Question ID:
2019_4626
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:
Reporting framework 2.8 Annex 1 Template C 32.2
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
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:

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.

Date of submission:
27/03/2019
Published as Final Q&A:
30/04/2021
EBA 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:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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