EBA · 2022_6586 Rejected question

v7371_m and v7372_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-09-23
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Question

Validation rule v7371_m is defined as follows: xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140} Validation rule v7372_m is defined as follows: sum({C 14.01, c0310, (sNNN)}) <= {C 14.00, c0230} These validation rules do not satisfy the reporting guidance provided in Regulation (EU) No 2021/451.  Are they correctly defined?

Background

In Regulation (EU) 2021/451, Annex II, Part II, Chapter 3.8.1. - Scope of the SEC DETAILS template, there is paragraph 114 which requests that institution investing in securitisation positions shall report the template C 14.00 and C 14.01 to a limited extent. The relevant columns of the templates that are only required in the scope of reporting are: 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.  When an institution has a role of "Investor" in securitisation, information shall be provided in column c0310 in accordance with this guidance. Columns c0140 and c0230 shall not be completed according to the same guidance. Therefore, the validations rules above-mentioned cannot be satisfied when the reporting guidance need to be followed.
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Original source: European Banking Authority, Q&A ID 2022_6586

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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