EBA · 2018_4193 Final Q&A

C 66.00, validation rule v5903_s

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2018-08-13
Answered
2019-09-06
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In an environment of negative (money market indexing) interest rates this rule may not be applicable.

Background

This rule states that, for several rows, in all columns (maturity buckets), the outflows have to be positive. In an environment of negative (money market indexing) interest rates this rule may not be applicable.

Answer

In accordance with Annex XXII (template) and Annex XXIII (instructions) of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) institutions shall report their contractual flows and contingent outflows, with such flows to be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calendar days. As further described under paragraph 8 of Annex XXIII of Regulation (EU) No 680/2014, cash outflows and inflows in the respective sections “outflows” and “inflows” shall be reported on a gross basis with a positive sign and amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. Against this background, interest outflows resulting from negative interest rates are to be reported in row 370 (“Other outflows”) with a positive sign. In the same vein, interest inflows resulting from negative interest rates are to be reported in row 690 (“Other inflows”) with a positive sign.

Original source: European Banking Authority, Q&A ID 2018_4193

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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