Question ID
2026_7910
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Credit institution
Subject matter
Validation Rule RRCOROF_V903610_H_C0030
Question

Could you please clarify the validation rules newly introduced or reactivated in template C34.03 within COROFI and COROFC as of 31 March 2026? These rules require that the totals for Number of Transactions (RRCOROF_V903610_H_C0030_S0001), Nominal Amount (RRCOROF_V903610_H_C0040_S0001), Positive Market Value (RRCOROF_V903610_H_C0050_S0001 ) and Negative Market Value (RRCOROF_V903610_H_C0060_S0001)  and Add-on (RRCOROF_V903610_H_C0070_S0001) equal the sum of the respective risk categories (Interest Rate Risk, Foreign Exchange Risk, Credit Risk, Equity Risk, Commodities Risk, Other). 

 

 

Background on the question

Given that RBI’s deals can be exposed to multiple risk categories simultaneously (these deals are reported as single deals without splitting into legs), how should such deals be treated to comply with these validation rules? In particular, considering that totals in C34.02 and C34.03 for Number of Deals and Nominal Amount must match, and that in C34.03 totals must equal the sum of risk categories, how should multi-risk deals reported under multiple categories be handled? Additionally, since the rule requiring the total number of deals to equal the sum across risk categories was previously deactivated, could you clarify its current status?

 

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 / release of the respective validation rules.
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Status
Rejected question