Question
During the analysis of DPM 4.0 taxonomy, we identified the following issues in the validation rules: EBA validation rule, v23083_m (C25.01) Current rule: with {tC_25.01.a, (c0010, c0020, c0050, c0060, c0070, c0090, c0100, c0110, c0140, c0150, c0160, c0170, c0180, c0200, c0210, c0220, c0230, c0240, c0250, c0270, c0280, c0290), default: 0, interval: true}: {r0040} = {r0050} + {r0060} + {r0090} + {r0100} + {r0110} Proposal: the rule should be deactivated Reason: CVA-risk amounts can be non-additive due to portfolio effects EBA validation rule, v23345_s (C25.01) Current rule: with {tC_25.01.a, default:null, interval:false}: {(r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100, r0110, r0130), (c0010, c0020, c0060, c0100, c0110, c0140, c0150, c0160, c0170, c0180, c0200, c0210, c0220, c0230, c0240, c0250, c0270, c0280, c0290)} >= 0 Our Proposal: the rule should be deactivated Reason: Marginal CVA-risk amounts can be negative due to portfolio effects EBA validation rule, v23710_s (C25.01) Current rule: with {tC_25.01.a, default: null, interval: false}: {(r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100, r0110, r0130, r0230, r0240), (c0070, c0090)} >= 0 Our Proposal: the rule should be deactivated Reason: Marginal CVA-risk amounts can be negative due to portfolio effects Mapping Pillar 3 disclosures templates with supervisory reporting (Template EU CMS2. Column d) Column d (RWEAs calculated using full standardised approach) shows the relevant Output-Floor S-TREA without Floor transitional rules according to CRR Article 465 (3) – (13). It is calculated as a surcharge of the current Output Floor S-TREA. But the values from Template C10.00 for transitional rules regarding EXPOSURES SECURED BY MORTGAGES ON RESIDENTIAL PROPERTY are missing and must be included analogous to template EU CMS1 (à there: {C10.00, r0010, c0090} + {C10.00, r0010, c0100}). EBA Validation rule v1659_m (C07.00) Current rule: {c0200} = {c0150} - {c0160} - ( 0.90 * {c0165}) - ( 0.8 * {c0170}) - ( 0.6 * {c0175}) - ( 0.5 * {c0180} - {c0195}) Proposal: {c0200} = {c0150} - {c0160} - ( 0.90 * {c0165}) - ( 0.8 * {c0170}) - ( 0.6 * {c0175}) - ( 0.5 * {c0180}) - {c0195} Reason: the term {c0195} should be excluded from the 0.5-weight-bracket, because UCCs have under the transitional arrangement a 0% CCF and must be subtracted completely. EBA Validation rule v6052_m (C 09.02) Current rule: {r0150} = {r0010} + {r0011} + {r0012} + {r0013} +{r0020} + {r0030} + {r0060} + {r0132} +{r0140} Proposal: {r0150} = {r0010} + {r0012} + {r0013} +{r0020} + {r0030} + {r0060} + {r0132} +{r0140} Reason: the "of which" position should not be part of the sum.
Background on the question
During the analysis of DPM 4.0 taxonomy, we identified several issues in the validation rules.
Answer
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].