COREP template C 18.00, column 050 - Can you please clarify what is expected to be reported in this field?

A difference of opinion exists between the firm and its auditors as to how this cell should be populated: The firm believes that this field is a simple summation of columns 030 and 040, however our auditors believe that it should be the sum of weighted matched and unmatched positions.

For example: where we have a an individual net long position of 100 and an individual net short position of 90 in the same maturity band, the firm would report the absolute total of the two amounts e.g. 190. The auditors would however report the net amount e.g. 10.

As stated in the instruction on column 050 of template C 18.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of Regulation (EU) No 680/2014 (CRR), receive a capital charge, shall be reported in this column.

In detail, this means the following:

General risk

The amount to be reported in {row 020, column 050} (maturity-based approach) is the sum of positions listed in Article 339 (9) of Regulation (EU) No 575/2013 (CRR), before the application of the own funds requirements charges defined in that paragraph of Article 339 CRR. But those positions are weighted by the weighting for the maturity band as required by Article 339 (2) CRR.

The amount reported in {row 210, column 050} (duration-based approach) reflects the sum of the positions listed in Article 340 (7) CRR before the application of the own funds requirements charges defined in that paragraph of Article 340 CRR. But those positions are weighted by the modified duration and by the assumed interest-rate change in accordance with Article 340 (5) CRR.

This means that the sum of

• the matched weighted positions in all maturity bands (maturity-based approach only),
• the matched weighted positions in zones one, two and three,
• the matched weighted position between zones one and two, two and three and one and three and
• the residual unmatched weighted position

before the application of the own funds requirements charges shall be reported in {r020, c050} and {r210, c050}, as applicable.

Example

Assume an institution has a net long position in debt security A of 100 and a net short position in security B of 90 and no other positions in debt instruments. Both debt securities are issued by different obligors, denominated in the same currency and assigned to the same maturity band (> 3 and ≤ 6 months). The institution applies the maturity-based approach.

In this case, the amount to be reported in {C 18.00, r020, c050} would be the sum of

• the unweighted matched position in the maturity band:
  min {0.4% ∙ 90; 0.4% ∙ 100} = 0.36
  and
• the residual unmatched weighted position:
  0.4% ∙ 100 - 0.4% ∙ 90 = 0.4% ∙ 10 = 0.04,

i.e. 0.36 + 0.04 = 0.40.

Specific risk

The amounts reported in column 050, rows 260 to 320 reflect the sum of the net long positions and the net short positions that attract the specific risk own funds requirements charges listed in Article 336 CRR (Table 1 or paragraphs (2) or (3)).

In the simple example above, the amount which would have to be reported would be 100 + 90 = 190.