During the analysis of DPM 4.0 taxonomy, we identified the following issues in the validation rules:

• EBA validation rule, v23083_m (C25.01)
  • Current rule: with {tC_25.01.a, (c0010, c0020, c0050, c0060, c0070, c0090, c0100, c0110, c0140, c0150, c0160, c0170, c0180, c0200, c0210, c0220, c0230, c0240, c0250, c0270, c0280, c0290), default: 0, interval: true}: {r0040} = {r0050} + {r0060} + {r0090} + {r0100} + {r0110}
  • Proposal: the rule should be deactivated

  • Reason: CVA-risk amounts can be non-additive due to portfolio effects

     

• EBA validation rule, v23345_s  (C25.01)
  • Current rule: with {tC_25.01.a, default:null, interval:false}: {(r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100, r0110, r0130), (c0010, c0020, c0060, c0100, c0110, c0140, c0150, c0160, c0170, c0180, c0200, c0210, c0220, c0230, c0240, c0250, c0270, c0280, c0290)} >= 0
  • Our Proposal: the rule should be deactivated

  • Reason: Marginal CVA-risk amounts can be negative due to portfolio effects

     

• EBA validation rule, v23710_s  (C25.01)
  • Current rule: with {tC_25.01.a, default: null, interval: false}: {(r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100, r0110, r0130, r0230, r0240), (c0070, c0090)} >= 0
  • Our Proposal: the rule should be deactivated
  • Reason: Marginal CVA-risk amounts can be negative due to portfolio effects

• Mapping Pillar 3 disclosures templates with supervisory reporting (Template EU CMS2. Column d)
  • Column d (RWEAs calculated using full standardised approach) shows the relevant Output-Floor S-TREA without Floor transitional rules according to CRR Article  465 (3) – (13). It is calculated as a surcharge of the current Output Floor S-TREA.
  • But the values from Template C10.00  for transitional rules regarding  EXPOSURES SECURED BY MORTGAGES ON RESIDENTIAL PROPERTY are missing and must be included analogous to template EU CMS1 (à there: {C10.00, r0010, c0090} + {C10.00, r0010, c0100}). 

• EBA Validation rule v1659_m (C07.00)
  • Current rule: {c0200} = {c0150} - {c0160} - ( 0.90 * {c0165}) - ( 0.8 * {c0170}) - ( 0.6 * {c0175}) - ( 0.5 * {c0180} - {c0195})
  • Proposal: {c0200} = {c0150} - {c0160} - ( 0.90 * {c0165}) - ( 0.8 * {c0170}) - ( 0.6 * {c0175}) - ( 0.5 * {c0180}) - {c0195}
  • Reason: the term  {c0195} should be excluded from the 0.5-weight-bracket, because UCCs have under the transitional arrangement a 0% CCF and must be subtracted completely.

• EBA Validation rule v6052_m (C 09.02)
  • Current rule: {r0150} = {r0010} + {r0011} + {r0012} + {r0013} +{r0020} + {r0030} + {r0060} + {r0132} +{r0140}
  • Proposal: {r0150} = {r0010} + {r0012} + {r0013} +{r0020} + {r0030} + {r0060} + {r0132} +{r0140}
  • Reason: the "of which" position should not be part of the sum.