EBA · 2022_6358 Rejected question

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
IAS 39.89A(a); IFRS 9.6.5.8; Accounting Directive art 8(5), (6)., para. IAS 39.89A(a); IFRS 9.6.5.8; Accounting Directive art 8(5), (6).
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-02-08
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Question

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

Background

Row 120 of EBA Framework Annex II Reporting on own funds and own fund requirements states that for Fair value changes of the hedged items in portfolio hedge of interest rate risk the amount of row 250 of template F01.01 should be inserted. On 4Q21 this number for KBC Bank, KBC Global Services and KBC Group is -436.370.808. But validation rule v6566 says that row 120, col 0010 can not be less than 0 and validation rule v6332 states that row 120, col 0090 can not be bigger than col 0080. Since the Finrep amount is negative these validation rules can never be satisfied when we follow the EBA framework guidance. In 1Q21 we mentioned the same for row 200 and indeed now row 200 is excluded from v6566 and v6332. Therefore also row 120, which is the same account on the active side, should be excluded.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6358

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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