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  1. Home
  2. Single Rulebook Q&A
  3. 2019_4553 Control v6363_m - Number of days of the prudent exit period ?
Question ID
2019_4553
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
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XV
Type of submitter
Credit institution
Subject matter
Control v6363_m - Number of days of the prudent exit period ?
Question

Could you confirm that this control must be deleted or that the number of days is more or equal to zero (and not ten) ?

Background on the question

According to the delegated regulation 2016/101 article 14 (1), the institutions shall estimate a concentrated position AVA for concentrated valuation positions by applying the following three step approach : a) they shall identify concentrated valuation positions; b) for each identified concentrated valuation position where a market price applicable for the size of the valuation position is unavailable, they shall estimate a prudent exit period; c) where the prudent exit period exceeds 10 days, they shall estimate an AVA taking into account the volatility of the valuation input, the volatility of the bid offer spread and the impact of the hypothetical exit strategy on market prices. We understand that the prudent exit period can be less than 10 days in second step in paragraph b) and if the period exceeds 10 days the third step in paragraph c) applies. In addition, in Implementing Regulation 680/2014 amended by Implementing Regulation 2018/1627, it is specified that the institution must enter the number of days of the period in accordance with Article 14 (1) (b ) in statement C32.04 column 070. But the control v6363_m is not consistent because it requires more than or equal to 10 days whereas art. 14 (1) (b) requires a period of less than 10 days.

Submission date
14/02/2019
Rejected publishing date
20/01/2022
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming  version of the Reporting framework and release of the respective validation rules.

For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.

Status
Rejected question

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