Single Rulebook Q&A

Question ID: 2018_3842
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Supervisory reporting
Article: 99
Paragraph: 5
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annex 3, Annex5 related validation rules under DPM2.7.0.1
Type of submitter: Credit institution
Subject matter : DPM2.7.0.1 validation rules v5228_m,v5229_m,v_5231_m,v5235_m across template F18.00a, F04.04.1

v5228_m,v5229_m,v_5231_m,v5235_m: We found these validations do not take into account the expect credit loss amount calculated for other demand deposits and cash balances at central banks.  Are they correct?

Background on the question:

We are testing the validations under DPM 2.7 and found below validations do not pass:

v5228_m: {F 18.00.b, r070, c130} = sum({F 04.04.1, r070, (c050, c060, c070)})

v5229_m: {F 18.00.b, r080, c130} = sum({F 04.04.1, r080, (c050, c060, c070)})

v5231_m: {F 18.00.b, r100, c130} = sum({F 04.04.1, r100, (c050, c060, c070)})

v5235_m: {F 18.00.b, r180, c130} = sum({F 04.04.1, r140, (c050, c060, c070)})

According to Annex 5 (FINREP), §217 of v2.7 ITS on Reporting, F 18.00 template includes in its scope other demand deposits:

"217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures."

In case of expected credit losses on other demand deposits (rare case of impairments on nostro accounts for instance) and the cash balances at central banks, the value reported in, for example, row 100, column 130 of F 18.00.b can be larger than the value reported in row 100, sum of columns 050, 060 and 070 of template F 04.04.1(v5231_m)

Date of submission: 09/05/2018
Published as Final Q&A: 11/01/2019
EBA answer:

According to Part 2, paragraph 217 of Annex V to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), template F 18.00 of Annexes III and IV to the ITS on Supervisory Reporting covers also cash balances at central banks and other demand deposits. However, template F 04.04.1 does not include cash balances at central banks and other demand deposits. Hence, if there would be impairments booked against these items, validation rules v5228_m, v5229_m, v5231_m and v5235_m may not hold.

Therefore, validations rules v5228_m, v5229_m, v5231_m and v5235_m have been deactivated on 10th September 2018.

Status: Final Q&A
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