Is the control v4801_m consistent with the COREP ITS?
The control v4801_m controls than the sum of on/off balance sheet positions related to the securitisation positions (from c310 to c360) is higher than the absolute value of exposure value deducted from own funds (c420) for all types of Solvency treatment (c060). As trading book positions are disclosed in columns 460 and 470 and not in columns 310 to 360, the control should not be implemented when Solvency treatment (c060) is equal to Trading Book.
According to recital 66 of Regulation (EU) 575/2013, “Institutions should have a choice whether to apply a capital requirement to or deduct from Common Equity Tier 1 items those securitisation positions that receive a 1.250 % risk weight under this Regulation, irrespective of whether the positions are in the trading or the non- trading book.” Therefore, column 420 in template C14.00 (CR SEC Details) may be filled in also for positions in the trading book.
This treatment also applies to column 420 in template C14.01 (CR SEC Details 2) in reporting framework v2.9.
Therefore, v4801_m (v7338_m in v2.9) should not be applied to positions in the trading book.