Is the data model for the C 09.04 correctly specified in the 2.5.0.1 taxonomy?

Regulation 2016/1702 requires that this row only be populated with the exposure values for “relevant credit exposures defined in accordance with Article 140(4)(a) of the CRD” i.e. these exposure values should not include those exposure classes referred to in points (a) to (f) of Article 112 of the CRR.

However, the C 09.04 template itself does not have any dimensions to distinguish “relevant credit exposures” from all the exposures reported on C 07.00 and therefore requires that this value be populated for all exposures classes including points (a) to (f) of Article 112 of the CRR. Both the C.09.04 and C.07.00 use the same “type of risk” dimension – “Credit risk, counterparty credit risk and free deliveries”; and the same “main category” – “Instruments subject to credit risk excluding instruments subject to securitisation credit risk treatment”. Only the country specific sheets for C 09.04 use an additional dimension/ attribute for “Residence of Immediate Obligor” – which distinguishes them slightly from the C 07.00 templates but still does not contain a specific dimension to require only “relevant credit exposures”.

As a result the correct exposure value for only relevant credit exposures cannot be populated on this return as the XBRL submission fails if the values do not agree between the C 07.00 and the C 09.04.

This dimension is missing throughout the return but it is only blocking the submission on row 010, column 010 as this is the only shared data point against another return.

According to paragraph 82 of Annex II to Regulation (EU) 680/2014 (ITS on Supervisory Reporting as amended by Regulation (EU) 2016/1702), template C 09.04 of Annex I to the ITS on Supervisory Reporting has to be filled in, among others, for the total of all countries.

The data point model for template C 09.04 defines a data point {C 09.04, r010, c010}, that, for the total of all countries, is identical to a data point used in template C 07.00 of Annex I, namely {C 07.00, r010, c040, s001}. This is incorrect with regard to the following two aspects:

1. Differences in scope of exposures: template C 09.04 captures relevant exposures according to Article 140 (4) of Directive 2013/36/EU (CRD), and not exposures subject to own funds requirements in accordance with Part Three, Title II, chapter 2 of Regulation (EU) No 575/2013 (CRR).
2. Exposure measure: The value reported in row 010 of template C 09.04 is the exposure value in accordance with Article 111 CRR (i.e. after application of credit risk mitigation (CRM) techniques and credit conversion factors (CCFs), equivalent to the concept applied to column 200 of C 07.00), while column 040 of C 07.00 represents a value before application of CRM and CCFs.

The DPM of template C 09.04 will be amended as soon as possible to remedy these issues.

In those cases where the EBA XBRL taxonomy is used to submit data, the mistake in the DPM as described above entails as a consequence that institutions are prevented from reporting different figures for {C 07.00, r010, c040, s001} respectively {C 09.04, r010, c010, total of all countries}. As an interim solution, as long as the data point definitions of {C 09.04, r010, c010, total of all countries} and {C 07.00, r010, c040, s001} are incorrectly identical, the value of {C 07.00, r010, c040, s001} can be reported in both templates.

Similarly, the data points {C 12.00, r010, c070} and {C 09.04, r050, c010, total of all countries} are incorrectly defined as identical in the DPM and EBA XBRL taxonomy. Analogously, as an interim solution, the value of {C 12.00, r010, c070} can be reported in both templates.

From that moment on when the DPM respectively the EBA XBRL taxonomy are adapted, correct figures for {C 09.04, r010, c010, total of all countries} and {C 09.04, r050, c010, total of all countries} have to be reported.