EBA · 2022_6435 Final Q&A

C 91.00: Relevant scenario for own funds requirements

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-04-28
Answered
2022-10-28
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

Could you please indicate how Article 325h(4) CRR should be understood, in order to fill in information in template C 91.00? '4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.' It would make sense to select the most critical scenario and apply this one for all risks, without changing scenario from one risk to another, could you confirm?

Background

According to Article 325h CRR, the institution should calculate the risk class specific own funds requirements using three different scenario. When the three scenario have been calculated: Should we select the one generating in total the most elevated requirements? If so, it will be this scenario that applies to every type of risk (Equity Risk, Commodity Risk, general interest risks...). Or should we select for every risks the scenario that generates the highest requirements ?  In that case, the scenario selected could differ from one risk to another.

Answer

Where the own funds requirements reported in column 0190 of template C 91.00 of Annex I to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) refer to the own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column should all correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013 (CRR), i.e. the scenario that generates the highest of the three scenario-specific total own funds requirements. Accordingly, the values reported in rows 0020 to 0080 of column 0190 should correspond to own funds requirements of the respective risk class in the scenario that determines the  total  own funds requirements under the sensitivities-based method. The scenario that generates the highest  total  own funds requirements may be different from the scenario that maximises the own funds requirements for that  specific  risk class.

Original source: European Banking Authority, Q&A ID 2022_6435

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.

Similar Q&As

Basis of reporting value - C 04.00 row 840 - Own funds based on Fixed Overheads

Answered 2021-04-30

Basel I floor

Answered 2015-06-26

C 09.03 - Calculation of the breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

Answered 2016-09-09

Cap on the own funds requirement for a net position

Answered 2017-12-22

Template C09.03 (CR GB3) - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country.

Answered 2016-01-29

More Q&As on this topic

Changes between DPM 4.0 and DPM 4.2: An error has occurred while performing schema validation for the node '{http://www.eba.europa.eu/xbrl/crr/dict/met/4.2}ei86': "Other Countries" does not parse as a QName value. C_14.00 TC_14.00-L005-C0190 = Other Countries

Answered 2026-10-09

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.