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 II (Solvency), Part II
Disclose name of institution / entity:
Type of submitter:
Investment firm
Subject Matter:
C34.09 Credit Derivative Exposures – Signage of positive and negative fair values for credit derivatives

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.09 requires the fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values).
According to validation rules v10325_s and v10481_s for C34.09, the fair values reported in columns 0030 and 0040 for rows 0010 to 0070 must be greater than or equal to zero.
Can the EBA clarify if positive fair values should be reported with positive signage and negative fair values should be reported with negative signage in rows 0010 to 0050? Or if the validation rules are correct then is the requirement to report both positive and negative fair values with positive signage in these rows?

Background on the question:

In accordance with Implementing Technical Standards for Regulation (EU) 2021/451, Annex II, institutions are required to disclose the fair values of credit derivatives in template C34.09 broken down by product and protection bought and sold. The validation rules for C34.09 (v10325_s and v10481_s) require the fair values reported in rows 0010 - 0060 to be reported in positive signage (i.e. >=0). Additional confirmation on the signage to use for positive and negative fair values in these rows will be useful for the reporting institution.

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.

Rejected question