Single Rulebook Q&A

Question ID: 2018_3814
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annexes III and IV to Regulation (EU) No 680/2014
Type of submitter: Competent authority
Subject matter : Finrep. Validation rule v5443_m and others
Question:

Our opinion is that rule v5443_m has been wrongly implemented by the EBA. The formula is the following : {F 18.00.a, r100, c010} = sum({F 04.09, r100, (c010, c020)}) + sum({F 04.10, r150, (c010, c020)}) - sum({F 04.10, r150, (c015, c025)}) + {F 01.01, r030, c010} This rule seems to be designed for nGAAP reporters as in its formula there are some explicit references to F 04.09 and F 04.10 templates which are nGAAP reporters templates. The problem is the following : The last data point on the right hand side of v5443_m shall be in my humble opinion F 01.01, r040 and not F 01.01, r030. In the current implementation, the EBA is comparing loans and advance to credit institutions (F 18.00 row 100, col 010) with cash balances at central banks which does not make sense. v2776_m which is the same rule but this time designed for IFRS reporters seems to be correct as the last data point on the right hand side of the formula refers this time to row 040 : {F 18.00.a, r100, c010} = sum({F 04.04.1, r100, (c015, c030, c040)}) + {F 01.01, r040, c010} Could you please confirm that rule v5443_m has been wrongly implemented by the EBA?

Background on the question:

The formula of EBA Validation rule v5443_m is the following : {F 18.00.a, r100, c010} = sum({F 04.09, r100, (c010, c020)}) + sum({F 04.10, r150, (c010, c020)}) - sum({F 04.10, r150, (c015, c025)}) + {F 01.01, r030, c010}

Date of submission: 20/04/2018
Published as Final Q&A: 05/10/2018
EBA answer:

Validation rule v5443_m, which compares the amount of performing and non-performing exposures as reported in template F 18.00 of Annex IV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) with exposures broken down by accounting portfolios (templates F 04.09 and F 04.10) and other items, is meant to be applicable primarily for entities applying a nGAAP not compatible with IFRS.

Currently its implementation is flawed for the following three reasons:

(i)     As mentioned in the question, the rule should consider the amounts reported in row 040 of template F 01.01 of Annex IV (other demand deposits) rather than row 030 (cash balances at central banks).

(ii)    As regards the references to template F 04.10,

o    The gross carrying amount of impaired and unimpaired assets should be considered consistently, i.e. the summand should refer to the sum of columns 015 and 020 instead of columns 010 and 020 and

o    Assets under LOCOM should be consistently excluded from the formula, i.e. the subtrahend should refer to columns 016 and 025 instead of columns 015 and 025.

(iii)   In order for the rule not to be applied to institutions reporting purely under IFRS, the precondition needs to be adjusted, i.e. it F 01.01 needs to be moved outside the brackets, for the condition to read ‘F 18.00.a and (F 04.09 or F 04.10) and F 01.01.

The issues described under (ii) and (iii) do not only affect validation rule v5443_m, but also (either both or (ii) only) validation rules v5440_m, v5441_m, v5442_m, v5444_m, v5445_m, v5446_m and v5447_m.

As regards validation rule v5462_m, it should consistently include Assets under LOCOM, i.e. columns 016 and 025 of F 04.10 should be referred to instead of columns 010 and 025 thereof.

All mentioned validation rules have been amended in version 2.8 of the reporting framework.

Status: Final Q&A
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