Label of column 140 in C07.00 and validation rule v0008_h

Validation rule v0008_h checks whether values reported in column 140 are higher than values reported in column 130. According to the instructions of column 140, the value reported shall consist of the volatility and maturity adjustments of the value of the collateral and is therefore not a part of the value of column 130. This makes it necessary to remove the text “of which” from column 140 which implies a subset of column 130. Therefore shall the title of column 140 be adjusted to ‘Volatility and maturity adjustments’? Shall validation rule v0008_h be deleted since the value in column 140 can be higher or lower than the value in column 130 and DPM hierarchy be amended?

According to the Financial Collateral Comprehensive Method, the value of a collateral has to be adjusted to consider volatilities in the performance as well as currency and maturity mismatches of the collateral. As explained in the instructions of column 140 of template C07.00 of Annex II of Regulation (EU) No. 680/2014, the amount of volatility adjustments, which should be reported in column 140, is calculated as (Cva-C) = C*[(1-Hc-Hfx)-1]. The impact of maturity adjustments is defined as (Cvam-Cva) = C*[(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]. Therefore the amount reported is the difference between Cvam and C, and not a part of Cvam. Therefore, the recommended text for column 140 is “volatility and maturity adjustments”. Depending on the value of the adjustments, column 140 may be higher or lower than Cvam reported in column 130. This also means that there is no hierarchy between columns 130 and 140. The title structure of the column 130 should also be changed so that it is not spread to column 140 which can confuse the reader that column 140 is a part of column 130.