EBA · 2022_6416 Rejected question

C34.01 Size of the Derivative Business – Application of validation rule v09805_m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Investment firm
Submitted
2022-03-31
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Question

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.01 states the size of the derivative business must be the sum of the absolute value of long derivative positions and absolute value of short derivative positions.  According to validation rule v09805_m applicable to row {0050} in the C34.01 template, the percentage of the total assets to the size of the derivative business must be less than or equal to one.  Taking the sum of the absolute market value of long and short derivative positions would most likely trigger this warning validation. Can the EBA review the warning validation rule v09805_m for C34.01 and confirm if this needs amendment?

Background

In accordance with Implementing Technical Standards for Regulation (EU) 2021/451, Annex II, institutions are required to disclose in template C34.01 the size of the derivative business (being the sum of the absolute value of long derivative positions and the absolute value of short derivative positions) as a percentage of the total assets. However, the validation rule v09805_m requires the percentage of total assets {r0050} to be <= 1. Additional clarification on the application of this warning validation rule for C34.01 will be useful for reporting institutions.
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Original source: European Banking Authority, Q&A ID 2022_6416

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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