EBA · 2017_3513 Final Q&A

Cap on the own funds requirement for a net position

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Investment firm
Submitted
2017-09-05
Answered
2017-12-22
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

Article 335 refers ‘The institution may cap the own funds requirement for specific risk of a net position in a debt instrument at the maximum possible default-risk related loss.....’. This article suggests that the Specific Risk requirement in column 060, rows 260 to 320 (column 060) of template C 18.00 should be the adjusted ‘cap ped own funds requirement’ and reduced to the maximum loss. However, the validation rules v0578_m and v0579_m require that column 060, rows 310 and 320 are the result of column 050 multiplied by 0.08 or 0.12. Of course, capping and adjusting the specific risk breaks these rules and prevents submission. Should the requirement itself be reduced or should the Net position in column 050 of the relevant rows be adjusted?

Background

There appears to be a conflict in the CRR Article 335 - "Cap the own funds requirement" and the validation rules which require the appropriate formula to be used. and this is either requiring an overstatement of our clients requirement when the rows 310 and 320 cannot be adequately adjusted for the provisions of Article 335

Answer

The amount reported in column 060 of template C 18.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) shall be the own funds requirement determined in accordance with Part 3, Title IV, chapter 2 of Regulation (EU) No 575/2013 (CRR), as stated in the instructions on that column provided in Annex II to the ITS on Supervisory Reporting, i.e. capped at the maximum possible default-risk related loss in accordance with Article 335 CRR, where applicable. Validation rules v0578_m and v0579_m were turned into non-blocking rules in order to take account of this fact.

Original source: European Banking Authority, Q&A ID 2017_3513

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.

Similar Q&As

Basis of reporting value - C 04.00 row 840 - Own funds based on Fixed Overheads

Answered 2021-04-30

Annexes I & II, C 18.00, validation rules v4850_m and v4851_m.

Answered 2018-05-18

Positions Subject to Capital Charge

Answered 2017-07-28

Basel I floor

Answered 2015-06-26

V4835_m - C 19.00 column 610 calculation

Answered 2017-08-04

More Q&As on this topic

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)

Answered 2025-12-05

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.