EBA · 2024_7182 Rejected question

C 07 - Clarification on reporting the effect of the FX Mismatch

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
123a
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Other
Submitted
2024-08-28
Browse ECB SSM Register → More Q&As on this regulation →

Question

We seek clarification on some topics in regard to the newly introduced reporting requirements of the FX Mismatch (Art. 123a CRR III) in C07. The changes have been introduced with the final draft of the ITS templates for columns 0215 and 0220 to exclude/include the fx mismatch effect. 1. Our assumption is that the validation rules asking for consistency between column 0200, 0215 and the riskweight of the row in which the exposure is reported will still exist in the future. (e.g. v0324_m etc) Can you therefore confirm that the expectation for exposures affected by the fx mismatch is that they are to be reported in the row for the "unadjusted" riskweight instead of the riskweight including the effect of the fx mismatch? 2. as no specific column for the effect of the mismatch was introduced, can you confirm that validation rule v0329_m will become obsolete?

Background

in contrast to the SME and infrastructure supporting factor that in the CRR state that riskweighted exposure amounts should be modified by the factors, Art. 123a states that the riskweight should be modified by the FX mismatch. However as the reporting requirement has been drafted in a similar manner to the existing supporting factors and based on existing validation rules (that make sense so we assume they will be kept) the actual riskweight to be reported would not include the FX mismatch. In our opinion the reporting requirement is therefore not in line with the text of the regulation as the actual riskweight would not be reported. Additionally there is no separate information planned to report exposures subject to the fx mismatch so we think information will be lost by reporting like this.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7182

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.

Similar Q&As

Validation Rule on C 09.02 Template - V4787

Answered 2021-03-19

Inconsistency in validation rules v0532_m.

Answered 2014-04-04

Instructions regarding unmatched positions, Foreign Exchange Risk

Answered 2014-04-30

Annexes I & II, C 18.00, validation rules v4850_m and v4851_m.

Answered 2018-05-18

C 08.01 - validation rule v5739_h (applicable as of v2.7)

Answered 2018-11-09

More Q&As on this topic

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)

Answered 2025-12-05

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.