EBA · 2017_3347 Final Q&A

v4760_m & v4761_m in C 02.00 and C 08.01

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2017-06-16
Answered
2017-11-17
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Are validation rules v4760_m & v4761_m correct?

Background

The validation rules indicate that if row 250, column 010 (‘IRB approaches when neither own estimates of LGD nor Conversion Factors are used’) of template C 02.00 > 0 or row 310, column 010 (‘IRB approaches when neither own estimates of LGD nor Conversion Factors are used’) of template C 02.00 > 0 then row 010 column 090 of template C 08.01.a (‘Exposure after CRM substitution effects pre-conversion factors’) must be > 0 for all sheets. An institution may not have exposures to all exposure classes reported in C 08.01.a, therefore, not all C 08.01.a sheets column 090 ‘Exposure after CRM substitution effects pre-conversion factors’ will be greater than 0, as they will be 0.

Answer

Validation rules v4760_m and v4761_m suggests a relationship between the total risk exposure amount subject to the IRB (with or without own estimates of LGD and/or conversion factors) as reported in template C 02.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and the risk exposure amounts for individual IRB exposure classes as reported in template C 08.01 of Annex I to the ITS on Supervisory Reporting. As this relationship does not exist in the manner described by those validation rules, these rules were deactivated.

Original source: European Banking Authority, Q&A ID 2017_3347

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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