Question ID:
2022_6399
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph:
ANNEX II, paragraph 3.8.2, paragraph 3.7.1
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
v7386_m and v7387_m (COREP)
Question:

 

We wonder about the consistency of validation rules v7386_m and v7387_m, which are set to verify that columns 0431 and 0432 of template C 14.01 should always be equal to or higher than columns 0900 and 0910 of Template C 13.01, respectively.

Background on the question:

Indeed, columns 0431 and 0432 include both trading book and banking book positions (section 3.8.2 of Regulation (EU) 2021/451). Columns 0900 and 0910 of Template C 13.01 include banking book securitisation positions only (section 3.7.1 of Regulation (EU) 2021/451). However, please note that all these columns have to be reported with a negative sign. On this basis, the validation rules should be amended in order to consider the mandatory negative sign by either changing the sign to “<=” or applying the absolute value to both sides of the inequation.

Date of submission:
15/03/2022
Published as Final Q&A:
28/10/2022
Final Answer:

According to Annex II of Implementing Regulation (EU) 2021/451 (ITS on supervisory reporting), paragraph 108, template C 13.01 “shall gather joint information on both traditional and synthetic securitisations held in the banking book”. 

Q&A 5729 clarifies that columns 0431 and 0432 of template C 14.01 are reserved for adjustments provided in Articles 267 and 268 of Regulation (EU) No 575/2013 (CRR) respectively, this is, for securitisations in the banking book. 

Validation Rules v7386_m and v7387_m will be amended accordingly to check an equality between the columns regarding the adjustments under templates C 13.01 and C 14.01. However, they should not trigger any Warning as they are currently expressed. 

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