Single Rulebook Q&A

Question ID: 2018_4005
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph : Annex II
Type of submitter: Consultancy firm
Subject matter : Clarifying the Impact of the new securitisation framework on template C 14.00
Question:

The ITS clearly states that securitisation calculated according to the new reporting Framework won't be reported in templates C 12.00 and C 13.00 but only in template C 02 00.

"Securitisations the risk weighted exposure amount of which is determined based on Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017/2401 (amended CRR), i.e. where the risk-weighted exposure amount is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, securitisation positions which are subject to a 1250% risk weight in accordance with the amended CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the amended CRR, shall not be reported in this template, but only in template C 01.00"

For exposures calculated with this new Framework as report C 12.00 and C 13.00 are not relevant anymore, we were wondering if columns like c170/ c180 of template C 14.00 should always be filled?

Background on the question:

170 APPROACH APPLIED (SA/IRB/MIX) This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: - ‘S’ for Standardised Approach; - ‘I’ for Internal Ratings Based Approach; - ‘M’ for a combination of both approaches (SA/IRB). If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

Date of submission: 20/06/2018
Published as Final Q&A: 15/03/2019
EBA answer:

Template C 14.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) in v 2.8 shall be applied to all securitisations, regardless of the applicable framework. Therefore, the information should be filled in accordingly and when applicable.

For the cases of securitisations under the new framework, i.e., the risk weighted exposure amount of which is determined based on Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017/2401 (amended CRR), column 170 and column 180 are applicable in the same fashion as in the previous framework since these columns refer to the securitised exposures.

Moreover, the reporting requirements for securitisations will be amended by release 2.9 of ITS on Supervisory Reporting. Once the new framework is applicable {C14.00;c170} will be replaced by {C14.00;c171} which provides more specific information on the use of the different approaches. 

Status: Final Q&A
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