Question
In the report C0700 we saw that the new dynamism with the errata 5 is using the value qEC:qx1 to display the “total” breakdown and for us it seems to be fine qEC2 20392 4.0 1012404739 qx01 All exposure classes and approaches Where in report C080* and C3407, we understand that the taxonomy is allowing three types of totals : => (In the table below qae0 is used on report C0801,C0802, C08.03,C0805, C0805.1 , where aAE0 is used for report C3407) SubCategoryCode SubCategoryVID StartReleaseCode EndReleaseCode ItemID ItemCode ItemName qAE0 20379 4.0 1012404873 qx2022 Total without own estimates of LGD or conversion factors qAE0 20379 4.0 1012404874 qx2023 Total with own estimates of LGD and/or conversion factors qAE0 20379 4.0 1012407843 qx01 All exposure classes and approaches qAE1 20380 4.0 1012404873 qx2022 Total without own estimates of LGD or conversion factors qAE1 20380 4.0 1012404874 qx2023 Total with own estimates of LGD and/or conversion factors qAE1 20380 4.0 1012407843 qx01 All exposure classes and approaches From my point of view when I look at the ITS and more specifically to the ITS relative to the report C08* exposure classes, I only see that the report should have a : Dedicated sheet for A.1 Total under the “IRB approaches when neither own estimates of LGD nor Conversion Factors are used (Foundation IRB approach)” section for me this correspond to qx2022 Dedicated sheet for B.1 Total under the “IRB approaches when own estimates of LGD and/or Conversion Factors are used” section for me this correspond to qx2023 But I do not see a need for a dedicated sheet corresponding to an overall TOTAL as it should be for “qx0 : Not applicable/ All exposure classes and approaches” Furthermore when I look at the validation I saw that some of them that works on the TOTAL exposures like : v0680_m : with {default: 0, interval: true}: sum ({tC_43.00.a, r0040, c0020}) = sum ({tC_07.00.a, r0130, c0220} [ where qEBB in {[eba_qEC:qx0]}]) + sum ({tC_08.01.a, r0060, c0260} [ where qEEA in {[eba_qAE:qx2022], [eba_qAE:qx2023]}]) We see that for report C0700 the value eba_qEC:qx0 (now this value correspond to value qx1 since the errata 5 of the taxonomy) is used where for report C0801 only the values eba_qAE:qx2022, eba_qAE:qx2023 are used. Can you indicate If the EBA is expecting the filler to fill up the dynamism on dimension eba_qAE:qx1 for report C080* / C3407or if we can tell our client to not use this value?
Background on the question
Please refer to section "breakdown of the CR IRB templates" in the ITS
Answer
For the case of Corep own funds C8 template of Implementing regulation 2024/3117 (ITS on reporting) the instructions shall be followed. Therefore, qx01 does not need to be reported but the sub totals for F-IRB and A-IRB do (similarly to what was in place before). This is also the case for template C 34.07.