Question ID
2022_6417
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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 II (Solvency), Part II
Type of submitter
Investment firm
Subject matter
C34.09 Credit Derivative Exposures – Signage of positive and negative fair values for credit derivatives
Question

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.09 requires the fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values).
According to validation rules v10325_s and v10481_s for C34.09, the fair values reported in columns 0030 and 0040 for rows 0010 to 0070 must be greater than or equal to zero.
Can the EBA clarify if positive fair values should be reported with positive signage and negative fair values should be reported with negative signage in rows 0010 to 0050? Or if the validation rules are correct then is the requirement to report both positive and negative fair values with positive signage in these rows?
 

Background on the question

In accordance with Implementing Technical Standards for Regulation (EU) 2021/451, Annex II, institutions are required to disclose the fair values of credit derivatives in template C34.09 broken down by product and protection bought and sold. The validation rules for C34.09 (v10325_s and v10481_s) require the fair values reported in rows 0010 - 0060 to be reported in positive signage (i.e. >=0). Additional confirmation on the signage to use for positive and negative fair values in these rows will be useful for the reporting institution.

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.

Status
Rejected question