EBA · 2022_6581 Rejected question

PRUVAL - Matching Total fair values liabilities with FINREP

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
105
Topic
Credit risk
Submitted by
Credit institution
Submitted
2022-09-19
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Question

Should the validation Rule v6566_s check the sign of row 0150 (1.2 TOTAL FAIR-VALUED LIABILITIES) of template C 32.01?

Background

Considering that (i) Fair Values liabilites reported in C32 template should match with FINREP data (as expected by the EGDQ_0497 control), and that FINREP data could be negative. AND (ii) line "0150  1.2 TOTAL FAIR-VALUED LIABILITIES" is the sum of the lines 0160 to 0210, and that among those lines the line "0200   1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK" could be filled with negative values (Rule EBA_v6566 let this line appart). We believe that the amount reported on line 0150 of C32.01 could be negative without this to be considered as an error. Shouldn't the validation Rule EBA_v6566 ignore the sign of line "0150  1.2 TOTAL FAIR-VALUED LIABILITIES" ?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6581

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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