Question
Are validation rules v4760_m & v4761_m correct?
Background on the question
The validation rules indicate that if row 250, column 010 (‘IRB approaches when neither own estimates of LGD nor Conversion Factors are used’) of template C 02.00 > 0 or row 310, column 010 (‘IRB approaches when neither own estimates of LGD nor Conversion Factors are used’) of template C 02.00 > 0 then row 010 column 090 of template C 08.01.a (‘Exposure after CRM substitution effects pre-conversion factors’) must be > 0 for all sheets. An institution may not have exposures to all exposure classes reported in C 08.01.a, therefore, not all C 08.01.a sheets column 090 ‘Exposure after CRM substitution effects pre-conversion factors’ will be greater than 0, as they will be 0.
Answer
Validation rules v4760_m and v4761_m suggests a relationship between the total risk exposure amount subject to the IRB (with or without own estimates of LGD and/or conversion factors) as reported in template C 02.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and the risk exposure amounts for individual IRB exposure classes as reported in template C 08.01 of Annex I to the ITS on Supervisory Reporting. As this relationship does not exist in the manner described by those validation rules, these rules were deactivated.