Question ID
2024_6976
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Asset Encumbrance
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
19
Type of submitter
Credit institution
Subject matter
EBA validation rule v2853
Question

EBA validation rule v2853 requires OTC derivatives in template AE-SOU (F32.04; r0030,c0010) not to be higher than OTC derivatives in FINREP (sum({F 10.00, c0020, (r0300-0320)}) + sum({F 11.01, c0020, (r0510-0530)}) + sum({F 11.02, c0007, (r0240-0260).

However in FINREP the net carrying amount should be reported as in the AE-SOU template the gross carrying amount should be reported. The gross carrying amount before accounting netting can be higher than the net carrying amount. Is this validation rule still correct?

Background on the question

In paragraph 1.2.3 of Annex XVII related to asset encumbrance the requirement is included that in AE-SOU carrying amounts gross of accounting netting should be reported. 

"Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral."

Also in EBA Q&A 2021_6282 this requirement is included specifically for derivatives.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming version of the Reporting framework / release of the respective validation rules.

Status
Rejected question