Ladies and Gentlemen,
we have an issue with the following reports:
- C 12.00 – CREDIT RISK: SECURITISATIONS –
STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
- C 13.00 – CREDIT RISK: SECURITISATIONS –
IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
- C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
Related to those reports we would like to come up with the following question:
This institute transfers the receivables to a SPV but the claims are still on the institute’s balances. Within the solvency report the sold positions are treated as if no sale of the credit risk has occured and the address-related risk is calculated accordingly (either leasing or credit financing positions). In the course of open-market transactions minor tranches of the issued asset-backed securities are bought. Those bonds are not taken into account when calculating address-related risk (Art. 245 Sec. 2 sentence 2 CRR) as otherwise those risks would count twice.
As we have opted for the look-through approach following Art. 245 Sec. 2 sentence 2 CRR we question the need to report those ABS bonds with reports C 12 – C 14 as this would result in double-reporting of those securitized positions (the original risk position with the client and additionally the same risk underlying the bond bought) to the supervisory authorities.
We would like to ask for approval for not reporting those sold positions and the corresponding ABS bonds with reports C 12 – C 14 (thus in the absence of other securitization-related positions not handing in those reports at all).
Sincerely yours,