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Banking and Payments Federation Ireland

With regard to the inclusion of positive and negative unweighted delta sensitivities (Columns 0010 & 0020 of template C91.00) we would suggest additional clarity is provided on how to populate these columns for positions where there is an allowance to exclude them from the calculation – namely considering EBA responses to Q&A 2016_2571 and 2017_3314, which relate to treatment of non-delta risk of options in the standardised risk approach, and permissions for delta models for back to back positions in options and warrants, respectively. If these can be excluded from the calculation, does it follow that their unweighted sensitivities should be excluded from the reporting template?
Ali Ugur