- Question ID
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2024_7077
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - IRRBB
- Article
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84
- Paragraph
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5
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
- Article/Paragraph
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Article 1(1)b of Draft Implementing Standards on IRRBB reporting under Commission Implementing Regulation (EU) 2021/451
- Type of submitter
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Other
- Subject matter
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Validation rules in Reporting Framework 3.4
- Question
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The question concerns the EBA Reporting Framework 3.4, Validation Rules (March 22, 2024), rule v22161_m.
This rule applies to the calculation of 'Net interest rate position with derivatives', {r0560}, in the context of 'ITS on Supervisory Reporting with Regard to IRRBB', Annex 28, form J02.00.
It defines {r0560} to be {r0560} = {r0010} + {r0190} + {r0200} + {r0520} + {r0530}, the sum of 'Total Assets', 'Off-balance sheet assets: contingent assets', 'Total liabilities', 'Off-balance sheet liabilities: Contingent liabilities', and 'Other derivatives (Net asset/liability)'.
Are the signs in front of {r0200} and {r0520} correct in this formulation? We would appreciate affirmation by EBA.
Similar observations may also apply to rules v22159_m and v22160_m.
- Background on the question
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The question arose during the consultative process as the validation rules were reviewed.
- Submission date
- Final publishing date
-
- Final answer
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The validation rule v22161_m shall be amended in the following way, to consider that assets and liabilities are both reported with positive sign: {r0560} = {r0010} + {r0190} - {r0200} - {r0520} + {r0530}. Nevertheless the sign convention in point 5, Part I, ANNEX XXIX of Commission Implementing Regulation (EU) 2021/451 should be taken into account when populating the columns representing changes (Δ).
The validation rules v22159_m and v22160_m will be also amended accordingly, as well as validation rules v22169_m, v22170_m and v22171_m.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
Disclaimer
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