Single Rulebook Q&A

Question ID: 2018_3682
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annexes I & II
Type of submitter: Consultancy firm
Subject matter : Annexes I & II, C 18.00, validation rules v4850_m and v4851_m.
Question:

Is there an error in the validation rules v4850_m and v4851_m applicable to template C 18.00?

 

Background on the question:

Validation rule v4850_m states that {r080} = {r090} + {r100} + {r110} and v4851_m states that {r120} = {r130} + {r140} + {r150} + {r160} + {r170} + {r180} + {r190} + {r200}. These validation rules apply to columns 10, 20, 30 and 40. Validation rule v4850_m will fail for columns 10 and 20 since rows 90, 100 and 110 are greyed out for these columns and therefore will not contain values. Validation rule v4851_m will fail for columns 10 and 20 since rows 130, 140, 150, 160, 170, 180, 190 and 200 are greyed out and will not contain values.

Date of submission: 26/01/2018
Published as Final Q&A: 18/05/2018
EBA answer:

As it is mentioned in Title IV, Chapter 2 of Regulation (EU) No 575/2013 (CRR), positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of the CRR and the correspondent own funds requirements set up in Article 339(9) of the CRR shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

As specified in Article 339(1) and (2) of the CRR, in order to calculate own funds requirements against general risk, all positions shall be weighted according to maturity as explained in paragraph 2 in order to compute the amount of own funds required. This requirement shall be reduced when a weighted position is held alongside an opposite weighted position within the same maturity band, so the calculation of the own funds will be based on the net positions.

Taking this into account and as can be seen in Annex I (template) and Annex II (instructions) of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), columns 010 and 020 of template C 18.00 are greyed out for the maturity of the instruments within zone 1, zone 2 and zone 3 of the maturity-based approach. The net positions (both long and short) are reported in columns 030 and 040, respectively.

Validation rules v4850_m and v4851_m were reexpressed in version 2.7 of the reporting framework. To be consistent among zone 1, zone 2 and zone 3 where columns 010 and 020 are greyed out, these validations rules have been amended in version 2.8 to exclude columns 010 and 020. 

Status: Final Q&A
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