept’, ‘R – Totally Removed’ and ‘P – Partially Removed’. Option ‘P’ shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement in accordance with IFRS 126.96.36.199 – 3.2.21.
Moreover, it should be noted that under reporting taxonomy 2.9 the sentence “In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet” will be removed from the Instructions. Accordingly, synthetic exposures should be reported as ‘K’ since article 2 of Regulation (EU) 2017/2402 defines a synthetic securitisation as a securitisation where the risk is transferred through credit derivatives or guarantees and the exposures which are securitised remain as exposures of the originator.
With regard to investors marginal number 112 of Annex II of Regulation (EU) No 680/2014 states that investors do not have to report column 050 of this template.