Template C 08.02 - Col 080 has Missing 'CRM Effects/Collateral' dimension

EBA Q&A 2014_1464 · Final Q&A

Question

In template C 08.02, col 080 is defined without the dimension 'CRM Effects/Collateral [CRM]'. This looks logically incorrect and would also result in failure of validation rule: v0347_m {c090} = {c020} + {c070} + {c080}

Background on the question

Inconsistency between validation rules and DPM categorisation.

Answer

According to the definition of columns 070 and 080 of template C 08.02, both columns are referring to “Substitution of the exposure due to CRM”. The dimensional definition of columns 070 and 080 is not consistent as in the case of column 080 it does not have the dimension “(CRM:CP) CRM Effects/Collateral”. For consistency reason, the member “(CP:x10) CRM techniques substitution effect” of this dimension should be associated with column 080

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