EBA · 2016_2758 Rejected question

VaR Multipliers

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
366 CRR
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2016-05-31
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Question

How should the figures in VaR and SVaR multiplication factors be reported in C 24.00?

Background

Article 366 of the CRR specifies that “Each of the multiplication factors (m c) and (m s) shall be the sum of at least 3 and an addend between 0 and 1 in accordance with Table 1.” The taxonomy requires the two values in C 24.00 (row 010, columns 150 and 160) to be reported as a percentage (as shown in the below extract from the DPM taxonomy), which makes it unclear whether the reported values should be “3” or “0.03” (for the minimum value mentioned in the CRR). In addition to this, the multiplication factors may be increased with an additional add-on as a consequence of the national implementation of CRD-IV in each member state of the EU depending on their assessment of the model.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2016_2758

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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