EBA · 2024_7266 Rejected question

Contradiction between the Validation Rule EGDQ_0766a and Methodology

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Market risk
Submitted by
Credit institution
Submitted
2024-12-03
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Question

We kindly ask for a clarification in regard to Template C34.03: EBA Validation rule EGDQ_0766a requires that the Total number of transactions in template C34.02 must be higher or equal the Total number of transactions in Template C34.03. In Template C34.03 the total is calculated by the Software (Abacus) based on the Number of deals in separate Risk categories: "Interest Rate Risk", "Foreign Exchange Risk", "Credit Risk",   "Equity Risk"  and "Commodities".

Background

RBI AG has deals, which are mapped to 2 Risk categories at the same time, e.g. a deal is mapped and reported in "Equity Risk" as well as in "Commodities" in C34.03. Therefore, such a transaction increases the total number of transactions in C34.03. Since in C34.02 no subcategories are required, only one number of derivative transactions is reported: each transaction is considered only once. Therefore, the difference in the Total number of transactions in C34.02 (CTX99 All counterparties) vs C34.03. In C34.03 the number is higher because the deals mapped to 2 Risk categories are considered twice.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7266

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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