EBA · 2017_3400 Final Q&A

Incorrect validation rules v4779_m and v4782_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2017-07-18
Answered
2017-12-08
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The question relates to the validation rule 4779_m and v4782_m implemented in DPM 2.6 and 2.7. Currently these validations are applied to all figures reported on rows 110 and 070 for all sheets and all columns. But as columns 080, 090 and 100 are used to display weighted PD or LGD, those columns must be excluded from validations v4779_m and v4782_m. Having a weighted PD of 52% on SME and a weighted PD of 50% on non SME doesn’t mean that the global weighted PD of the ‘Secured by real estate property’ will be of 102%. The global PD for such exposure class will be between 50 and 52%. If you agree, even if this rules are non-blocking, can you please deactivate them? And correct them for the next release?

Background

v4779_m 2.6.0 (non-blocking): C 09.02, all columns, all sheets, {r110} = {r120} + {r130} 4782_m  (non-blocking): C 09.02, all columns, all sheets, {r070} = {r080} + {r090}

Answer

Validation rules v4779_m and v4782_m shall not be applied to columns 080, 090 and 100 of template C 09.02 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), as these columns display percentage values. The scope of application of these three validation rules will be amended to remedy the issue.

Original source: European Banking Authority, Q&A ID 2017_3400

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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