Question ID
2014_788
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex XV - Validation formulae and Annex I - Own_funds, C 21.00, r080,c060
Type of submitter
Consultancy firm
Subject matter
Inconsistency between validation rule v0620_m from Annex XV (Validation Formulae) and the hierarchy definition for TR1 in template C 21.00
Question

According to the Validation formulae (Annexe XV) v0620_m for COREP report C 21.00 – Market risk: Standardised Approach for position risk in equities, {r010, c060} is the total of own funds requirements for General Risk, Specific risk, Particular Approach for position risk in CIUs and Other non-delta risks for options. For ‘Type of risk’ dimension categorization in {r080,c060} - Particular Approach for position risk in CIUs, the member is ‘Market not look-through CIUs risk’. But, according to TR1 hierarchy, this member is not included in the hierarchy for ‘Equity risk’ member. This results in inconsistency between the hierarchy definition and the validation formulae specified. The numbers do not add up naturally as expected in the validation rule.

Background on the question

Failure of validation rules due to inconsistency in taxonomy.

Submission date
Final publishing date
Final answer

Indeed, validation rule v0620_m is inconsistent with the TR1 hierarchy where "Market not look-through CIUs risk" is at the same level as "Equity risk" and "Interest risk", whereas in the validation rules it is a component of these items. The inconsistency will be removed in the next available version of Regulation (EU) No 680/2014 - ITS on Supervisory Reporting of institutions (ITS).

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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