EBA · 2013_227 Final Q&A

Validation Rules (SEC) - Rule v531_m does not take into account value adjustments on deductions from own funds

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
266, para. 3
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2013-09-10
Answered
2014-03-07
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Validation rule v531_m does not seem to take into account that as stated in CRR 266(1) deductions from own funds can be reduced by the specific credit risk adjustments made in respect of the exposure leading to the deduction. Column 180 of C 13.00 (CR SEC IRB) reports these deductions as specified in CRR 266(3). Crr 266(3a) in turn refers to CRR 266(1) and (2) for the calculation of the deduction amounts. When there are such specific credit risk adjustments on deductions from own funds, the value in column 180 is reduced accordingly and the sum of columns 170 and columns 180 does not add up to the value of column 190. Should therefore this validation rule not be weakend to {c190} <= {c170} + {c180} ?

Background

Validation rule v531_m states that the value fo column 190 of C 13.00 ist to be equal the sum of columns 170 and 180 (negative) of C 13.00. In columns 170 (all exposure values) and 190 (exposure values subject to risk weights only) there are to be reported the exposure values according to CRR 246. In case of the IRBA approach this means, that value adjustments are not to be included in these columns as stated in CRR 246 (1b). However, as in column 180 these adjustments are taken into account, one cannot expect 190 = 170 + 180 to hold true, when such adjustments arise. This is for the institution issuing this question actually the case.

Answer

We agree with the proposed answer. Validation rule v0531_m will be amended accordingly: {c190} = {c170} + {c180} instead of {c190} = {c170} + {c180}.

Original source: European Banking Authority, Q&A ID 2013_227

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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