COREP reporting templates for securitisations

In preparation for the Data Point Model (DPM) 2.9, on 28 August 2018, the European Banking Authority (EBA) issued a consultation paper on changes in the Implementing Technical Standards required when banks carry out regulatory reporting (amending Comission Implementing Regulation (EU 680/2014) with regard to COREP reporting for securitisations and other issues. After initial feedback was received from the consultation process, a new draft of the DPM 2.9 was published on 30 October 2018.

Due to the new EU securitisation framework from 1 January 2019, which consists of a securitisation regulation attuned to various market players (regulation [EU] no. 2017/2402) and accompanying CRR amendments, which primarily reform the hierarchy of methods for calculating capital requirements for securitisation positions (regulation (EU) no. 2017/2401), it’s the COREP reporting templates that need to be changed above all (EBA-CP-2018/14).

Overview:

• Because of the new hierarchy of approaches, the quarterly reports are now based on the new standardised C 13.01 reporting template from Annex I in accordance with instructions in Part II 3.7 of Annex II
• The C 12.00 (CR-SEC-SA) and C 13.00 (CR-SEC-IRB) reporting templates in Annex I have been dropped
• In the future, the information must be submitted on a half-yearly basis and include all securitisation positions in accordance with the new C 14.00 and C 14.01 reporting templates from Annex I based on the instructions in Part II 3.8 of Annex II
• Annex II of the implementing regulation (EU) no. 680/2014 is supplemented by the new Annex II of the present regulation

The consultation period for the proposed COREP changes ends on 27 November or 7 December 2018, respectively. The plan is to apply the revised reporting obligations for the first time on the 31 March 2020 reporting date. The DPM 2.8 transition solution introduced for reporting under the new securitisation framework in reporting template C 02.00 (as well as the C 12.00 and C 13.00, which will remain unchanged for now) is to apply up until this date.

In detail, the EBA proposes the following changes:
 

Reflect the new fundamental hierarchy of approaches

The new hierarchy of calculation approaches to securitisation positions (SEC-IRBA, SEC-SA and SEC-ERBA) means changes in reporting regarding the COREP C 12.00 and C 13.00 templates in Annex I of the Implementing Regulation (EU) no. 680/2014, which are replaced by the new C 13.01 (CR SEC credit risk securitisations) reporting templates. Due to the DPM 2.9 draft presented on 30 October 2018, the data requirements in reporting template C 13.01 are spread out over two pages – C 13.01a and C 13.01b. The privileged status of STS securitisations applied in the CRR (art. 243 CRR new version) and senior positions in synthetic SME securitisations (art. 270 CRR new version) are included in the C 13.01a reporting template as separate sub-items. The reporting template also includes information on securitisation positions with a risk weight of 1,250% or a deduction from the core capital (Common Equity Tier 1) as well as reductions in the risk-weighted exposure due to the risk weight cap and the cap overall.
 

Details on the securitisation transactions

Additional granularity has been added to reporting template C 14.00 (SEC Detail) in order to make regulatory analysis easier and to monitor the impact of the new regulations and the new standardised hierarchy of approaches in particular. The reporting templates include new information, for instance, the type of securitisation (public, private, intra-group), significant risk transfer, exposures in default and the number of tranches, which sometimes arise due to the reconciliation of regulatory reports with the disclosure requirements. The previous detailed information, which is generated depending on the approach applied, is no longer in the C 14.00 reporting template but in the new C 14.01 one (SEC Details Approach).
 

Further changes to the new securitisation regulations

The reporting templates for the market risk for securitisations C 19.00 (MKR SA SEC) and for the correlation portfolio C 20.00 (MKR SA CTP), as well as the reporting template for the countercyclical capital buffer C 09.04 (CCB), will also be changed to reflect the new securitisation framework.
 

Conclusion

The EBA’s main purpose of the current draft to change the Implementing Technical Standards in regulatory reporting is to adapt COREP reporting to reflect the new securitisation regulation. Both regulatory reporting and disclosure to other market players are to provide a clear picture of a bank’s position, which is why the new reporting requirements are to be designed in such a way that maximum consistency is achieved between the two. The EBA’s desire for greater granularity and transparency and the resulting reduction in complexity means a rise in banks’ reporting duties, even though standardisation of formats and definitions increases the efficiency of reporting and disclosures and workload is to be reduced as much as possible. An implementation period of about one year has been scheduled so that banks can provide the data and make the necessary changes.