- Question ID
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2019_4626
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - COREP (incl. IP Losses)
- Article
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99
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
-
Reporting framework 2.8 Annex 1 Template C 32.2
- Type of submitter
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Credit institution
- Subject matter
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Diversification benefits of upside uncertainty in column 0120 C 32.02
- Question
-
Where should diversification benefits of the upside uncertainty shall be included?
- Background on the question
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In our opinion the upside uncertainty in column 0120 should show symetric results in comparison with AVAs in column 0110 if the underlying market data shows a symmetric distribution. Because the design of the C 32.02 template is not symmetric (For AVAs diversification benefits are separated while for upside uncertainty this is not the case) it is difficult to generate the consistency in all columns.
- Submission date
- Final publishing date
-
- Final answer
-
In template C 32.02 of Annex I to Regulation (EU) No 680/2014 (ITS on supervisory reporting) diversification benefit on upside uncertainty should be captured in rows 0010-0030 column 120. Rows 0090-0130 column 120 should be pre-diversification upside uncertainty. As a matter of fact, rows 0090-130 are a subset of row 0040 which does not include diversification benefits.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.