Question ID
2022_6491
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex I. C 08.03, c0070
Type of submitter
Credit institution
Subject matter
Validation rule v09762_m, checks that the LGD (c0070) should be less or equal to 100% in template C 08.03 (CR IRB 3)
Question

According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”.

This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”.

However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel this rule?

According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”.

This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”.

However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel this rule?

Background on the question

The rule v09762_m seems to be not relevant.

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 the list of validation rules published in accordance with Annex XV to Regulation (EU) 2021/451 (severity status 'warning').

For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question