Question ID
2022_6511
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting
Article
430
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex I, C 32.01
Type of submitter
Credit institution
Subject matter
v6566_s - Negative FV changes of hedged items (C 32.01)
Question

How should negative fair value changes of the hedged items in portfolio hedge of interest rate risk be reported in the context of the prudent valuation templates in COREP (C 32.01)?

Background on the question

Regulation (EU) 2021/451, Annex I, C 32.01 requires the reporting of fair value changes of the hedged items in portfolio hedge of interest rate risk in column 0010 row 120 (for assets). Annex II of that regulation clarifies that these rows shall correspond to row 0250 of template F 01.01 of Annex III and IV of that regulation.

Due to changes in interest rates, the fair value changes of the hedged items in portfolio hedge of interest rate risk related to asset items can result in a negative balance sheet amount (IAS 39). This negative balance sheet amount is reported in the FINREP on F 01.01, row 0250. When complying with above mentioned reporting instructions in Annex II we also need to report a negative amount on row 0120 in C 32.01. Validation rule v6566_s however expects the value in this row to be equal or higher to 0.

It is not clear to us how we should report the negative amount of fair value changes of the hedged items in a portfolio hedge in C 32.01. Should we report C 32.01, row 0120 in correspondence with F 01.01, row 0250 or should we leave this line item empty when it is a negative amount?

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has already been identified and was already considered in previous releases of the respective validation rules.

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Status
Rejected question