2018_3770 Validation rule v5548_h (FINREP template F 11.01 IFRS 9)

Question ID:

2018_3770

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - FINREP (incl. FB&NPE)

Article:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Draft ITS on Supervisory Reporting of Institutions

Article/Paragraph:

Disclose name of institution / entity:

Type of submitter:

Credit institution

Subject Matter:

Validation rule v5548_h (FINREP template F 11.01 IFRS 9)

Question:

The validation rule v5548_h requires for template F 11.01 FINREP for all columns (010/020/030/040) row 460 (Cash flow hedges needs to be >= row 480 (Portfolio Fair value hedges of interest rate risk). Both amounts are part of the Derivatives Hedge accounting but there is no link between row 460 and 480. Can you delete validation rule v5548_h?

Background on the question:

In template F 01.01 row 240 Derivatives – Hedge accounting needs to be broken down in template F 11.01. Row 500 of template F 11.01 is the sum of row (r460 Cash flow hedges + r230 Fair value hedges + r470 Hedge of a net investments in a foreign operation + r490 Portfolio cash flow hedge of interest rate risk +r480 Portfolio fair value hedge of interest rate risk). This is in accordance with validation rule v2278_m. Therefore, the amount reported in row 480 is not a subset of the amount reported in row 460.

Date of submission:

16/03/2018

Published as Final Q&A:

27/07/2018

Final Answer:

According to v2278_m, the total amount of Derivatives, Hedge Accounting (F 11.01 r500) should include, among others, Cash Flow Hedges (F 11.01 r460) and Portfolio of Fair Value Hedges of Interest Rate Risk (F 11.01 r480). Therefore, r480 is not a subset of r460.

Therefore, validation rule v5548_h has been deactivated on 11/06/2018.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.