Question
Where should diversification benefits of the upside uncertainty shall be included?
Background on the question
In our opinion the upside uncertainty in column 0120 should show symetric results in comparison with AVAs in column 0110 if the underlying market data shows a symmetric distribution. Because the design of the C 32.02 template is not symmetric (For AVAs diversification benefits are separated while for upside uncertainty this is not the case) it is difficult to generate the consistency in all columns.
Answer
In template C 32.02 of Annex I to Regulation (EU) No 680/2014 (ITS on supervisory reporting) diversification benefit on upside uncertainty should be captured in rows 0010-0030 column 120. Rows 0090-0130 column 120 should be pre-diversification upside uncertainty. As a matter of fact, rows 0090-130 are a subset of row 0040 which does not include diversification benefits.