- Question ID
-
2023_6881
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Asset Encumbrance
- Article
-
430
- Paragraph
-
1
- Subparagraph
-
g
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
-
Template F32.01 (row 0120, column 0060)
- Type of submitter
-
Credit institution
- Subject matter
-
Validation Rule Asset Encumbrance (v11616_s)
- Question
-
Could the validation rule v11616_s be deactived in the same manner as for validation rule v4364_s?
v11616_s: [F 32.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120, c0030;0060;0080)] {{F 32.01}} >= 0
- Background on the question
-
We use Portfolio hedge accounting under IFRS to hedge interest rate risk. The negative amount in Asset Encumbrance form F32.01 (row 0120, column 0060) is caused by the negative value of the "fair value changes of the hedged items in portfolio hedge of interest rate risk". This is an adjustment for the assets that are involved in portfolio fair value hedge accounting.
This amount is calculated on a portfolio level and is not available on a transaction level. In our balance sheet (FINREP and Annual Report) this is presented as a single line item on the asset side. Due to the rise in interest rates, the fair value changes of the hedged items changed from positive to negative. Despite that, this amount turned negative, it is still an adjustment for assets and remains on the asset side of our balance sheet. This is reported in FINREP F01.01 on row 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk.
- 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