EBA · 2022_6440 Rejected question

v6298_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
366, para. 2
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-05-09
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Question

A new validation v6298_m has been added to taxonomy DPM 3.2 which specifies that: [C 24.00,{c140} ({r0010} <= 30)]. This rule has severity 'error' and provides that no more than 30 "Number of overshootings (during previous 250 working days)" can be reported. Article 366, par. 2, requires that "addend shall depend on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at-risk number as set out in Article 365(1)". This paragraph does not indicate any maximum limit of "Number of overshootings " and the column "Number of overshooting" of the table 1 of art 366 has as last range "10 or more". The indications of Article 366 are consistent with the validation rules v6297_m (whit sererity warning) which specifies that : [C 24.00 ({c140} {r0010} <= 250)] but not with rule v6298_m that provides a cap on 30 Number of overshooting.

Background

Validation error with "Number of overshootings" > 30
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6440

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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