Question ID
2022_6497
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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. C08.01 c0010
Type of submitter
Credit institution
Subject matter
v10672_m for C 08.01 not relevant
Question

Is EBA validation rule v10672_m for template C 08.01 (CR IRB 1) relevant?

Background on the question

According to the validation rule v10672_m, the following should apply: if {r0010, c0020} = {r0080, c0020} then {r0010, c0010} = 0 in C 08.01 (CR IRB 1). This validation rule seems check that the PD (r0010, c0010) should be equal to zero in the case of application of the Specialized Lending Slotting Approach (r0080).

However, in the following case, even where {r0010, c0020} = {r0080, c0020} = 0, the PD is not equal to zero. In fact, the original exposure pre conversion factors {r0010, c0020} & {r0080, c0020} could be empty and the exposure value {r0010, c0110} with the PD {r0010, c0010} of C 08.01 could result from a credit risk mitigation technique with a substitution effect on the exposure (collateral received). This risk transfer is shown via {r0010, c0080} (total Inflows). So, the formulae rule cannot be respected. Could you please therefore delete / deactovate this rule?

Submission date
Rejected publishing date
Rationale for rejection

​Considering that the PD reported in column 0010 is the one for the exposures after CRM with substitution effects (see Q&As 564 and 1117) - and provided the ITS's approach wasn't changed after the Q&As were published, which it shouldn't have been - the submitter seems to be right. The validation rule would only work, if the if-condition also checks that the inflows in row 0010, column 0080 are empty (as there might be inflows, which have nothing to do with specialised lending exposures).

Status
Rejected question