EBA · 2018_3705 Final Q&A

Validation rule v4792_m, C 12.00 - Securitisations

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2018-02-08
Answered
2018-05-18
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In C 12.00.a, the validation rule v4792_m is (r030;040;050;060;070;080;090)] {{c050}} <= {{c010}} Since row 30 (ORIGINATOR: TOTAL EXPOSURES) represents the totals for Originators, the above might not hold true in cases where significant early amortization exposures are present. This is because the row 100 for early amortization is greyed out for the columns 010 to 040 in the report template and hence is not considered in row 030 for these columns. However, row 100 is not greyed out for the column 050 where the validation check is applied.

Background

The reporting instructions for row 030 (ORIGINATOR: TOTAL EXPOSURES ) of C12 says: "This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of the originator, as defined by Article 4(1)(13) of CRR." However, the row for early amortisation is greyed out for column 010 which conflicts with validation rule v4792_m.

Answer

As far as row 030 of template C 12.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) is concerned, the validation rule v4792_m may not be valid in all cases and should therefore not be applied to row 030 because the early amortisation exposure may indeed cause {C 12.00, r030, c050} to be higher than {C 12.00, r030, c010}.

Original source: European Banking Authority, Q&A ID 2018_3705

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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