In return C 14.00, the Annex II states that ‘If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.’
This would imply that ei86 must report ‘OT’ value.
Measure ei86 has link to GA domain, GA4 hierarchy.
The GA4 doesn't contain ‘OT’ member. It contains eba_x28 - Other Countries member.
We believe there to be an inconsistency between the GA4 hierarchy and the Annex II.
Inconsistency between EBA DPM and Annex II.
It is correct that the data point model for template C 14.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), namely the hierarchy GA4 which defines the values which can be reported in column 190 of template C 14.00, does not include a member ‘OT’ (other).
To reflect that fact that the exposures underlying the securitisation transaction do not exceed the threshold of 20% for any country of origin, the member ‘other countries’ shall be used.
The instructions in Annex II to the ITS on Supervisory Reporting and the DPM will be aligned in the future.