EBA · 2016_2759 Final Q&A

Reported overshootings in C 24.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2016-05-31
Answered
2017-04-07
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How should the number of overshootings in VaR be reported in C 24.00?

Background

Article 366 of the CRR requires the institutions to count daily overshootings on the basis of back-testing on hypothetical and actual changes in their portfolio’s value. The higher of these two quantities shall be used to obtain a VaR / sVaR multiplier increase in accordance to Table 1 of the same CRR article. In addition to this, Article 366(4) of the CRR allows competent authorities to limit the addend to that resulting from overshootings under hypothetical changes only when the number of overshootings under actual changes does not result from deficiencies in the internal model. The taxonomy requires one single value in C 24.00 (row 010, column 140), which makes it unclear which number of overshootings should be reported.

Answer

The number of overshootings that shall be reported in column 140 of template C 24.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) is the number of overshootings according to which the addend is determined. In practice, it is under general circumstances the highest number of overshootings recorded on the basis of backtesting on i) hypothetical and ii) actual changes in the portfolio’s value. If, however, the competent authority decided to limit the determination of the addend to the number of overshootings resulting under hypothetical changes in accordance with Article 366 (4) of Regulation (EU) No 575/2013 (CRR), then this is the relevant number of overshootings that shall be reported.

Original source: European Banking Authority, Q&A ID 2016_2759

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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