EBA · 2022_6417 Rejected question

C34.09 Credit Derivative Exposures – Signage of positive and negative fair values for credit derivatives

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 C34.09 requires the fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values). According to validation rules v10325_s and v10481_s for C34.09, the fair values reported in columns 0030 and 0040 for rows 0010 to 0070 must be greater than or equal to zero. Can the EBA clarify if positive fair values should be reported with positive signage and negative fair values should be reported with negative signage in rows 0010 to 0050? Or if the validation rules are correct then is the requirement to report both positive and negative fair values with positive signage in these rows?

Background

In accordance with Implementing Technical Standards for Regulation (EU) 2021/451, Annex II, institutions are required to disclose the fair values of credit derivatives in template C34.09 broken down by product and protection bought and sold. The validation rules for C34.09 (v10325_s and v10481_s) require the fair values reported in rows 0010 - 0060 to be reported in positive signage (i.e. >=0). Additional confirmation on the signage to use for positive and negative fair values in these rows will be useful for the reporting institution.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6417

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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