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SBP quality checks / reporting 12 2019

Dear , We are testing the XBRL reporting of our SBP reporting, due for 14 April 2020 (on ref date 12 2019). Currently, our XBRL file is rejected, mostly for a large number of errors on DQ checks where there is a test of a global portfolio with underlying sub portfolios . Analyzing this error code, we can not find a solution but in our understanding, all the total values must also include the category ‘other countries’ or those with the code‘X2’ ( exact the difference what the test indicates) which is also mentioned in “Annexe 1’ . Below you will find a list (examples) of DQ checks where this kind of problem is established "ERROR" code="IC_QC_SVB2020_33_C180" "ERROR" code="IC_QC_SVB2020_33_C170" "ERROR" code="IC_QC_SVB2020_33_C120" "ERROR" code="IC_QC_SVB2020_33_C110" "ERROR" code="IC_QC_SVB2020_33_C090" "ERROR" code="IC_QC_SVB2020_33_C080" "ERROR" code="IC_QC_SVB2020_29_C180" "ERROR" code="IC_QC_SVB2020_29_C170" "ERROR" code="IC_QC_SVB2020_29_C120" "ERROR" code="IC_QC_SVB2020_29_C110" "ERROR" code="IC_QC_SVB2020_29_C090" "ERROR" code="IC_QC_SVB2020_29_C080" "ERROR" code="IC_QC_SVB2018_88_C180" "ERROR" code="IC_QC_SVB2018_88_C170" "ERROR" code="IC_QC_SVB2018_88_C150" "ERROR" code="IC_QC_SVB2018_88_C120" "ERROR" code="IC_QC_SVB2018_88_C110" "ERROR" code="IC_QC_SVB2018_88_C090" "ERROR" code="IC_QC_SVB2018_88_C080" "ERROR" code="IC_QC_SVB2018_77_C180" "ERROR" code="IC_QC_SVB2018_77_C170" "ERROR" code="IC_QC_SVB2018_77_C150" "ERROR" code="IC_QC_SVB2018_77_C120" "ERROR" code="IC_QC_SVB2018_77_C110" "ERROR" code="IC_QC_SVB2018_77_C090" "ERROR" code="IC_QC_SVB2018_77_C080" "ERROR" code="IC_QC_SVB2018_74_C180" "ERROR" code="IC_QC_SVB2018_74_C170" "ERROR" code="IC_QC_SVB2018_74_C150" "ERROR" code="IC_QC_SVB2018_74_C120" "ERROR" code="IC_QC_SVB2018_74_C110" "ERROR" code="IC_QC_SVB2018_74_C090" "ERROR" code="IC_QC_SVB2018_74_C080" "ERROR" code="IC_QC_SVB2018_61_C180" "ERROR" code="IC_QC_SVB2018_61_C170" "ERROR" code="IC_QC_SVB2018_61_C150" "ERROR" code="IC_QC_SVB2018_61_C120" "ERROR" code="IC_QC_SVB2018_61_C110" "ERROR" code="IC_QC_SVB2018_61_C090" "ERROR" code="IC_QC_SVB2018_61_C080" "ERROR" code="IC_QC_SVB2018_45_C120" "ERROR" code="IC_QC_SVB2018_45_C110" "ERROR" code="IC_QC_SVB2018_45_C090" "ERROR" code="IC_QC_SVB2018_45_C080" "ERROR" code="IC_QC_SVB2018_30_C180" "ERROR" code="IC_QC_SVB2018_30_C170" "ERROR" code="IC_QC_SVB2018_30_C150" "ERROR" code="IC_QC_SVB2018_30_C120" "ERROR" code="IC_QC_SVB2018_30_C110" "ERROR" code="IC_QC_SVB2018_30_C090" "ERROR" code="IC_QC_SVB2018_30_C080" Is it possible that the programmed validation rule in ONEGATE is not correct ? If you agree, is it possible to obtain a by-pass of these validation rules ? Best regards,

COREP taxonomy : discrepancies between the all-currency and currency tables in ALM-66 and LCR-74

In the COREP taxonomy, we found the following discrepancies between the all-currency and currency tables in ALM-66 and LCR-74: - In table C_66.01.a, the dimension "CAL" is in addition for all columns in row 720 compared to table C_66.01.w. - In Table C_66.01.b, the dimension "CPC" is in addition for column 010 of lines 770, 810, 830, 840, 850, 880, 890, 900, 910, 930, 940, 950 and 960 compared to Table C_66.01.x. - In Table C_66.01.b, the dimension "LIQ" is in addition for column 010 of rows 770, 780, and 790 compared to Table C_66.01.x. - In table C_66.01.b, the value "x64" of the dimension "MCY" is set for column 010 of rows 810, 840, 880 and 960. The value "x523" is set in table C_66.01.x. - In table C_74.00.a, the value "x206" of the dimension "LQC" is set for all columns in rows 269 and 271. The value "x154" is set in table C_74.00.w. Will these discrepancies be corrected in taxonomy 2.10 ?

