EBA · 2019_4626 Final Q&A

Diversification benefits of upside uncertainty in column 0120 C 32.02

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2019-03-27
Answered
2021-04-30
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Where should diversification benefits of the upside uncertainty shall be included?

Background

In our opinion the upside uncertainty in column 0120 should show symetric results in comparison with AVAs in column 0110 if the underlying market data shows a symmetric distribution. Because the design of the C 32.02 template is not symmetric (For AVAs diversification benefits are separated while for upside uncertainty this is not the case) it is difficult to generate the consistency in all columns.

Answer

In template C 32.02 of Annex I to Regulation (EU) No 680/2014 (ITS on supervisory reporting) diversification benefit on upside uncertainty should be captured in rows 0010-0030 column 120. Rows 0090-0130 column 120 should be pre-diversification upside uncertainty. As a matter of fact, rows 0090-130 are a subset of row 0040 which does not include diversification benefits.

Original source: European Banking Authority, Q&A ID 2019_4626

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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