Single Rulebook Q&A

Question ID: 2017_3400
Legal act : Regulation (EU) No 575/2013 (CRR)
Topic : Supervisory reporting
Article: 99
Article/Paragraph : Annex II, C 09.02, r110, c080-c100 and r070, c080-c100
COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Name of institution: Invoke
Country of incorporation / residence: France
Subject matter : Incorrect validation rules v4779_m and v4782_m

The question relates to the validation rule 4779_m and v4782_m implemented in DPM 2.6 and 2.7. Currently these validations are applied to all figures reported on rows 110 and 070 for all sheets and all columns. But as columns 080, 090 and 100 are used to display weighted PD or LGD, those columns must be excluded from validations v4779_m and v4782_m.

Having a weighted PD of 52% on SME and a weighted PD of 50% on non SME doesn’t mean that the global weighted PD of the ‘Secured by real estate property’ will be of 102%. The global PD for such exposure class will be between 50 and 52%. If you agree, even if this rules are non-blocking, can you please deactivate them? And correct them for the next release?

Background on the question:

 v4779_m 2.6.0 (non-blocking): C 09.02, all columns, all sheets, {r110} = {r120} + {r130} 4782_m  (non-blocking): C 09.02, all columns, all sheets, {r070} = {r080} + {r090}

Date of submission: 18/07/2017
Published as Final Q&A: 08/12/2017
EBA answer:

Validation rules v4779_m and v4782_m shall not be applied to columns 080, 090 and 100 of template C 09.02 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), as these columns display percentage values.

The scope of application of these three validation rules will be amended to remedy the issue.

Status: Final Q&A
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