EBA · 2014_1464 Final Q&A

Template C 08.02 - Col 080 has Missing 'CRM Effects/Collateral' dimension

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2014-09-04
Answered
2019-12-13
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

In template C 08.02, col 080 is defined without the dimension 'CRM Effects/Collateral [CRM]'. This looks logically incorrect and would also result in failure of validation rule: v0347_m {c090} = {c020} + {c070} + {c080}

Background

Inconsistency between validation rules and DPM categorisation.

Answer

According to the definition of columns 070 and 080 of template C 08.02, both columns are referring to “Substitution of the exposure due to CRM”. The dimensional definition of columns 070 and 080 is not consistent as in the case of column 080 it does not have the dimension “(CRM:CP) CRM Effects/Collateral”. For consistency reason, the member “(CP:x10) CRM techniques substitution effect” of this dimension should be associated with column 080

Original source: European Banking Authority, Q&A ID 2014_1464

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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