EBA · 2022_6497 Rejected question

v10672_m for C 08.01 not relevant

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting
Submitted by
Credit institution
Submitted
2022-06-23

Question

Is EBA validation rule v10672_m for template C 08.01 (CR IRB 1) relevant?

Background

According to the validation rule v10672_m, the following should apply: if {r0010, c0020} = {r0080, c0020} then {r0010, c0010} = 0 in C 08.01 (CR IRB 1). This validation rule seems check that the PD (r0010, c0010) should be equal to zero in the case of application of the Specialized Lending Slotting Approach (r0080). However, in the following case, even where {r0010, c0020} = {r0080, c0020} = 0, the PD is not equal to zero. In fact, the original exposure pre conversion factors {r0010, c0020} & {r0080, c0020} could be empty and the exposure value {r0010, c0110} with the PD {r0010, c0010} of C 08.01 could result from a credit risk mitigation technique with a substitution effect on the exposure (collateral received). This risk transfer is shown via {r0010, c0080} (total Inflows). So, the formulae rule cannot be respected. Could you please therefore delete / deactovate this rule?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6497

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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