Question
We think that the validation rule v4456_m may not be correct because the first part is deducting row 260 of C 47.00 “(-) Exposures exempted in accordance with Article 429(14) of the CRR”. However, the exposures included in C 47.00 row 260 are reported in C 43.00 row 090 “Exposures treated as sovereigns” which is added in second part of the validation rule. v4456_m sum({C_47.00, c010, r[010, 020, 030, 040, 050, 060, 070, 080, 090, 100-260]}) = sum({C_43.00.a, c010, r[010, 040, 050, 060, 065, 070]}) + sum({C_43.00.b, c010, r[080, 090, 140, 180, 190, 210, 230, 280, 290]}) + sum({C_43.00.c, c020, r[080, 090, 140, 180, 190, 210, 230, 280, 290]}) Should it be changed this validation rule in the following sense? sum({C_47.00, c010, r[010, 020, 030, 040, 050, 060, 070, 080, 090, 100-260]}) ≤ sum({C_43.00.a, c010, r[010, 040, 050, 060, 065, 070]}) + sum({C_43.00.b, c010, r[080, 090, 140, 180, 190, 210, 230, 280, 290]}) + sum({C_43.00.c, c020, r[080, 090, 140, 180, 190, 210, 230, 280, 290]})
Background on the question
In the first part, this validation rule is deducting C 47.00 row 260, (-) Exposures exempted in accordance with Article 429(14) of the CRR. Entities may report data in this row if the conditions of 429 (14) are met. This exposures are included in C 43.00 row 130 which is a sub epigraph of C 43.00 row 90 that is being added in the second part of the formula. Entities which report row 260 are not going to fulfil the validation.
Answer
According to Part II, paragraph 28 of Annex XI of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2016/428, institutions shall report the leverage ratio exposure values in C 43.00 of Annex X net of the amounts which have to be reported in the LRCalc-cells (cells of C 47.00) listed in the above mentioned paragraph. The exposure exempted in accordance with Article 429(14) of the Regulation (EU) No 575/2013 (CRR) as amended by Delegated Regulation (EU) 2015/62, to which this question refers to, has to be reported, inter alia, in {C 47.00;r260;c010} (see instructions for this cell) and is thus subject to the provisions laid down in the paragraph 28. Hence, these exempted exposures shall not be included in the respective rows of C 43.00. In the light of that, validation rule v4456_m is correct.