4.0 Reporting Framework - COREP_OF C02 Template

Could you kindly clarify if, in the context of map C02 , the comparison should be made with line 0036 instead of line 0010, considering that the output floor is calculated at the consolidated level and not at the contract level?

It was raised a question regarding map C02 , specifically in relation to column 0010 (TREA). Initially, it was understood that the sum of lines 0040, 0490, 0520, 0590, 0630, 0640, 0680, and 0690 should be equivalent to line 0036. However, following the recent publication of the EBA rules, it became clear that the amounts of these lines are compared with line 0010 (with output floor), rather than line 0036 (without output floor). The reasoning behind the initial understanding was that comparing with line 0036 seemed more logical, as the output floor amount (line 0035) does not exist at the contract level (to be allocated per segment), but is instead calculated at the consolidated level, summing all risks. Using line 0010 for equivalence would require banks to establish allocation criteria for distributing the output floor amount across the sub-lines of Item 1.1.2, which could complicate the comparison. Therefore, the question raised is whether the EBA rule might be inadvertently defined and if it should be compared to line 0036. This issue is critical as it significantly affects the implementation process.