Question ID
2017_3477
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - FINREP (incl. FB&NPE)
Article
99
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex V, Part 3, paragraph 1
Type of submitter
Credit institution
Subject matter
Reporting of securitisation instruments in FINREP templates F 04.01 – F 04.04
Question

How should Residential Mortgage-Backed Security (RMBS) instruments be reported in FINREP templates F 04.01 – F 04.04? Which counterparty sector should the RMBS be assigned to?

Background on the question

Annex V, Part 3 of Commission Implemented regulation (EU) No 680/2014, regarding exposure class “Securitisation positions” states that: “These exposures should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation.“

Following this guidance, RMBS instruments should be reported under counterparty sector “Households” (as this is the underlying risk of the securitisation). Tables 2 and 3 included in Annex V, Part 3 allow such a combination, i.e. Exposure class: “Securitisation”; FINREP counterparty sector “Households”. However, in templates F 04.01 – F 04.04, the possible counterparty sectors for “Debt securities” do not include “Households”.

Submission date
Final publishing date
Final answer

Annex V of Commission Implementing Regulation (EU) No 680/2014 (“Instructions”) states that “the counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty” (paragraph 43, Part 1 of the Instructions).

In particular, the counterparty sector of Residential Mortgage-Backed Securities, where they meet the definition of “Debt securities” established by Regulation (EU) No 1071/2013 of the European Central Bank, should be that of the issuer of the securities (paragraph 44(b), Part 1 of the Instructions).

Instructions will be amended to avoid ambiguities in reporting securitisation positions. 

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

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.