EBA · 2022_6400 Rejected question

Validation rule v4821_m on column c0230 of Template C.08.02.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Commission Implementing Regulation (EU) No 451/2021, para. ANNEX II, paragraph 3.3.4; 3.3.3
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-03-15
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Question

We wonder if there could be possible exceptions to the Validation rule v4821_m which always requires the LGD reported in column c0230 of Template C.08.02 by Obligor Grades to be always lower than or equal to 1.

Background

On some obligor grades and for some specific exposure classes, whether the LGDs are equal to 1 in LGD grid and the clusters are affected by a limitation required by ECB, the LGDs post limitation are higher than 1.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6400

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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