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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annex XV
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Control v6363_m - Number of days of the prudent exit period ?

Could you confirm that this control must be deleted or that the number of days is more or equal to zero (and not ten) ?

Background on the question:

According to the delegated regulation 2016/101 article 14 (1), the institutions shall estimate a concentrated position AVA for concentrated valuation positions by applying the following three step approach : a) they shall identify concentrated valuation positions; b) for each identified concentrated valuation position where a market price applicable for the size of the valuation position is unavailable, they shall estimate a prudent exit period; c) where the prudent exit period exceeds 10 days, they shall estimate an AVA taking into account the volatility of the valuation input, the volatility of the bid offer spread and the impact of the hypothetical exit strategy on market prices. We understand that the prudent exit period can be less than 10 days in second step in paragraph b) and if the period exceeds 10 days the third step in paragraph c) applies. In addition, in Implementing Regulation 680/2014 amended by Implementing Regulation 2018/1627, it is specified that the institution must enter the number of days of the period in accordance with Article 14 (1) (b ) in statement C32.04 column 070. But the control v6363_m is not consistent because it requires more than or equal to 10 days whereas art. 14 (1) (b) requires a period of less than 10 days.

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming  version of the Reporting framework and release of the respective validation rules.

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Rejected question