Cash received or security retained on the balance sheet in SFT transactions

C47 report ITS report guidelines mention under Row 010 as per heading that SFT exposures according to CRR 429 (5) and 429 (8) 429 (5) “repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions shall not be netted.” 429 (8) “institutions may determine the exposure value of cash receivables and cash payables of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions with the same counterparty on a net basis only if all the following conditions are met” As per the above, if cash legs netting is not done, Repo exposure value as per article 111, is the security owned by the institution and under repo transaction is to be reported. There is no netting of repo positions. But in the report guidelines, it is mentioned that “Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {190, 1}. “ The guidelines appear a little contradictory as on the top, they say exposure value of repurchase transactions are to be reported here. Again, they mention that cash received or any security retained on the balance sheet that are provided in the repurchase transactions are not to be reported here. Presuming that no cash receivables and cash payables are not eligible for in terms of CRR guidelines, what are the positions to be reported in the cells Row 010 and Row 190 There is same issue in C40 report between Row 070 (SFTs covered under master netting agreement), Row 080 (SFTs not covered under master netting agreement) and Row 090 (other assets). While SFTs accounting balance sheet values are to be reported in Row070 and Row080, the ITS guidelines state that cash received or any security retained on the balance sheet that are provided in the repurchase transactions are not to be reported in Row 070 and Row080 but to be reported in Row 090 under other assets. It is not clear as cash received in a repo transaction/security lending transaction is a liability and not exposure and how is treated as asset for leverage ratio reports. For example, 1 scenario If institution have 3 repo and reverse repo transactions with a counterparty and there is no bilateral master netting agreement 1. ABC institution does a repo transaction with security (retained on the balance sheet) value of Euro 100 and obtains a loan 80 from XYZ institution. 2. ABC institution does a repo transaction with security (not retained on the balance sheet) value of Euro 200 and obtains a loan of Euro 150 from XYZ Institution 3. ABC institution does a reverse repo transaction and provides a loan of Euro 120 against a security of Euro 200 from DEF institution. In these transactions exposure value for CCR purposes repo and reverse repo exposure positions are Euro 100 and Euro 120 only The collaterals will be Euro 80 and Euro 200. Please clarify which positions are to be reported in C47 in Row 010 and Row 190 and in C40 in Row 080 and Row090. Request for our information if cash receivables and cash payables netting is allowed how the reporting changes.

FINREP form F02 vs. F20.3 - rule v0980_m not consistent to v1355_h and v1356_h

In form F02 row 285 named "Cash contributions to resolution funds and deposit guarantee schemes" has been added. In form F20.3 template F02 has to be split into domestic and non-domestic activities. Some validations rules - e.g. v0980_m, v1355_h and v1356_h are checking the consistency between F02 and F20.3. Because of adding row 285 to F02 and not adding row 285 to F20.3 in the context of DPM 2.9, rule v0980_m causes a validation break.

Definition of a "financial holding company" according to Article 4 para 1 no 20 CRR (CRR II)

Does the definition of a "financial holding company" according to Article 4 para 1 no 20 CRR require that the respective entity ("holding") does hold more than one subsidiary?

Treatment of XVAs within the FRTB ASA calculation

Are all XVAs out of scope for the calculation of FRTB numbers using the ASA calculation methodology?

The scope of application for the concept of ‘trading desk’ as outlined in Article 104b.

Are the requirements of a ‘trading desk’, as outlined in Article 104b, required only by IMA institutions? As such, are these requirements not applicable for ASA institutions?

The combination of values that forms a primary key differs between Annex II and the DPM-model 2.9. Moreover, does not account for the reporting of several critical functions.

How should institutions report multiple critical functions for which the values in columns 0010, 0030, 0040 and 0050 are the same?

Validation rule V8450_m

Validation rule v8450_m is understood to be comparing the total maximum collateral (on debt instruments at fair value through other comprehensive income) to the carrying amount. The comparison includes row 903. Shouldn't the calculation be based on just row 201?