EBA Q&A 2017_3318 clarifies that, under IFRS 9, the gross carrying amount for financial assets measured at FVOCI should correspond to the amortised cost before adjusting for any loss allowance, not to the fair value of the asset. This means that the impairment is calculated on the amortised cost base, while changes in fair value are recognised separately in Other Comprehensive Income (OCI) and accumulated in equity.

As a result, the closing balances reported for FVOCI loans in template F 05.01 (balance sheet) may not match directly the balances shown in templates F 06.01 and F 20.04, since those templates reflect the accounting view of income and expense components rather than the valuation updates recorded through OCI.

However, the current validation rules appear to assume that all changes in the carrying amount of loans correspond entirely to movements captured in profit or loss, which is inconsistent with the treatment of FVOCI portfolios under IFRS 9 and the EBA’s own Q&A 2017_3318.

Specifically:

v4975_m: {F_05.01, r0080, c0050} = {F_06.01, r0190, c0010} + {F_06.01, r0190, c0021} + {F_06.01, r0190, c0022}

v6058_m: {F_05.01, r0080, c0050} = sum({F_20.04, r0190, c0010, (sNNN)}) - sum({F_20.04, r0190, c0011, (sNNN)}) + sum({F_20.04, r0190, c0031, (sNNN)}) + sum({F_20.04, r0190, c0040, (sNNN)})

For FVOCI loans, fair value changes alter the balance sheet amount but are not captured in these templates, resulting in systematic validation breaches.

Issue
Institutions with portfolios of loans measured at FVOCI experience breaches of these validation rules even when their reporting is fully consistent with IFRS 9, the FINREP instructions, and the EBA Q&A 2017_3318.

This occurs because the VRs currently ignore the impact of valuation adjustments recognised directly in OCI, which legitimately change the balance sheet amount of FVOCI assets. Therefore, the validations incorrectly expect full consistency between profit/loss-related templates and the balance sheet figures, leading to false inconsistencies.