Question ID:
2014_1374
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph:
Article 5(a)(10)
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Error in validation v0623_m (C.21.00 – MKR SA EQU)
Question:

Please confirm whether v0623_m is erroneous (refer to background on question for further detail) and if so, what the correct validation should be.

Background on the question:

The validation does not take into account the application of CRR Article 344 which allows 0% risk weight to be applied to Qualifying Equity indices if the treatment was applied prior to 1 January 2014 (per EBA ITS ON Article 344(1)). We believe that this is an error in the validation rule.

Date of submission:
18/07/2014
Published as Final Q&A:
27/03/2015
Final Answer:

Positions in stock-index futures which are treated according to the second sentence of Article 344 (4) of the Regulation (EU) No. 575/2013 (CRR) shall not be included in column 050 (Positions subject to capital charge) of C 21.00 of Annex II of Regulation (EU) No 680/2014 – ITS on Supervisory Reporting . Hence, the validation v0623_m rule is correct.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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