Single Rulebook Q&A

Question ID: 2015_2125
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Paragraph: 1
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annex I and II, validation rules
Name of institution / submitter: BaFin
Country of incorporation / residence: Germany
Type of submitter: Competent authority
Subject matter : Label of column 140 in C07.00 and validation rule v0008_h
Question:

Validation rule v0008_h checks whether values reported in column 140 are higher than values reported in column 130.
According to the instructions of column 140, the value reported shall consist of the volatility and maturity adjustments of the value of the collateral and is therefore not a part of the value of column 130. This makes it necessary to remove the text “of which” from column 140 which implies a subset of column 130.
Therefore shall the title of column 140 be adjusted to ‘Volatility and maturity adjustments’? Shall validation rule v0008_h be deleted since the value in column 140 can be higher or lower than the value in column 130 and DPM hierarchy be amended?

Background on the question:

According to the Financial Collateral Comprehensive Method, the value of a collateral has to be adjusted to consider volatilities in the performance as well as currency and maturity mismatches of the collateral.

As explained in the instructions of column 140 of template C07.00 of Annex II of Regulation (EU) No. 680/2014, the amount of volatility adjustments, which should be reported in column 140, is calculated as (Cva-C) = C*[(1-Hc-Hfx)-1]. The impact of maturity adjustments is defined as (Cvam-Cva) = C*[(1-Hc-Hfx)*[(t-t*)/(T-t*)-1].
Therefore the amount reported is the difference between Cvam and C, and not a part of Cvam. Therefore, the recommended text for column 140 is “volatility and maturity adjustments”.

Depending on the value of the adjustments, column 140 may be higher or lower than Cvam reported in column 130. This also means that there is no hierarchy between columns 130 and 140.
The title structure of the column 130 should also be changed so that it is not spread to column 140 which can confuse the reader that column 140 is a part of column 130.

Date of submission: 13/07/2015
Published as Final Q&A: 05/10/2018
EBA answer:

It is correct that the value in column 140 of template C 07.00 of Annexes I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) is not a part of the value of column 130. As explained in the instructions on column 140, the value reported represents the volatility and maturity adjustments necessary to calculate the volatility and maturity adjusted value of the collateral under the Financial Collateral Comprehensive Method according to Articles 223 (1) and 239 (2) of Regulation (EU) No 575/2013 (CRR), i.e. the negative difference between Cvam and C.
This will be reflected in a future version of template C 07.00 and validation rule v0008_h, which was already deactivated, will be deleted. 

Status: Final Q&A
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