Question ID:
2019_4519
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex II
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Kanika Taneja (HSBC)
Country of incorporation / residence:
INDIA
Type of submitter:
Individual
Subject Matter:
Col 040 of Corep: C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) report
Question:

As per article 14 (details available below), col 040 of Corep C32.04 report is quite subjective. But to the best of our interpretation can we say that its a percentage value and is computed as Col 040 = ( CONCENTRATED POSITIONS AVA (Col 080) / Total CONCENTRATED POSITIONS AVA )* 100

Background on the question:

There is confusion around the data type for column Col 040: CONCENTRATED POSITION SIZE of C32.04 report. If its a percentage value then how to compute this value is something we are not sure of. As part of HSBC, we are very close to the Gabriel submissions, and hence would seek your help to get clarity on this field.

Date of submission:
05/02/2019
Published as Final Q&A:
30/04/2021
EBA Answer:

According to Annex II, Part II of Regulation (EU) No 680/2014 (ITS on supervisory reporting) amended by Regulation (EU) No 2018/1627, institutions must report in column 0040 of template C 32.04 the following: “Size of the individual concentrated valuation position identified according to Article 14(1)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, expressed in the unit described in column 0 050.” Therefore, column 0040 is the numerical expression of the unit of measurement reported in column 050. Column 0050 is defined as follows: “Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0 040. In the case of positions in bonds or equity, the unit used for internal risk management should be reported, such as “number of bonds”, “number of shares” or “market value”. In the case of position in derivatives, the unit used for internal risk management should be reported, such as “PV01; EUR per 1 basis point parallel yield curve shift”.Hence, a percentage value is not admissible in column 0040 of template C 32.04.
Furthermore, DPM Data Point model published by the EBA clearly states that column 40 must be a number. In fact, data type of metric ri551 is “Decimal “.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Image CAPTCHA