EBA · 2014_1374 Final Q&A

Error in validation v0623_m (C.21.00 – MKR SA EQU)

Name: Error in validation v0623_m (C.21.00 – MKR SA EQU): EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 99, para. 1
Topic: Supervisory reporting - COREP (incl. IP Losses)
Submitted by: Credit institution
Submitted: 2014-07-18
Answered: 2015-03-27
Answer provided by: ESAs (EBA, ESMA, EIOPA)

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Question

Please confirm whether v0623_m is erroneous (refer to background on question for further detail) and if so, what the correct validation should be.

Background

The validation does not take into account the application of CRR Article 344 which allows 0% risk weight to be applied to Qualifying Equity indices if the treatment was applied prior to 1 January 2014 (per EBA ITS ON Article 344(1)). We believe that this is an error in the validation rule.

Answer

Positions in stock-index futures which are treated according to the second sentence of Article 344 (4) of the Regulation (EU) No. 575/2013 (CRR) shall not be included in column 050 (Positions subject to capital charge) of C 21.00 of Annex II of Regulation (EU) No 680/2014 – ITS on Supervisory Reporting . Hence, the validation v0623_m rule is correct.

Original source: European Banking Authority, Q&A ID 2014_1374

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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