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

In the absence of specific guidance in the Annex, the scope of the new column c0195 Transitional arrangements for UCCs in C_07.00 and the expected reporting of such UCCs throughout the transition phase remains unclear. For example, the Bank has a UCC with a nominal value of €100,000, all of which remains undrawn over the transition period 1 January 2025 to 31 December 2032. Please confirm that the exposure shall be consistently reported as €100,000 in c0195 throughout the transition period 1 January 2025 to 31 December 2032, as follows.  Reference Period Transitional Arrangement Art 495d (1) Factor Example: UCC with nominal value of €100,000 Exposure Value     c0195 c0200 2025-2029 0% 100,000 0 2030 25% 100,000 2,500 2031 50% 100,000 5,000 2032 75% 100,000 7,500 Whilst acknowledging the relevant validations v6364_m and v0307_m, the proposed rationale is based on the principle that the UCC is in its entirety subject to the transitional arrangements as from the reference period 2025.  Effectively, this implies that c0195 shall consist of the fully adjusted exposure value prior to the application of both the CCF and the transitional factor laid down in Article 495d . Such reporting would also ensure alignment with c0150 and the preceding columns.

Our query stems from the fact that the proposed reporting of c0195 does not accurately present the effect of the transitional factors over the phasing period within the section “Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors” . Instead, we understand that the effects of the transition shall be evident in c0200 Exposure Value , where such column comprises the exposure value after both the application of the CCF and the factor prescribed in Article 495d.