Single Rulebook Q&A

Question ID: 2018_4355
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
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 : Annex V, Part II, Paragraph 134
Type of submitter: Credit institution
Subject matter : Validation rule v0853_m - Framework release 2.8
Question:

In tables F10.00 and F11.01 should the notional amount of derivatives be reported if the fair value is equal to zero?

Background on the question:

Regarding validation rule v0853_m, if {c030} != 0 then {c010} != 0 or {c020} != 0, the Notional amount of the derivatives in tables should reconcile with the aforementioned condition. This means that if the Notional amount of a derivative (c30) is different to zero (0), then the carrying amount (c10 or c20) should be different to zero. However Annex V, and especially paragraph 134,indicates that : “The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero”.

Date of submission: 01/11/2018
Published as Final Q&A: 07/06/2019
EBA answer:

Validation rule v0853_m in template F10.00 of Annex V to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) checks that – if not zero - the nominal value of a derivative in column 030 should always be associated with a non-zero carrying amount of the related derivative as reported in columns 010 or 020.

All notional amounts of all derivatives shall be reported in template F10 irrespective of whether they are recognized on the balance sheet or not (paragraph 122 and 134 of Annex V) and regardless whether the fair value of derivatives is positive, negative or equal to zero (paragraph 134 of annex V).

Consequently, the rule should be deactivated.

Status: Final Q&A
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