EBA · 2019_4535 Final Q&A

COREP C 14.00 template - Consistency of the EBA taxonomy control v4801_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2019-02-11
Answered
2020-07-17
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is the control v4801_m consistent with the COREP ITS?

Background

The control v4801_m controls than the sum of on/off balance sheet positions related to the securitisation positions (from c310 to c360) is higher than the absolute value of exposure value deducted from own funds (c420) for all types of Solvency treatment (c060). As trading book positions are disclosed in columns 460 and 470 and not in columns 310 to 360, the control should not be implemented when Solvency treatment (c060) is equal to Trading Book.

Answer

According to recital 66 of Regulation (EU) 575/2013, “Institutions should have a choice whether to apply a capital requirement to or deduct from Common Equity Tier 1 items those securitisation positions that receive a 1.250 % risk weight under this Regulation, irrespective of whether the positions are in the trading or the non- trading book.” Therefore, column 420 in template C14.00 (CR SEC Details) may be filled in also for positions in the trading book. This treatment also applies to column 420 in template C14.01 (CR SEC Details 2) in reporting framework v2.9. Therefore, v4801_m (v7338_m in v2.9) should not be applied to positions in the trading book.

Original source: European Banking Authority, Q&A ID 2019_4535

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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