Commission Implementing Regulation (EU) No 680/2014Show full title

3.9.1. General remarks

108. This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.

109. This template is to be reported for:

a.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

b.

Securitisations originated/sponsored by the reporting institution during the year of report(1), in case it holds no position.

c.

Securitisations of financial liabilities (e.g. covered bonds) issued by the reporting institution.

d.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

110. This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions(2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

111. On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.

112. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

(1)

The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

(2)

‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.