EBA · 2014_1109 Final Q&A

Content of “accumulated changes in fair value due to credit risk” in template F 16.05

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - FINREP (incl. FB&NPE)
Submitted by
Competent authority
Submitted
2014-04-25
Answered
2014-10-03
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Column 020 of template F 16.05 is labeled as “Accumulated changes in fair value due to credit risk”, whereas the respective instructions (paragraph 100 of part 2 of Annex V of the ITS on supervisory reporting) reads “Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).”. We would like to get confirmation that the instructions shall be followed and that the use of the word “accumulated” in the second column of F 16.05 is a typo.

Background

It is important to note that when the information of “accumulated changes in fair value due to credit risk” is required in other FINREP templates (F 4.01, F 4.02 and F 8.01), it refers to the changes from the acquisition date and not to the changes during the period, as in template F 16.05. This is the reason why we interpret that the term “accumulated” refers to “accumulated from acquisition date” and the appearance of such word in the heading of the second column of F 16.05 is a typo.

Answer

The suite of templates F 16 provides further analysis of profit and loss items. As per the instructions in paragraph 100 of part 2 of Annex V of the Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions (ITS), F 16.05 column 010 shows changes occurring in the current period in fair value of Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument. In this respect the heading in F 16.05 of column 020 is misleading and should only include changes in fair value due to credit risk that have occurred in the current period. The reference to "accumulated" has been removed from the label of c020 for template F 16.05 in the regulation published by the Commission.

Original source: European Banking Authority, Q&A ID 2014_1109

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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