Question ID
2026_7963
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
N/A
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Credit institution
Subject matter
C14.01 - EBA VR v7338_m
Question

The EBA Validation Rule v7338_m applicable to the C14.01 template states that the exposure value deducted from own funds (c0420) should be equal or lower than the original exposure pre-conversion factors, split by tranches (c310, c320, c330, c340, c350, c360).

Should this control be applicable?

Background on the question

The validation rule v7338_m intends to check that, for a given securitisation position, the amount deducted from own funds on column 420 (not conditional on the book type position) does not exceed the sum of the on and off-balance sheet tranches' exposures on the columns 310-360 (which concern only banking book positions - according to the ITS instruction).

However, for a securitisation position in the trading book subject to a deduction (c0420 > 0), the columns 310-360 will be zero or not representative of the actual exposure, since that exposure is not reported there as it relates to a trading book position. The rule then triggers a rejection because the columns 420 and 310-360 do not cover the same exposure scope.

Given that, could you please clarify: 
-Whether the rule should be restricted to positions where the solvency treatment (c0060) corresponds to the banking book portfolio, in order to avoid a comparison between data possibly from the trading book (c0420) and data structurally limited to the banking book (c0310-c0360)?

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the Reporting framework / release of the respective validation rules.

Status
Rejected question