Validation Rule v3748_s partly incorrect

Question

According to COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702 of 18 August 2016 column 430 of Template ‘C 13.00 — CREDIT RISK – SECURITISATIONS (CR SEC IRB)’ has to be reported with negative values. Description: ‘ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES: For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. Negative values shall be reported in this column.’ Therefore column 430 should be excluded from validation Rule v3748_s.

European Banking Authority · Accepted Answer

Column 430 should not be excluded from validation Rule v3748_s. Validation Rule v3748_s requires the value in column 430 of template C 13.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) to be positive. This validation rule v3748_s is correct. The ‘Adjustment to the risk-weighted exposure amount due to maturity mismatches’ calculated as RW*-RW(SP) according to Article 250 of Regulation (EU) No 575/2013 (CRR) can only be positive. The risk-weighted exposure amount can only be increased due to a maturity mismatch (contrary to the value of the protection). Concededly, the instructions for column 430 of C 13.00 which are stating that negative values shall be reported in this column are misleading as they suggested that positive values should be reported as negative values. The corresponding sentence (‘Negative values shall be reported in this column.’) will therefore be deleted.

Validation Rule v3748_s partly incorrect

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