- Question ID
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2021_6047
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Article
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Portfolio_ID C102 C103
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions
- Article/Paragraph
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Portfolio_ID C102 C103 Annex 1
- Type of submitter
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Credit institution
- Subject matter
-
Validation Rules v6205_m and v6206 in respect of portfolios with only Unfunded Credit Protection
- Question
-
How the two blocking Validation Rules v6205_m and v6206_m in current DPM, applicable to Supervisory Benchmarking reporting, shall be managed in light of the regulatory provisions of Article 158(5) of Regulation EU 575-2013 (CRR) allowing portfolios to have Expected Loss equal to zero and PD, LGD, EAD all greater than zero?
- Background on the question
-
- The Validation Rules v6205_m and v6206_m, respectively for templates C 102.00 and C 103.00, produce an Error in the submission phase in case of portfolios with Expected Loss equal to zero, though having PD, LGD and EAD all greater than zero.
The formula of the VRs and the related Narrative Explanation, taken from the DPM 3.1 EBA Validation Rules file, are reported below. They are the same for the two Validation Rules in question.
Formula: if ({c0060} > 0 and {c0110} > 0 and {c0130} > 0) then {c0150} > 0.
Narrative Explanation: If the PD>0 and EAD>0 and LGD>0 then EL>0.
- Article 158(5) of Regulation EU 575-2013 prescribes that “For exposures subject to the treatment set out in Article 153(3), EL shall be 0 %”, irrespective of the risk parameters PD, LGD and EAD.
For sake of clarity, Article 153(3) makes reference to exposures which meet the requirements set out in Articles 202 and 217, namely in case of eligible providers of unfunded credit protection.
For instance, Portfolio_IDs based on field 0120 equal to "Unfunded Credit Protection" in Annex I of ITS on Supervisory Benchmarking (C 102.00 and C 103.00), which could include only exposures as described in bullet 2 above, treated in accordance with Article 153(3) of CRR, cause the failure of the Validation Rules in bullet 1, which are blocking for the submission.
- Submission date
- Rejected publishing date
-
- 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 / release of the respective validation rules.
- Status
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Rejected question