Question
We wonder about the consistency of validation rules v7386_m and v7387_m, which are set to verify that columns 0431 and 0432 of template C 14.01 should always be equal to or higher than columns 0900 and 0910 of Template C 13.01, respectively.
Background on the question
Indeed, columns 0431 and 0432 include both trading book and banking book positions (section 3.8.2 of Regulation (EU) 2021/451). Columns 0900 and 0910 of Template C 13.01 include banking book securitisation positions only (section 3.7.1 of Regulation (EU) 2021/451). However, please note that all these columns have to be reported with a negative sign. On this basis, the validation rules should be amended in order to consider the mandatory negative sign by either changing the sign to “<=” or applying the absolute value to both sides of the inequation.
Answer
According to Annex II of Implementing Regulation (EU) 2021/451 (ITS on supervisory reporting), paragraph 108, template C 13.01 “shall gather joint information on both traditional and synthetic securitisations held in the banking book”. Q&A 5729 clarifies that columns 0431 and 0432 of template C 14.01 are reserved for adjustments provided in Articles 267 and 268 of Regulation (EU) No 575/2013 (CRR) respectively, this is, for securitisations in the banking book. Validation Rules v7386_m and v7387_m will be amended accordingly to check an equality between the columns regarding the adjustments under templates C 13.01 and C 14.01. However, they should not trigger any Warning as they are currently expressed.