Question
Concentrate Position Size and Market Value can be negative depending on factors including direction of underlying positions (long or short). Please confirm reporting signage for Concentrated Position Size (col 0040) and Market Value (col 0060) in COREP template C32.04.
Background on the question
Template C32.04 Prudent Valuation: Concentrated positions AVA (PruVal 4) requires reporting of Concentrated Position Size in column 0040 and Market Value in column 0060. Validation rule v7301_s states that values reported in columns 0040, 0060, 0070, 0080 and 0090 have to be equal to or higher than 0. Per instructions in Annex II section 6.4, Concentrated Position Size is defined as size of the individual concentrated valuation positions…expressed in the unit described in column 0050. For the same unit such as ‘EUR per 1 basis point parallel yield curve shift’, the impact of parallel yield curve shift could be positive or negative depending on the direction of the underlying position (long or short). We interpret that size of the concentrated positions is to be reported without considering the direction of underlying positions and hence it should always be a positive number. Could you please confirm if our interpretation is correct and validation rule v7301_s is applicable to col 0040. Market Value is defined as “Market value of the position.”. This can be negative or positive depending on factors including direction of the underlying positions (long or short). Could you please confirm if validation rule v7301_s is applicable to col 0060
Answer
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.