- Question ID
-
2022_6435
- 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) 2021/453 - ITS with regard to the specific reporting requirements for market risk
- Article/Paragraph
-
Annex II
- Type of submitter
-
Credit institution
- Subject matter
-
C 91.00: Relevant scenario for own funds requirements
- Question
-
Could you please indicate how Article 325h(4) CRR should be understood, in order to fill in information in template C 91.00?
'4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.'
It would make sense to select the most critical scenario and apply this one for all risks, without changing scenario from one risk to another, could you confirm?
- Background on the question
-
According to Article 325h CRR, the institution should calculate the risk class specific own funds requirements using three different scenario.
When the three scenario have been calculated:
- Should we select the one generating in total the most elevated requirements?
If so, it will be this scenario that applies to every type of risk (Equity Risk, Commodity Risk, general interest risks...).
- Or should we select for every risks the scenario that generates the highest requirements ?
In that case, the scenario selected could differ from one risk to another.
- Submission date
- Final publishing date
-
- Final answer
-
Where the own funds requirements reported in column 0190 of template C 91.00 of Annex I to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS) refer to the own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column should all correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013 (CRR), i.e. the scenario that generates the highest of the three scenario-specific total own funds requirements.
Accordingly, the values reported in rows 0020 to 0080 of column 0190 should correspond to own funds requirements of the respective risk class in the scenario that determines the total own funds requirements under the sensitivities-based method. The scenario that generates the highest total own funds requirements may be different from the scenario that maximises the own funds requirements for that specific risk class.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.
Disclaimer
The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.