Question ID
2021_6271
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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 VX
Type of submitter
Credit institution
Subject matter
Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s
Question

Should the net delta sensitivities in columns 0020 and 0030 of template C91.00 be reported as absolute values?

Background on the question

According to Annex II on specific reporting requirements for market risk, in column 0020 and 0030 of template C91.00 institutions shall report the sum of all negative sensitivities to delta risk factors and the sum of net all positive and all negative sensitivities, respectively. However, validation rule v10242_s expects these columns to have values greater than zero, i.e. positive. If an absolute value of the net sensitivities is reported in column 0030, it cannot be determined whether the net sensitivity is positive or negative which can be misleading.

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 and release of the respective validation rules.

Until the validation rule is modified, negative values should be allowed in column 0030 in template C91.

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