COREP template C13: Is the EBA taxonomy control v0530_m consistent when tranches are deducted from own funds?

In the C13 template, the control v0530_m controls for all lines that the amount reported in column 120 is equal to the sum of the amounts of the columns 110 and 120. In addition, the amount of the column 120 “Fully Adjusted Value (E*)”, needs to be consistent with amount of column 170 “Exposure value”, and the amount of column 170 needs to be equal to the sum of the absolute amounts of columns 180+190. Based on Article 266 of the CRR, the column 180 “Exposure value deducted from Own funds” is an exposure net of provisions. Consequently, exposure value of column 170 and 120 for deducted tranches should be net of provisions. At the opposite, the column 100 “Exposure after CRM substitution effects pre conversion factor” by definition is gross of provisions. To this end, when tranches with provision attached are deducted from own funds, the column 120 is equal to an exposure net of provisions whereas the column 100 is gross of provisions.

According to Annex II of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) for  template C 13.00 of Annex I to the ITS on Supervisory Reporting, the fully adjusted exposure value (c120) is the securitisation position without applying the conversion factors laid down in Article 246(1) point c) of Regulation (EU) No 575/2013 (CRR).

Validation rule v0530_m states that {c120} = {c100} + {c110}. Therefore, both the exposure after CRM substitution effects pre conversion factors (c100) and the CRM techniques affecting the amount of the exposure (c110) are gross of provisions. Consequently, v0530_m is correct.

According to the instructions of column 180 the reported value is based on Article 266 (3) CRR and therefore is an exposure value net of provisions. This is reflected in validation rule v0531_m_saying that the sum of columns 170 and 180 is equal or bigger than the value reported in column 190.