EBA · 2023_6881 Rejected question

Validation Rule Asset Encumbrance (v11616_s)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430, para. 1
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Credit institution
Submitted
2023-09-12

Question

Could the validation rule v11616_s be deactived in the same manner as for validation rule v4364_s? v11616_s: [F 32.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120, c0030;0060;0080)] {{F 32.01}} >= 0

Background

We use Portfolio hedge accounting under IFRS to hedge interest rate risk. The negative amount in Asset Encumbrance form F32.01 (row 0120, column 0060) is caused by the negative value of the "fair value changes of the hedged items in portfolio hedge of interest rate risk". This is an adjustment for the assets that are involved in portfolio fair value hedge accounting.  This 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. Due to 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.
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Original source: European Banking Authority, Q&A ID 2023_6881

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