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)
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.

Submission date
Final publishing date
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.

Disclaimer

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