Question ID
2022_6430
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - FINREP (incl. FB&NPE)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex V
Type of submitter
Credit institution
Subject matter
FINREP V5686_s: for the rows (080;150) Col. 050 > 0
Question

EBA V5686_s signage validation requires positive amounts in column 050 (Macro Hedges - Hedged Items in Portfolio Hedge of Interest Rate Risk).

Please can you advise on whether FINREP permits negative amounts in column 050 for rows 080 and 0150?

Background on the question

In the template F 11.04 - Hedged Items in Fair Value Hedges column 0050 (Macro Hedges - Hedged Items in Portfolio Hedge of Interest Rate Risk) negative amounts can be originated by adjustment between active and passive generic positions relative hedge of financial assets and liabilities measured at amortised cost.

Submission date
Final publishing date
Final answer

Column 0050 of F 11.04 (Macro hedges - Hedged Items in Portfolio Hedge of Interest Rate Risk) refers to paragraph 152 of Part 2 of Annex V to Implementing Regulation (EU) 2021/451.  

This reference clearly states that this item “shall include financial assets and financial liabilities … of a portfolio of financial assets or financial liabilities”. But this reference also indicates that “those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio”. 

Therefore, if a portfolio includes financial assets and financial liabilities, the assets have to be included in line 0080 of F 11.04 (Financial assets measured at amortised cost) and the liabilities in line 0150 (Financial liabilities measured at amortised cost). Both of them have to be reported at their gross carrying amount, that by definition it is zero or a positive value. For that reason, v5686_s refers to values >= 0 in these cells. 

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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