EBA · 2021_6271 Rejected question

Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s

Name: Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 430
Topic: Supervisory reporting - COREP (incl. IP Losses)
Submitted by: Credit institution
Submitted: 2021-11-10

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Question

Should the net delta sensitivities in columns 0020 and 0030 of template C91.00 be reported as absolute values?

Background

According to Annex II on specific reporting requirements for market risk, in column 0020 and 0030 of template C91.00 institutions shall report the sum of all negative sensitivities to delta risk factors and the sum of net all positive and all negative sensitivities, respectively. However, validation rule v10242_s expects these columns to have values greater than zero, i.e. positive. If an absolute value of the net sensitivities is reported in column 0030, it cannot be determined whether the net sensitivity is positive or negative which can be misleading.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6271

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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