Col 040 of Corep: C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) report

According to Annex II, Part II of Regulation (EU) No 680/2014 (ITS on supervisory reporting) amended by Regulation (EU) No 2018/1627, institutions must report in column 0040 of template C 32.04 the following: “Size of the individual concentrated valuation position identified according to Article 14(1)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, expressed in the unit described in column 0 050.” Therefore, column 0040 is the numerical expression of the unit of measurement reported in column 050. Column 0050 is defined as follows: “Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0 040. In the case of positions in bonds or equity, the unit used for internal risk management should be reported, such as “number of bonds”, “number of shares” or “market value”. In the case of position in derivatives, the unit used for internal risk management should be reported, such as “PV01; EUR per 1 basis point parallel yield curve shift”.Hence, a percentage value is not admissible in column 0040 of template C 32.04. Furthermore, DPM Data Point model published by the EBA clearly states that column 40 must be a number. In fact, data type of metric ri551 is “Decimal “.