Question ID:
2022_6400
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
Commission Implementing Regulation (EU) No 451/2021
Paragraph:
ANNEX II, paragraph 3.3.4; 3.3.3
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
ANNEX II, paragraph 3.3.4; 3.3.3
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Validation rule v4821_m on column c0230 of Template C.08.02.
Question:

We wonder if there could be possible exceptions to the Validation rule v4821_m which always requires the LGD reported in column c0230 of Template C.08.02 by Obligor Grades to be always lower than or equal to 1.

Background on the question:

On some obligor grades and for some specific exposure classes, whether the LGDs are equal to 1 in LGD grid and the clusters are affected by a limitation required by ECB, the LGDs post limitation are higher than 1.

Date of submission:
15/03/2022
Published as Rejected Q&A
13/10/2022
Rationale for rejection:

This question has been rejected because the matter it refers to has been answered in Q&A 3661.

Status:
Rejected question
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