Question ID:
2018_3718
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
General Remarks on template C18.00 – MKR SA TDI
Paragraph:
127
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph:
Validation Rule
Disclose name of institution / entity:
No
Subject Matter:
Validation Error arising from Guidance Notes for C 18.00 report
Question:

Which one should take precedence:
(1) the general remarks for template C 18.00 in the ITS on Supervisory Reporting (Annex II), or
(2) the existing formatting for the currency sheets of template C 18.00?

Background on the question:

The last two sentences of paragraph 127 (General Remarks on template C 18.00 – MKR SA TDI) of the ITS on Supervisory Reporting (Annex II) state the following: ‘The specific risk associated with exposures included in MKR SA SEC (i.e C 19.00) and MKR SA CTP (i.e. C 20.00) only has to be reported in the Total template of the MKR SA TDI (i.e. C 18.00). The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.’
The problem is that, if the guidance above guidance is anything to go by, then cell {325;060} (securitisations) and {330;060} (CTP) respectively should be greyed out in MKR SA TDI (i.e. C 18.00) on all the currency sheets s002 - s026, meaning they should never be populated and the validation rule v6019_m should always fail.
However, the currency sheets s002 to s026 of the C 18.00 do not reflect the general remarks guidance in the ITS on Supervisory Reporting (Annex II) for C 18.00, as cell {325;060} (securitisations) and {330;060} (CTP) respectively have not been greyed out, have data point IDs and can actually populated. This means that the validation rule e v6019_m, despite not being consistent with the guidance in the ITS should always pass.
In summary the general remarks for template C 18.00 in the ITS on Supervisory Reporting (Annex II) is not consistent with the formatting of the currency analysis sheets s002 to s026 of the same template C 18.00 (MKR SA TDI).

Date of submission:
16/02/2018
Published as Final Q&A:
06/04/2018
EBA Answer:

In accordance with the general remarks on template C 18.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), the own funds requirement for specific risk associated with exposures included in template C 19.00 (MKR SA SEC) and C 20.00 (MKR SA CTP) of Annex I only has to be reported in the total sheet of template C 18.00, in column 060 of row 325 respectively row 330.

Accordingly, v6019_m as defined for version 2.7 of the reporting framework cannot be fulfilled and was therefore deactivated.

 

Status:
Final Q&A