Single Rulebook Q&A

Question ID: 2017_3522
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
Article/Paragraph : C 17.01, validation rules
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
Type of submitter: Consultancy firm
Subject matter : C 17.01 – Total gross losses and loss adjustments (v6127_h and v6128_h)
Question:

In the new version of the ITS available on the EBA website which explains the functional requirements regarding the DPM 2.7, it's stated in the presentation of rows 010-880: ‘Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.’

In the definition of row 910, the ITS clearly states: ‘It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. [...]'.

This definition make sense for us, as it pastes with the requirement defined above mentioning that BIA losses may in certain cases only affect rows 910-980.

But in the same case the definition of row 920-924 and the validation rules v6127_h and v6128_h seem to indicate that row 920 and 940 must be calculated as simple aggregation of the previous rows: ‘the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line.’ Such indications for us are not consistent with the previous one indicating that for BIA only the total section may be fed.

Please can you tell us in case of losses calculated under BIA with no business line attached how we should feed them in the C 17.01?

Background on the question:

The validation rule implemented in the DPM 2.7 states that

v6127_h  (hierarchy, non-blocking)

C 17.01.a (All columns)
{r0920} = +{r0620} + {r0720} + {r0320} + {r0020} + {r0820} + {r0520} + {r0420} + r0220} + {r0120}

 

v6128_h (hierarchy, non-blocking)

C 17.01.a (All columns)
{r0940} = +{r0640} + {r0740} + {r0340} + {r0040} + {r0840} + {r0540} + {r0440} + {r0240} + {r0140}

 

Date of submission: 12/09/2017
Published as Final Q&A: 24/11/2017
EBA answer:

As stated in the instructions on rows 010 – 880 of template C 17.01 of Annex I to EBA/ITS/2017/001 presented in Annex II thereto, institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.

In its current design (v2.7), validation rules v6127_h and v6128_h do not take that into account and will be amended.

Status: Final Q&A
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