Question
v11886_m states that with regard to C 08.03 {c0050, s0001} = empty v11887_m states that with regard to C 08.03 {c0070, s0001} = empty Is it correct that the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB) at total level and that there are no such validation rules for s0002 (FIRB) at total level? When the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB), why is this validation rule not applicable to C34.07 as well as there the same information is requested? In other words, are the validation rules with regard to the exposure weighted average PD %) and exposure weighted average LGD (%) consistently applied throughout the DPM?
Background on the question
Given the fact that the COREP reporting is highly automated within our institution, it’s not easy to implement a non-consistent application of the validation rules. Therefore, we report C 08.03 {c0050, s0001} and {c0070, s0001} not empty as this information is requested in other sections of the DPM as well. Due to the fact that we report these data points, we receive questions from our supervisor why we do not report these datapoints empty.
Answer
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.