Question ID
2025_7329
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Interest Rate Risk for Banking Book (IRRBB)
Article
448
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
ANNEX XXIX - PART I
Type of submitter
Consultancy firm
Subject matter
Level of EVE, NII and MV under Baseline scenarios reported positive for individual currencies (material or immaterial) in J1 report
Question

Why is expected to always have the Level of EVE, NII and MV under Baseline scenarios reported positive for individual currencies (material or immaterial) in J1 report?

Currently for the the rows of J1 report which reffer to Level of EVE, NII and MV under Baseline scenarios there is a validation rule (v16332_s) which throws a warning if the amount is negative regardless if the report is aggregated or for individual currencies. We believe this rule should be applied only for aggregated currencies and not for individual currencies as there could be a situation where the bank has a liability exposure in a specific currency which will end as a negative level of EVE/ NII or MV but when the aggregated report is obtained the final values are positive. Also, if the current rule is maintained, the results from J3 report will not be consistent with the ones from J1 as the negative amounts have to be reported positive. 

Background on the question

Paragraph 5: Sign convention, Part I of the Annex XXVIII it is requests: Generally, values shall be reported positively across the templates. Figures expressed in monetary units referring to the level of EVE, level of NII and MV level shall in general be reported as a positive figure, irrespective of whether it refers to an asset or a liability, although exceptions shall be observed : it is the case when the NII level is negative if the interest expenses are bigger than the interest incomes in the baseline scenario, or the case of derivatives where net-ted values of the derivative legs need to be reported.

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 releases of the respective validation rules.

Status
Rejected question