Template C 08.01 – Validation rule v10667_m - {C 08.01.a, r0070, c0250} sum({C 08.02, c0110, (rNNN)}) = sum({C 08.02, c0250, (rNNN)} {C 08.02, c0110, (rNNN)})

Range of applicability of validation rule v10667_m in force starting from June 2023 with DPM 3.2.

Validation rule v10667_m runs on all sheets of Template C.08.01. The equation is verifiable for all of them, except for sheet 0001 – AIRB Total. This is due to the fact that it should not be possible to calculate the Exposure-weighted average maturity value (column c0250) starting from the EAD (column c0110) of sheet 0001 – AIRB Total, considering this column includes the EAD of the “Retail” portfolio for which – as stated in the instructions of column c0250 of Reg. 451/2021 as amended – “This data (i.e. c0250) shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column (i.e. c0250) shall not be filled in for the exposure class retail”. Using column c0110 of sheet 0001 for the calculation of column c0250 would lead to a much lower weighted average maturity. Instead, the calculation should be done starting from the EAD and the Exposure-weighted average maturity values of the applicable underlying portfolios (e.g. Institutions, Corporates SME, Specialised Lending and Other Corporates).