Question ID:
2015_2215
Legal Act:
Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic:
Supervisory reporting
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex V
Type of submitter:
Credit institution
Subject Matter:
Consistency between validation rule V3933 and paragraph IAS39 - 89A
Question:

Could you explicit the reasons of the validation rule V3933, taking account of paragraph IAS39 - 89A, mentioned in the template?

Background on the question:

We don’t understand this validation rule which stipulates that amounts recorded in FIN 11.1 should be positive. Notably, the control indicates that the portfolio hedge on the fair value of the interest rate risk exposure (row 480 / column 010) should be positive or zero. Indeed, in accordance with the §89A of IAS 39 (below) mentioned as a reference in the templates, the fair value changes of the hedged item can be positive or negative because they should be classified at the same location as the hedged instruments. The hedge being symmetrical to the hedged item, it is the same for the hedging derivatives. IAS 39 - For a fair value hedge of the interest rate exposure of a portion of a portfolio of financial assets or financial liabilities (and only in such a hedge), the requirement in paragraph 89(b) may be met by presenting the gain or loss attributable to the hedged item either: (a) in a single separate line item within assets, for those repricing time periods for which the hedged item is an asset; or (b) in a single separate line item within liabilities, for those repricing time periods for which the hedged item is a liability.

Date of submission:
13/08/2015
Published as Final Q&A:
13/12/2019
EBA Answer:

The row 480 of the template F11.01 does not record the fair value changes of the hedged item. This row applies to the hedging derivatives involved in portfolio hedging, that is why the reference to the paragraph 89A of IAS 39 is mentioned. Insofar as the fair value of the hedging derivative is concerned, the amount should always be re-ported with a positive sign: a positive fair value is reported as assets, and a negative one as liabilities.

Status:
Final Q&A