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:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annexes I and II
Disclose name of institution / entity:
Type of submitter:
Investment firm
Subject Matter:
Cap on the own funds requirement for a net position

Article 335 refers ‘The institution may cap the own funds requirement for specific risk of a net position in a debt instrument at the maximum possible default-risk related loss.....’. This article suggests that the Specific Risk requirement in column 060, rows 260 to 320 (column 060) of template C 18.00 should be the adjusted ‘capped own funds requirement’ and reduced to the maximum loss.

However, the validation rules v0578_m and v0579_m require that column 060, rows 310 and 320 are the result of column 050 multiplied by 0.08 or 0.12. Of course, capping and adjusting the specific risk breaks these rules and prevents submission. Should the requirement itself be reduced or should the Net position in column 050 of the relevant rows be adjusted?

Background on the question:

There appears to be a conflict in the CRR Article 335 - "Cap the own funds requirement" and the validation rules which require the appropriate formula to be used. and this is either requiring an overstatement of our clients requirement when the rows 310 and 320 cannot be adequately adjusted for the provisions of Article 335

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

The amount reported in column 060 of template C 18.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) shall be the own funds requirement determined in accordance with Part 3, Title IV, chapter 2 of Regulation (EU) No 575/2013 (CRR), as stated in the instructions on that column provided in Annex II to the ITS on Supervisory Reporting, i.e. capped at the maximum possible default-risk related loss in accordance with Article 335 CRR, where applicable.

Validation rules v0578_m and v0579_m were turned into non-blocking rules in order to take account of this fact.

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