- Question ID
-
2023_6869
- 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- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
-
Annex II, Part II, paragraph 3.8.3
- Type of submitter
-
Credit institution
- Subject matter
-
Validation rule v11873_m - Securitization Template C 14.00
- Question
-
Should validation rule v11873_m be amended for securitisation programs under an active replenishment period?
- Background on the question
-
In COREP 14.00, validation rule v11873_m is implemented to check whether the total value of the securitised exposures which are reported in column 0140 of C 14.00 is greater or equal to the sum of the senior, mezzanine and first loss securitisation positions. The rule check performed is {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140}.
However, in certain synthetic securitisation transactions where a replenishment period is prescribed, tranche amortization is not always allowed. Therefore, during the period between the last replenishment date and the reference date, the amortization of the underlying pool of exposures (securitised exposures) can lead to a gap between the amount reported in c0140 and the sum of columns c0230, c0240 and c0250.
How can institutions overcome this technical issue for as long as the replenishment period is active?
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6838.
- Status
-
Rejected question
