Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions
Annex XV - Validation formulae and Annex I - Own_funds, C 21.00, r080,c060
Disclose name of institution / entity:
Type of submitter:
Consultancy firm
Subject Matter:
Inconsistency between validation rule v0620_m from Annex XV (Validation Formulae) and the hierarchy definition for TR1 in template C 21.00

According to the Validation formulae (Annexe XV) v0620_m for COREP report C 21.00 – Market risk: Standardised Approach for position risk in equities, {r010, c060} is the total of own funds requirements for General Risk, Specific risk, Particular Approach for position risk in CIUs and Other non-delta risks for options. For ‘Type of risk’ dimension categorization in {r080,c060} - Particular Approach for position risk in CIUs, the member is ‘Market not look-through CIUs risk’. But, according to TR1 hierarchy, this member is not included in the hierarchy for ‘Equity risk’ member. This results in inconsistency between the hierarchy definition and the validation formulae specified. The numbers do not add up naturally as expected in the validation rule.

Background on the question:

Failure of validation rules due to inconsistency in taxonomy.

Date of submission:
Published as Final Q&A:
Final Answer:

Indeed, validation rule v0620_m is inconsistent with the TR1 hierarchy where "Market not look-through CIUs risk" is at the same level as "Equity risk" and "Interest risk", whereas in the validation rules it is a component of these items. The inconsistency will be removed in the next available version of Regulation (EU) No 680/2014 - ITS on Supervisory Reporting of institutions (ITS).

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