Question ID
2022_6416
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
Annex II (Solvency), Part II
Type of submitter
Investment firm
Subject matter
C34.01 Size of the Derivative Business – Application of validation rule v09805_m
Question

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.01 states the size of the derivative business must be the sum of the absolute value of long derivative positions and absolute value of short derivative positions. 
According to validation rule v09805_m applicable to row {0050} in the C34.01 template, the percentage of the total assets to the size of the derivative business must be less than or equal to one.  Taking the sum of the absolute market value of long and short derivative positions would most likely trigger this warning validation.
Can the EBA review the warning validation rule v09805_m for C34.01 and confirm if this needs amendment? 

Background on the question

In accordance with Implementing Technical Standards for Regulation (EU) 2021/451, Annex II, institutions are required to disclose in template C34.01 the size of the derivative business (being the sum of the absolute value of long derivative positions and the absolute value of short derivative positions) as a percentage of the total assets. However, the validation rule v09805_m requires the percentage of total assets {r0050} to be <= 1. Additional clarification on the application of this warning validation rule for C34.01 will be useful for reporting institutions.

Submission date
Rejected publishing date
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 release of the respective validation rules.

Status
Rejected question