Quality Control ID EGDQ_0764 for Annex I, INSTRUCTIONS FOR REPORTING ON SPECIFIC REQUIREMENTS FOR MARKET RISK, Template ({C90.00,r0010,c0080})

Should Total Assets reported in FRTB ({C90.00,r0010,c0080}) correspond to the amount reported in FINREP ({F01.01,r0380,c0010}) as required by Data Quality ID EGDQ_0764?

Article 445 of Regulation (EU) No 575/2013 (CRR) prescribes the Market Risk disclosure requirements for Institutions calculating their own funds requirements in accordance with points (b) and (c) of Article 92(3).  The EBA ITS reporting instructions for FRTB reporting (see par.4) states that the  " information provided in this template shall reflect the result of the calculation of Article 94 CRR (derogation for small trading book business) and the size of an institutions’ on- and off-balance sheet subject to market risk in accordance with Article 325a CRR ".   The ITS for FRTB requires Total Assets (i.e. Point (a) of Article 94 (1) and Point (a) of Article 325a (1) of CRR) to be reported in FRTB ({C90.00,r0010,c0080}). This number is used to determine the On/Off-Balance Sheet business subject to Market Risk as a % of Total Assets in FRTB  ({C90.00,r0010,c0040}) and FRTB ({C90.00,r0010,c0070}). EGDQ_0764 is a warning DQ which states that {C90.00,r0010,c0080} = {F01.01,r0380,c0010}. Clarification is sought on whether the scoping for Total Assets referred to is Accounting Total Assets (i.e. FINREP ({F01.01,r0380,c0010}) or from a Market Risk scoping perspective (i.e. absolute Long plus absolute Shorts plus Off-Balance Sheet) as per Articles 94 (3) (c) and 325a (2) (f) as this will impact the %'s disclosed in FRTB  ({C90.00,r0010,c0040}) and ({C90.00,r0010,c0070}). FINREP ({F01.01,r0380,c0010} represents Accounting Total Assets which constitutes only of On-Balance Sheet Assets. This balance excludes unnetted short exposures which are reported as Part of Total Liabilities and Off-Balance Sheet Exposures. FRTB Total Assets in scope for Market Risk however constitutes of On-Balance Sheet Total Assets, On-Balance Sheet Total Liabilities, Off-Balance Sheet Total Assets and Off-Balance Sheet Total Liabilities. For Total Assets in FRTB Template C90, it seems intuitive to refer to Column 0040 (Trading Book business for the purposes of Article 94 CRR in % of total assets) and Column 0070 (On- and Off-Balance Sheet business subject to market risk per Article 325a (1) in % of total assets). References to the word “in” in the Title for columns 0040 and 0070 means that Trading book business for the purposes of Article 94 & 325a of CRR is included in Total Assets. Example Article 94(3.) " Institutions shall calculate the size of their On- and Off-Balance Sheet Trading Book business on the basis of data as of the last day of each month for the purposes of paragraph 1 in accordance with the following requirements: (c) the absolute value of Long positions shall be summed with the absolute value of Short positions. "  The scoping for Market Risk Total Assets does not correspond with that for Accounting Total Assets as Accounting unnetted Shorts tend to be booked on the Liabilities side and Off-balance Sheet do not form part of Total Assets. If any of the Short Exposures in scope for Market Risk which are booked on the Liabilities side and Off-Balance Sheet exposures are not included in the denominator used for deriving % for columns 0040 and 0070, in most cases Institutions will all be reporting a ratio of over 100% which would be incorrect.