EBA · 2026_7910 Rejected question

Validation Rule RRCOROF_V903610_H_C0030

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Market risk
Submitted by
Credit institution
Submitted
2026-06-09
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Question

Could you please clarify the validation rules newly introduced or reactivated in template C34.03 within COROFI and COROFC as of 31 March 2026? These rules require that the totals for Number of Transactions (RRCOROF_V903610_H_C0030_S0001), Nominal Amount (RRCOROF_V903610_H_C0040_S0001), Positive Market Value (RRCOROF_V903610_H_C0050_S0001 ) and Negative Market Value (RRCOROF_V903610_H_C0060_S0001)  and Add-on (RRCOROF_V903610_H_C0070_S0001) equal the sum of the respective risk categories (Interest Rate Risk, Foreign Exchange Risk, Credit Risk, Equity Risk, Commodities Risk, Other).

Background

Given that RBI’s deals can be exposed to multiple risk categories simultaneously (these deals are reported as single deals without splitting into legs), how should such deals be treated to comply with these validation rules? In particular, considering that totals in C34.02 and C34.03 for Number of Deals and Nominal Amount must match, and that in C34.03 totals must equal the sum of risk categories, how should multi-risk deals reported under multiple categories be handled? Additionally, since the rule requiring the total number of deals to equal the sum across risk categories was previously deactivated, could you clarify its current status?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2026_7910

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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