Question ID
2021_6266
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XV
Type of submitter
Credit institution
Subject matter
COREP C91.00 - Consistency control v10242_s
Question

The validation report of the COREP is failing due to the taxonomy rule v10242_s which is expecting positive amounts in the column C0030 on template C91.00.

The instructions state that: “Institutions shall report the sum of net all positive and all negative sensitivities to the different delta risk factors within a risk class”.

Should this control be reviewed?

Background on the question

According to the question:

Let’s suppose for a given risk class that

Net positive Delta = 100

Net negative Delta = -120

The reporting instructions can be interpreted as follows:

  1. 100 in column C0010,  -120 in column C0020 and -20 (=100-120) in column C0030
  2. 100 in column C0010,  120 in column C0020 and -20 (=100-120) in column C0030
  3. 100 in column C0010,  120 in column C0020 and 20 =abs(100-120) in column C0030
  4. 100 in column C0010,  120 in column C0020 and 220 =abs(100)+abs(-120) in column C0030
Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the Reporting framework and release of the respective validation rules.

Until the validation rule is modified, negative values should be allowed in column 0030 in template C91.

For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.

Status
Rejected question