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?

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

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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