Question ID
2025_7295
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
C25.01
Type of submitter
Credit institution
Subject matter
Validation Rule for Marginal Impact of Reintegration of CVA Exemptions
Question

The guidance for the population of rows 0040-0110 specifies that firms should populate the marginal impact of reintegration of CVA exemptions "separately for each exemption". However there is a warning validation rule v23083_m which specifies that the sum of the individual exemptions should be equal to the total "{r0040} = {r0050} + {r0060} + {r0090} + {r0100} + {r0110}".

We would like to query whether the validation rule is valid and therefore whether we should be calculating a single CVA exemption reintegration impact of excluded transactions and then attributing by type of exemption or genuinely calculating the marginal impact separately by type of exemption. 

Background on the question

The marginal impact of including individual exemptions separately into the CVA calculations would not mathematically equal the sum of including all in total given the diversification built within the calculation formula and therefore either the validation rule or guidance is incorrect and should be amended accordingly.

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 versions of the Reporting framework / releases of the respective validation rules.

Status
Rejected question