While populating the templates for the ad hoc data collection, we came across differing interpretations on how to populate certain rows and columns of template J 02.00 in terms of sign convention, with a subsequent impact on how to populate rows 0540 to 0560.

In the instructions the following is stated referring to the baseline values (columns 0030 and 0100): “Generally values shall be reported positively across the templates. Figures expressed in monetary units referring to the level of EVE, level of NII and MV level shall in general be reported as a positive figure, irrespective of whether it refers to an asset or a liability”.  

The instructions to the change columns (0040 to 0090 and 0110 to 0120) are not as clear: “The changes (Δ) of EVE, NII and MV shall be reported with positive or negative values, depending on the variation. The Δ shall be calculated as the difference between the EVE/NII/MV under the shock scenarios minus baseline scenario. EVE (and MV) sensitivities of a specific asset or liability shall be reported as positive if the EVE (and MV) of that asset or liability increases under a specific IR scenario”.

Question 1: 
Should the sign convention in these columns be determined by whether the change is a gain or a loss in the net level of EVE/NII (Formula A) or determined by an increase or decrease in the absolute value of the EVE/NII level? (Formula B)

Explanatory example:
For liabilities, column 0030 should  be reported as a positive value per the reporting instructions. Using formula A, column 0040 would be a positive value while column 0050 would be a negative value, as the EVE of a liability is negative. Using formula B, column 0040 would instead be a negative value and column 0050 would be a positive value.

Question 2: 
The choice of which logic to use also determines how rows 0540 and 0560 are populated. Should they be populated as the sum of TOTAL ASSETS (r0010) and TOTAL LIABILITIES (r0200) or as the difference between TOTAL ASSETS (r0010) and TOTAL LIABILITIES (r0200).