EBA · 2018_3724 Final Q&A

COREP template C13: Consistency of the control v0530_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2018-02-20
Answered
2018-05-18
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

COREP template C13: Is the EBA taxonomy control v0530_m consistent when tranches are deducted from own funds?

Background

In the C13 template, the control v0530_m controls for all lines that the amount reported in column 120 is equal to the sum of the amounts of the columns 110 and 120. In addition, the amount of the column 120 “Fully Adjusted Value (E*)”, needs to be consistent with amount of column 170 “Exposure value”, and the amount of column 170 needs to be equal to the sum of the absolute amounts of columns 180+190. Based on Article 266 of the CRR, the column 180 “Exposure value deducted from Own funds” is an exposure net of provisions. Consequently, exposure value of column 170 and 120 for deducted tranches should be net of provisions. At the opposite, the column 100 “Exposure after CRM substitution effects pre conversion factor” by definition is gross of provisions. To this end, when tranches with provision attached are deducted from own funds, the column 120 is equal to an exposure net of provisions whereas the column 100 is gross of provisions.

Answer

According to Annex II of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) for  template C 13.00 of Annex I to the ITS on Supervisory Reporting, the fully adjusted exposure value (c120) is the securitisation position without applying the conversion factors laid down in Article 246(1) point c) of Regulation (EU) No 575/2013 (CRR). Validation rule v0530_m states that {c120} = {c100} + {c110}. Therefore, both the exposure after CRM substitution effects pre conversion factors (c100) and the CRM techniques affecting the amount of the exposure (c110) are gross of provisions. Consequently, v0530_m is correct. According to the instructions of column 180 the reported value is based on Article 266 (3) CRR and therefore is an exposure value net of provisions. This is reflected in validation rule v0531_m_saying that the sum of columns 170 and 180 is equal or bigger than the value reported in column 190.

Original source: European Banking Authority, Q&A ID 2018_3724

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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