Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annexes I and II, C 12.00, validation rules
Disclose name of institution / entity:
Name of institution / submitter:
SAS Research and Development
Country of incorporation / residence:
Type of submitter:
Consultancy firm
Subject Matter:
Validation rule v4792_m, C 12.00 - Securitisations

In C 12.00.a, the validation rule v4792_m is (r030;040;050;060;070;080;090)] {{c050}} <= {{c010}} Since row 30 (ORIGINATOR: TOTAL EXPOSURES) represents the totals for Originators, the above might not hold true in cases where significant early amortization exposures are present. This is because the row 100 for early amortization is greyed out for the columns 010 to 040 in the report template and hence is not considered in row 030 for these columns. However, row 100 is not greyed out for the column 050 where the validation check is applied.

Background on the question:

The reporting instructions for row 030 (ORIGINATOR: TOTAL EXPOSURES ) of C12 says: "This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of the originator, as defined by Article 4(1)(13) of CRR." However, the row for early amortisation is greyed out for column 010 which conflicts with validation rule v4792_m.

Date of submission:
Published as Final Q&A:
Final Answer:

As far as row 030 of template C 12.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) is concerned, the validation rule v4792_m may not be valid in all cases and should therefore not be applied to row 030 because the early amortisation exposure may indeed cause {C 12.00, r030, c050} to be higher than {C 12.00, r030, c010}.  

Final Q&A
Answer prepared by:
Answer prepared by the EBA.