EBA · 2021_6284 Final Q&A

Inclusion of certain AVA categories into the Total AVA in C 32.02

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2021-11-17
Answered
2023-02-24
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Should the AVA categories of column 0070 ('Concentrated positions'), column 0080 ('Future administrative costs'), column 0090 ('Early termination') and column 0100 ('Operational risk') of C 32.02 be incorporated into what is reported in template C 32.02, column 0110 ('Total AVA')?

Background

We believe that each of the AVA categories reported in columns 0010 to 0060 of C 32.02 and those in columns 0070 to 0100 of C 32.02 are components of the 'Total AVA' reported in column 0110 of template C 32.02.  If this assessment of the template requirements is correct, then validation rule v10235_m ({C 32.02.a, r0030, c0110} = {C 32.02.a, r0040, c0110} + {C 32.02.a, r0140, c0110} + {C 32.02.c, r0030, c0070} + {C 32.02.c, r0030, c0080} + {C 32.02.c, r0030, c0090} + {C 32.02.c, r0030, c0100}) appears to contradict this.  As both {C 32.02.a, r0040, c0110} and {C 32.02.a, r0140, c0110} relate to Total AVA, the values reportable in C 32.02.c, r0030, columns 0070, 0080, 0090 and 0100 are already incorporated within these data points. Therefore, including the references to C 32.02.c within the validation rule is resulting in a double count of the values reported in these columns. Does validation rule v10235_m need to be amended to remove the references to C 32.02.c?

Answer

The instructions regarding column 0110 of template C 32.02 of Annex I to Regulation (EU) 2021/451, as provided in Annex II thereto, state that the value in row 0030 of this column represents the sum of concentrated positions, future administrative costs, early termination and operational risk. Additionally, it includes market price uncertainty, close-out costs and model risk categories after diversification benefits. Nevertheless, row 0040 does not include AVAs from concentrated positions, future administrative costs, early termination, and operational risk categories as this row is greyed out in table C 32.02.c (see validation rule v6358_m also). In conclusion, validation rule v10235_m is correct and it shall be kept.

Original source: European Banking Authority, Q&A ID 2021_6284

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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