Question
According to the taxonomy the value of C08.01 field row 010 column 100 ('of which off-balance sheet items') should be equal to the value of field row 030 column 090 (Exposure 'off-balance sheet items subkect to credit risk'). In our view this is not correct as the field 030/090 excludes securities financing transactions and derivatives (as part articile 3.3.3.1) while the field 010/100 is for the whole portfolio.
Background on the question
Incorrect validation errors appear when field 010/100 includes for example securities financing operations which are off-balance during the timeframe between trade date and start date). Please advise how we should treat with this discrepancy or please adjust/de-activate this validation check.
Answer
With reference to the template C 08.01 of Annex I to Regulation (EU) No. 680/2014, the amount included in row 010, column 100 (reference to CR-SA instructions which define Off balance sheet exposures subject to credit risk as Off-balance sheet positions comprise those items listed in Annex I of CRR) shall be the same included in row 030, column 090 (Off-balance sheet positions comprise those items listed in Annex I of CRR.). Additionally, both data points do not include securities financing transactions, derivatives and long settlement transactions or from contractual cross product netting, as required by Art. 166 (10) of Regulation (EU) No. 575/2013 (CRR). Validation rules v3354_i to v3370_i are therefore correct.