Validation rules and warnings

Due to the increase of interest rates, the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' is a negative number on the asset side of the balance sheet. In the NSFR this amount is reported under 'other assets' (C80.00 R1030). However, we obtain multiple warnings eba_v11531_s, eba_v11537_s, eba_v11546_s, eba_v11552_s, eba_v11565_s, eba_v11582_s. Is it possible to report a negative number under other assets, and if not where should we report the negative amount of 'fair value changes of the hedged items in portfolio hedge of interest rate risk'

The credit institution uses Portfolio hedge accounting under IFRS to hedge interest rate risk. This consists of fixed euro assets and an equivalent of Interest rate swaps. The negative amounts in the NSFR report consist of the “fair value changes of the hedged items in portfolio hedge of interest rate risk” (see also C32.01 R0120). This is an adjustment for the assets that are involved in portfolio fair value hedge accounting. The amount is calculated on a portfolio level and is not available on a transaction level. In our balance sheet (Finrep and annual report) this is presented as a single line item on the asset side. Since the rise in interest rates, the fair value changes of the hedged items changed from positive to negative. Despite that this amount turned negative, it is still an adjustment for assets and remains on the asset side of our balance sheet. This is reported in Finrep F01.01 on row 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk. There is no line item available for this in the NSFR, so we decided to report it under “RSF from other assets. We also refer tp Q&A 6367.