Question ID
2024_7001
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
325f
Paragraph
3
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Not applicable
Name of institution / submitter
Marino Vassolo
Country of incorporation / residence
Italy
Type of submitter
Consultancy firm
Subject matter
Unweighted delta sensitivities in template C91
Question

In the C90 template on market risks - Alternative Standardised Approach Summary - the first two columns must show the unweighted sensitivities broken down by positive and negative aggregated by risk factor.
Should positive and negative sensitivities be aggregated from net risk factor sensitivities or risk factor sensitivities for individual positions? 

Background on the question

In the annex II of "EBA/ITS/2020/01 specific reporting requirements for market risk under Article 433b of Regulation (EU) No 575/2013 (CRR)" is reported:

  • Unweighted delta sensitivities – Positive
    Article 325f (3) and Article 325r CRR.
    Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f (3) CRR. They shall report the sum of all positive sensitivities to delta risk factors within the risk class.
  • Unweighted delta sensitivities – Negative
    Article 325f (3) and Article 325r CRR.
    Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f (3) CRR. They shall report the sum of all negative sensitivities to delta risk factors within the risk class.

Assuming two sensitivities on the EUR ESTER pillar 1Y on two different instruments where per:
- instrument 1 -> Sensitivity equal to +50
- instrument 1 -> Sensitivity equal to -100
and consequently net sensitivity for the EUR ESTER pillar 1Y risk factor equal to -50.


For the compilation of the C91 template of the first two columns for the GIRR, how should one proceed?
Option 1 -> only the net sensitivity value of the risk factor (-50) is entered, which is negative and therefore goes in column 0020
Option 2 -> the value of positive sensitivity (100) goes in column 0010 and the value of negative sensitivity (50) in column 0020  

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 version of the Reporting framework (see EBA/ITS/2024/002, Annex IV, instruction on C 91.01, c0010 and c0020).

Status
Rejected question