Question ID
2024_7182
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
123a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
5
Type of submitter
Other
Subject matter
C 07 - Clarification on reporting the effect of the FX Mismatch
Question

We seek clarification on some topics in regard to the newly introduced reporting requirements of the FX Mismatch (Art. 123a CRR III) in C07.
The changes have been introduced with the final draft of the ITS templates for columns 0215 and 0220 to exclude/include the fx mismatch effect.

1. Our assumption is that the validation rules asking for consistency between column 0200, 0215 and the riskweight of the row in which the exposure is reported will still exist in the future. (e.g. v0324_m etc)
Can you therefore confirm that the expectation for exposures affected by the fx mismatch is that they are to be reported in the row for the "unadjusted" riskweight instead of the riskweight including the effect of the fx mismatch?

2. as no specific column for the effect of the mismatch was introduced, can you confirm that validation rule v0329_m will become obsolete?

Background on the question

in contrast to the SME and infrastructure supporting factor that in the CRR state that riskweighted exposure amounts should be modified by the factors, Art. 123a states that the riskweight should be modified by the FX mismatch.
However as the reporting requirement has been drafted in a similar manner to the existing supporting factors and based on existing validation rules (that make sense so we assume they will be kept) the actual riskweight to be reported would not include the FX mismatch.
In our opinion the reporting requirement is therefore not in line with the text of the regulation as the actual riskweight would not be reported.
Additionally there is no separate information planned to report exposures subject to the fx mismatch so we think information will be lost by reporting like this.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the Reporting framework / release of the respective validation rules.

Status
Rejected question