Communications - Communication of 28 June 2021

Prudential reporting (CoRep) by financial intermediaries registered in the register referred to in Article 106 of the TUB.

1. Reporting on securitizations

On 31 March 2021, the European Parliament and the Council, in response to the COVID-19 crisis and in order to support economic recovery, adopted two regulations integrating the regulatory framework on securitizations introduced in 2017 (1). In particular:

• Regulation (EU) 2021/557 introduced, also for synthetic securitizations, a specific framework for transactions qualifying as simple, transparent and standardised (so-called STS); • Regulation (EU) 2021/558 provided for a favourable prudential treatment for STS synthetic securitizations, as well as dedicated rules for securitisations of non-performing loans.

Already with reference to the 2017 regulations, with the communication of 27 March 2020 (2), the Bank of Italy had provided indications on the prudential and reporting discipline applicable to financial intermediaries registered in the register referred to in Article 106 of the TUB involved to various extents in securitisation transactions (sponsor, originator, etc.). This was pending the identification, through legislative provisions, of the national competent authority for the controls provided for by these regulations, and the subsequent modification of the discipline on securitisation transactions contained in Circular No. 288 (Title IV, Chapter 8).

Given that the primary regulatory framework remains unchanged, the indications provided with the March 2020 communication continue to be valid. Therefore, financial intermediaries continue to apply what is provided for by Circular No. 288 (i.e., the provisions of the CRR without taking into account the changes introduced by the 2017 and 2021 regulations), while with reference to the "Exposures to securitisations" detection schemes of the "Own Funds" module of the prudential reporting (CoRep), version 2.8 of the Data Point Model (DPM) reporting scheme continues to be used, also beyond 30 June 2021, instead of version 3.0 which will then be applicable for banks.

2. Reporting on prudential disciplines modified with the 3rd update of Circular 288/2015

With the 3rd update of Circular No. 288, Title IV "Prudential Supervision" was modified in order to extend to financial intermediaries the prudential provisions on own funds and credit risk of Regulation (EU) No. 876/2019 (so-called CRR2), as amended by Regulation EU No. 873/2020 in the context of the COVID-19 pandemic (so-called CRR Quick-fix) (3).

Also for these changes, pending the transposition into the reporting provisions of version 3.0 of the DPM reporting scheme, financial intermediaries continue to use version 2.8 of the "Own Funds" module and the indications provided with the communication of 23 December 2020, by which implementation was given to financial intermediaries for the EBA Guidelines on reporting obligations related to CRR Quick-fix (4).

Finally, it is recalled that, based on what is provided for by the 3rd update of Circular No. 288, starting from 28 June next, the new treatment provided for exposures to collective investment undertakings (OICs) for the purposes of capital requirements for credit risk will become applicable (5). Circular No. 288 (Title IV, Chapter 5, Section II, paragraph 6) provides that for exposures of this kind, already held on 24 December 2020, the previous treatment will continue to be applied also after 28 June.

To allow monitoring the correct application of these provisions, the interested intermediaries transmit to the Bank of Italy, by 30 June 2021, information relating to the amount and the prudential treatment applied to individual exposures to OICs held on 24 December 2020 and still present in the intermediary's portfolio benefiting from the transitional treatment described above. The information must be transmitted to the PEC mailbox of the supervisory unit competent for the intermediary.

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The versions of the reporting schemes currently in use remain unchanged for aspects not covered by this communication (see annex for a summary of the DPM versions to be used).

1 See Regulation 2017/2402 (which introduced new rules on securitisation transactions) and Regulation 2017/2401 (which regulated their prudential treatment for banks and investment firms). 2 https://www.bancaditalia.it/compiti/vigilanza/normativa/archivio-norme/comunicazioni/com-20200410/index.html?com.dotmarketing.htmlpage.language=102&pk_campaign=EmailAlertBdi&pk_kwd=it. 3 Respectively Regulation (EU) No. 2019/876 and Regulation (EU) No. 2020/873. In particular, for reporting purposes, the following are relevant: i) for the own funds discipline, the introduction of a temporary prudential filter for unrealised profits and losses on sovereign securities valued at fair value with impact on overall profitability and the extension of the phase-in period for the effects on own funds resulting from the introduction of the IFRS 9 accounting principle (Articles 468 and 473 bis CRR); ii) with reference to the credit risk discipline, the introduction of more favourable prudential treatments for certain categories of exposures (SME loans, infrastructure exposures and loans guaranteed by the assignment of the fifth of salary or pension). 4 https://www.bancaditalia.it/compiti/vigilanza/normativa/archivio-norme/comunicazioni/com-20201223/index.html. 5 See Title IV, Chapter 5, Section I of Circular No. 288, which extends to financial intermediaries the application – among others – of Articles 132 and 132 bis CRR2.

Annex DPM versions to be used for the reporting of COREP modules at 30/06/2021

MODULE DESCRIPTION SURVEY DPM VERSION COREP_OF_Con COREP Consolidated Own Funds PRCF 2.8 COREP_OF_Ind COREP Individual Own Funds PRIF 2.8 COREP_LE_Con COREP Consolidated Large Exposures LECF 2.9 COREP_LE_Ind COREP Individual Large Exposures LEIF 2.9