Question ID
2023_6805
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XV
Type of submitter
Credit institution
Subject matter
Taxonomy 3.2: Are the validation rules v6327_m and v6332_m consistent?
Question

In Annex II to Regulation (EU) 2021/451, chapter 6.1.2 referring to template C 32.01, the row of the line 0120 “shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation”.

By this way, the 0120 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK may contain negative values.

Refer the annex XV of the same implementing regulation, the corresponding validation rules are defined in the taxonomy 3.2 like this:

  • v6327_m: {c0020} <= {c0010} ; Severity: Error
  • v6332_m: {c0090} <= {c0080} ; Severity: Warning

However, when the cell C32.01_A0120_0010 is negative, it will be necessary lower than the cell C32.01_A0120_0020 (OF WHICH: TRADING BOOK) and the control v6327_m is wrongly activated.

We have the same analysis between the C32.01_A0120_0080 and C32.01_A0120_0090 for the control v6332_m

Should these validation rule should be treated in absolute value to be consistent?

Background on the question

As an illustration in the report C32.01, we have the case negative and positive:

 

 

FAIR-VALUED ASSETS AND LIABILITIES

 

       

OF WHICH: TRADING BOOK

   

0010

0020

v6327_m
Colonne 0010 >= 0020

Case 1

0120

1.1.10

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

-126 167

-700

FALSE

Case 2

0120

1.1.10

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

1 234

123

TRUE

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in section 6.1.2 of Annex II to Regulation (EU) 2021/451 (ITS on Reporting), . For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'. 

Status
Rejected question