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 VX
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s

Should the net delta sensitivities in columns 0020 and 0030 of template C91.00 be reported as absolute values?

Background on the question:

According to Annex II on specific reporting requirements for market risk, in column 0020 and 0030 of template C91.00 institutions shall report the sum of all negative sensitivities to delta risk factors and the sum of net all positive and all negative sensitivities, respectively. However, validation rule v10242_s expects these columns to have values greater than zero, i.e. positive. If an absolute value of the net sensitivities is reported in column 0030, it cannot be determined whether the net sensitivity is positive or negative which can be misleading.

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