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:
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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