Question ID:
2019_4535
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
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 (as amended)
Article/Paragraph:
Annex II
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
COREP C 14.00 template - Consistency of the EBA taxonomy control v4801_m
Question:

Is the control v4801_m consistent with the COREP ITS?

Background on the question:

The control v4801_m controls than the sum of on/off balance sheet positions related to the securitisation positions (from c310 to c360) is higher than the absolute value of exposure value deducted from own funds (c420) for all types of Solvency treatment (c060). As trading book positions are disclosed in columns 460 and 470 and not in columns 310 to 360, the control should not be implemented when Solvency treatment (c060) is equal to Trading Book.

Date of submission:
11/02/2019
Published as Final Q&A:
17/07/2020
EBA Answer:

According to recital 66 of Regulation (EU) 575/2013, “Institutions should have a choice whether to apply a capital requirement to or deduct from Common Equity Tier 1 items those securitisation positions that receive a 1.250 % risk weight under this Regulation, irrespective of whether the positions are in the trading or the non- trading book.” Therefore, column 420 in template C14.00 (CR SEC Details) may be filled in also for positions in the trading book.
This treatment also applies to column 420 in template C14.01 (CR SEC Details 2) in reporting framework v2.9.
Therefore, v4801_m (v7338_m in v2.9) should not be applied to positions in the trading book.

Status:
Final Q&A