Question ID
2022_6435
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) 2021/453 - ITS with regard to the specific reporting requirements for market risk
Article/Paragraph
Annex II
Type of submitter
Credit institution
Subject matter
C 91.00: Relevant scenario for own funds requirements
Question

Could you please indicate how Article 325h(4) CRR should be understood, in order to fill in information in template C 91.00?

'4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.'

It would make sense to select the most critical scenario and apply this one for all risks, without changing scenario from one risk to another, could you confirm? 

 

Background on the question

According to Article 325h CRR, the institution should calculate the risk class specific own funds requirements using three different scenario.

When the three scenario have been calculated:

  • Should we select the one generating in total the most elevated requirements?

If so, it will be this scenario that applies to every type of risk (Equity Risk, Commodity Risk, general interest risks...).

  • Or should we select for every risks the scenario that generates the highest requirements ? 

In that case, the scenario selected could differ from one risk to another.

Submission date
Final publishing date
Final answer

Where the own funds requirements reported in column 0190 of template C 91.00 of Annex I to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) refer to the own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column should all correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013 (CRR), i.e. the scenario that generates the highest of the three scenario-specific total own funds requirements.

Accordingly, the values reported in rows 0020 to 0080 of column 0190 should correspond to own funds requirements of the respective risk class in the scenario that determines the total own funds requirements under the sensitivities-based method. The scenario that generates the highest total own funds requirements may be different from the scenario that maximises the own funds requirements for that specific risk class. 

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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