EBA · 2019_4714 Rejected question

Incorrect validation rules

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2019-05-14
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Question

Following validation rules are incorrect: v4764_m v4765_m v4766_m v4767_m v4768_m

Background

According to the expanation provided by an institution, the applied risk weights and expected loss percentages are assigned depending on the Specialised Lending slot and residual maturity (CRR Art. 153(5), 158(6)). The final risk weight for Specialised Lending is calculated as Scaling Factor * Risk Weight. Based on the EBA request for Specialised Lending portfolio different Specialised Lending risk weights can be applied dependent on the tenant. For this purpose a separate steering table is established which holds the scaled risk weights which shall be used for given tenants processing. The Scaling Factor for the bank is 1,4.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_4714

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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