Template C 14.00 - Validation rule v11661_m - ({C 14.00, c0231} >= {C 14.00, c0251}) or ({C 14.00, c0265} >= {C 14.00, c0251}) - If value missing (but table prerequisites met) “treat as zero/empty string”, Template C 13.01 – Validation rule v7430_m - {c0710} = {c0720} + {c0740} + {c0760} + {c0830} + {c0850}

Range of applicability of validation rules v11661_m and v7430_m in force starting from June 2023 with DPM 3.2.

Validation rule v11661_m requires the Attachment point of the Senior on-balance tranche should always be greater than or equal to the Detachment point of the Junior on-balance tranche (unless there are Off-Balance sheet tranches). However, it seems the validation rule does not take into account the possibility the Senior tranche is fully refunded and no Attachment point should be reported in column 231 in this specific case. This is reinforced by the fact that the field of the Annex XV “If value missing (but table prerequisites met)” is equal to “treat as zero/empty string” which presupposes column 231 to be always reported when column 251 is reported. In addition, v7351_m {c0251} <= {c0231} already covers this type of control (in a simpler way), giving instead the possibility to not report column 231 by setting the field “If value missing (but table prerequisites met)” equal to “do not run rule”. Validation rule v7430_m does not take into account the new column 0845 “Specific treatment for senior tranches of qualifying NPE securitisations”, which leads RWA before Cap reported in column 0710 to be lower than expected. This is also in contrast with the new VR v7326_m {c0200} = {c0210} + {c0280} + {c0350} + {c0640} + {c0695} + {c0700} that covers the EAD and includes the new column c0695 related to the specific treatment of NPE senior tranches.