EBA · 2022_6543 Rejected question

v6303_m not passed due to market conditions (C 24.00)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
364, para. 1
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-08-02
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Question

Because of the evolutions of the rates, the ratio SVaR/HVaR has dropped such that the SVaR is below the HVaR. In coordination with the local supervisor, we compensate this RWEA underestimation by applying a self-imposed RWA add-on through the application of Article 3 CRR. However, when we report the information of template C 24.00, the validation rule v6303_m blocks the submission because it enforces the following rule v6303_m: [C 24.00 (r0010)] {c0060} >= {c0040} We request de-activation of this rule so that our report can be submitted.

Background

N/A
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6543

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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