EBA · 2014_788 Final Q&A

Inconsistency between validation rule v0620_m from Annex XV (Validation Formulae) and the hierarchy definition for TR1 in template C 21.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2014-01-29
Answered
2015-10-23
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

According to the Validation formulae (Annexe XV) v0620_m for COREP report C 21.00 – Market risk: Standardised Approach for position risk in equities, {r010, c060} is the total of own funds requirements for General Risk, Specific risk, Particular Approach for position risk in CIUs and Other non-delta risks for options. For ‘Type of risk’ dimension categorization in {r080,c060} - Particular Approach for position risk in CIUs, the member is ‘Market not look-through CIUs risk’. But, according to TR1 hierarchy, this member is not included in the hierarchy for ‘Equity risk’ member. This results in inconsistency between the hierarchy definition and the validation formulae specified. The numbers do not add up naturally as expected in the validation rule.

Background

Failure of validation rules due to inconsistency in taxonomy.

Answer

Indeed, validation rule v0620_m is inconsistent with the TR1 hierarchy where "Market not look-through CIUs risk" is at the same level as "Equity risk" and "Interest risk", whereas in the validation rules it is a component of these items. The inconsistency will be removed in the next available version of Regulation (EU) No 680/2014 - ITS on Supervisory Reporting of institutions (ITS).

Original source: European Banking Authority, Q&A ID 2014_788

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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