EBA · 2023_6703 Rejected question

COREP V3.2 - C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Annex I of COREP
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Other
Submitted
2023-01-30
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Question

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the meaning of the 2nd parenthesis for the weighting rate intervals of columns 0071 to 0096, which results in double counting. Example: C0071 [0 – 10%] C0072 [10 – 12%] C0073 [12- 20%] The same weighting rate would be declared in two columns, for example the rate of 12% would be declared in columns 0072 and 0073.

Background

Divergence in the column intervals between the European Commission version and the version published in the European official journal on December 22, 2022.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6703

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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