Does COREP C07.00 template expect “Exposure net of value adjustments and provisions” in row 070 column 040 to match with “Net exposure after CRM substitution effects pre conversion factors” row 070 column 110? If yes, then how should the effect of CRM in column 050-100 be reported in C07.00 template?
We submit COREP reports to Prudential Regulation Authority (PRA) on Financial Conduct Authority (FCA)’s Regdata portal. The portal has inbuilt validation checks based on applicable COREP Taxonomy provided by EBA.
While submitting the COREP C07.00 template, validation warnings were generated on Regdata Portal which don’t specify a validation rule reference. However, the warning description indicates that “Exposure net of value adjustments and provisions” in row 070 column 040 should match with “Net exposure after CRM substitution effects pre conversion factors” row 070 column 110. In that case, the validation warnings seems to ignore the CRM values in column 050-100 of the template.
Please refer below the sample of exact warning message populated on Regdata portal:
The rounded value of fact 'Name: eba_met:mi117 Value: 267,612.76 Context: 9/30/2021 - Standardised Approach, Exposures, Corporates, Exposures to corporates without a short-term credit assessment, On balance sheet exposures subject to credit risk excluding instruments subject to securitisation credit risk treatment, Banking and trading book, Credit risk and free deliveries (c-339) Unit: USD (Id: uUSD) Decimals: -3 Id: ' doesn't match the calculated value of 1,426,000.00 defined by calculation linkbase hierarchy ' (http://www.eba.europa.eu/xbrl/crr/role/dict/met/AT5)'.
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