Treatment of expected loss amounts in validation rule v4772_m

The expected loss amount reported in column 280 of templates C 08.01 respectively C 08.02 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority and shall take into account all forms of credit risk mitigation techniques that are eligible according to Regulation (EU) No 575/2013 (CRR) and actually applied by the institution, such as credit risk mitigation techniques with substitution effects. In that regard, the interdependency between columns 020 (original exposure) and 280 (Expected Loss Amount) of templates C 08.01 / C 08.02 as established by validation rules v4772_m for C 08.02 and v4757_m for C 08.01 does not exist, considering that CRM techniques with substitution effect can lead to a reassignment of parts of an exposure to a different exposure class. Both validation rules will therefore be amended.