Question ID
2017_3623
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
99
Name of institution / submitter
SAS Institute Inc.
Country of incorporation / residence
India
Type of submitter
Consultancy firm
Subject matter
Inconsistency in validation rules v4748_m, v4749_m and v4750_m
Question

In taxonomy 2.7, validation rules v4748_m, v4749_m and v4750_m are introduced for template C 07.00.
Validation rule v4748_m expects the ‘fully adjusted exposure value (E*)’ (c150) to be equal to the sum of ‘Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors’ (i.e. sum of c160, c170, c180, c190) across rows 010-060, 080 and 140-280 for all sheets
Similarly, validation rule v4749_m expects (c150) to be equal to the sum of c160, c170, c180, c190 across rows 290 and 310 for all sheets and validation rule v4750_m expects c150 to be equal to the sum of c160, c170, c180 and c190 across rows 300 and 320 for all sheets.
Column 150 includes off balance as well as on balance items and columns 160, 170, 180 and 190 is break down only off balance items by conversion factors. Hence, equality in this validations may not hold true always. So, are these validations correct?

Background on the question

Fully adjusted exposure value of balance items getting included in c150 will not be included brake up by conversion factor in any of c160, c170,c180 and c190. Hence in some cases c150 will be greater than sum of c160, c170,c180 and c190.

Submission date
Final publishing date
Final answer

Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), Annex II, Part II, states that the fully adjusted exposure value (E*) as reported in column 150 of template C 07.00 of Annex I to the ITS on Supervisory Reporting should be calculated according to Articles 220 (4), Article 223 (2) to (5) and Article 228 (1) of Regulation (EU) No 575/2013 (CRR).

Additionally, columns 160 to 190 of template C 07.00 are defined as breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors.

Hence, the validation rules v4748_m, v4749_m and v4750_m, for v2.7 defined as {c150} = {c160} + {c170} + {c180} + {c190}, will be fulfilled only for rows which collect the off-balance sheet exposures subject to credit risk. Consequently, these validation rules will be amended, since the fully adjusted exposure value (E*) includes also on-balance items which are not in the scope of columns 160 to 190.

Status
Final Q&A
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Answer prepared by the EBA.

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