EBA · 2024_7018 Rejected question

Taxonomy 3.2: Is the validation rules v4745_s consistent for fair-value in short position disclosed in the cell C09.04, row 0040, columns 0010 ?

Name: Taxonomy 3.2: Is the validation rules v4745_s consistent for fair-value in short position disclosed in the cell C09.04, row 0040, columns 0010 ?: 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: 2024-02-22

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Question

For information this request replace 2024_7015 In Annex II to Regulation (EU) 2021/451, chapter 3.4.3 referring to template C 09.04, the row of the line 0040 contains “Value of trading book exposures under internal models”. By this way, how to disclose the fair-value of a non-deritivative in a short position, in which the value is negative, whereas the CFV v4745_s expects only positive value used for long position ? Should this validation rule should exclude line 0040 ?

Background

The cells line 0040, column 0010 of the template C09.04 contains the “Value of trading book exposures under internal models”. It may happen that the value may be negative in short position, or positive in the long position. Consequently, we would like to know if the CFV v4745_s is consisitent for the specific cell.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7018

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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