Question ID
2021_5809
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
154
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex IV/C105.02, column 0040
Type of submitter
Credit institution
Subject matter
Validation rule v6210_m, C105.02
Question
What rules or regulations raise the upper limits for the ratio of RWA to EAD?
Background on the question
The validation rule v6210_m expects RWA to be max. 12.5 times EAD on a template 105.02. In some exceptional cases high LGD values can cause higher RWA. Also, regulation (neither Implementing Regulation (EU) No 680/2014 nor Regulation No 575/2013 (CRR)) does not define any upper limits of the LGD when using own LGD estimates. Annex IV of the benchmarking exercise's ITS defines that depending on the institution’s permission, the LGDs shall be based on the institutions’ own estimates or on regulatory values; in either case, the LGDs shall be those used for the calculation of the RWA. Limiting RWA to be max. 12.5 times EAD for SBP reporting purposes would cause a situation where the figures won’t match with the ones reported in a column 0260 of COREP template 8.1. This validation rule v6210_m is also slightly contradictional with the similar validation rule v8154_m (template C103) which is set to be warning, not blocking error.
Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Annex IV of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking).

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Status
Rejected question