- Question ID:
- Legal Act:
- Regulation (EU) No 575/2013 (CRR)
- Supervisory reporting - COREP (incl. IP Losses)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
- Annex XV
- Disclose name of institution / entity:
- Type of submitter:
- Credit institution
- Subject Matter:
- COREP C91.00 - Consistency control v10242_s
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:
- 100 in column C0010, -120 in column C0020 and -20 (=100-120) in column C0030
- 100 in column C0010, 120 in column C0020 and -20 (=100-120) in column C0030
- 100 in column C0010, 120 in column C0020 and 20 =abs(100-120) in column C0030
- 100 in column C0010, 120 in column C0020 and 220 =abs(100)+abs(-120) in column C0030
- Date of submission:
- Published as Rejected Q&A
- 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.
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- Rejected question