- 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.