EBA · 2021_6266 Rejected question

COREP C91.00 - Consistency control v10242_s

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2021-11-08
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Question

The validation report of the COREP is failing due to the taxonomy rule v10242_s which is expecting positive amounts in the column C0030 on template C91.00. The instructions state that: “Institutions shall report the sum of net all positive and all negative sensitivities to the different delta risk factors within a risk class”. Should this control be reviewed?

Background

According to the question: Let’s suppose for a given risk class that Net positive Delta = 100 Net negative Delta = -120 The reporting instructions can be interpreted as follows: 100 in column C0010,  -120 in column C0020 and -20 (=100-120) in column C0030 100 in column C0010,  120 in column C0020 and -20 (=100-120) in column C0030 100 in column C0010,  120 in column C0020 and 20 =abs(100-120) in column C0030 100 in column C0010,  120 in column C0020 and 220 =abs(100)+abs(-120) in column C0030
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6266

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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