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:

  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
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