Question ID:
2015_1877
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99, 365 and 367
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
Annex I - Own funds template C 24.00
Disclose name of institution / entity:
Yes
Name of institution / submitter:
BaFin
Country of incorporation / residence:
Germany
Type of submitter:
Other
Subject Matter:
Validation rules v1906_h and v1907_h
Question:

Do validation rules v1906_h and v1907_h have to be modified?

Background on the question:

The validation rules require that the VaR for general risk and the VaR for specific risk add up exactly to the total VaR both for equities (v1907_h) and traded debt instruments (TDI, v1907_h) respectively: v1906_h: C 24.00, columns (030;040;050;060): {r020} = {r030} + {r040} v1907_h: C 24.00, columns (030;040;050;060): {r050} = {r060} + {r070} In the instructions for the row 1ctotal positions 1d (r010) of C 24.00 (MKR IM) it is noted that "concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components." The same holds also true for the decomposition of equity / TDI risk-VaRs into general and specific risk. The reason for this is that correlations between risk categories may be taken into account when calculating the total VaR for equities / TDI (see for example Article 367 (3) CRR which explicitly mentions this possibility). The "aggregate" VaR for equity / TDI risk may therefore be different from the simple sum of the decomposed VaRs.

Date of submission:
09/03/2015
Published as Final Q&A:
10/06/2016
Final Answer:
Validation rules v1906_h and v1907_h of Annex XV of Regulation (EU) No 680/2014 - ITS on reporting will be replaced by manual validation rules with "<=" as operator, i.e. the new validation rules will read:
v1906_m: C 24.00, columns (030;040;050;060): {r020} <= {r030} + {r040}
v1907_m: C 24.00, columns (030;040;050;060): {r050} <= {r060} + {r070}.
Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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