Question ID
2017_3317
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annexes I and II, C 19.00, validation rules
Type of submitter
Consultancy firm
Subject matter
V4835_m - C 19.00 column 610 calculation
Question

We have interrogations about the new validation rule v4835_m. In C 19.00, row 010: column 610 = column 600 (TOTAL OWN FUNDS REQUIREMENTS = SUM OF WEIGHTED NET LONG AND SHORT POSITIONS).

Until now, some of our clients calculates column 610 multiplying column 600 by 8%. In ITS and Article 337 (4) CRR, we saw only the following precision: c600 is used to calculate c610 but there is no precision on this calculation. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.

Could you clarify the calculation of the column c610 in C 19.00?

Background on the question

v4835_m

Submission date
Final publishing date
Final answer

According to the instructions on c580 – c600 of template C 19.00 of Annex I to Regulation (EU) No 680/2014, the weighted net positions reported in these columns reflect the provisions of Article 337 and, where applied, Article 335 of Regulation (EU) No 575/2013 (CRR).

Article 337 CRR requires institutions to weight their securitisation positions by 8% of the risk weight applicable under the provisions of Part Three, Title II, Chapter 5, Section 3 and Article 407 CRR. Thus, the amount of net weighted positions reported in c600 already takes into account, among others, the multiplication by 8% envisaged by Article 337 CRR. The result of the application of Article 337 and, where applicable, Article 335 CRR immediately represents the own funds requirement which shall be reported in c610 of template C 19.00.

As the transitional provision of Article 337 (4) CRR expired, v4835_m correctly reflects the provisions of the CRR.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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