EBA · 2024_6976 Rejected question

EBA validation rule v2853

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Credit institution
Submitted
2024-01-19
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Question

EBA validation rule v2853 requires OTC derivatives in template AE-SOU (F32.04; r0030,c0010) not to be higher than OTC derivatives in FINREP (sum({F 10.00, c0020, (r0300-0320)}) + sum({F 11.01, c0020, (r0510-0530)}) + sum({F 11.02, c0007, (r0240-0260). However in FINREP the net carrying amount should be reported as in the AE-SOU template the gross carrying amount should be reported. The gross carrying amount before accounting netting can be higher than the net carrying amount. Is this validation rule still correct?

Background

In paragraph 1.2.3 of Annex XVII related to asset encumbrance the requirement is included that in AE-SOU carrying amounts gross of accounting netting should be reported.  "Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral." Also in EBA Q&A 2021_6282 this requirement is included specifically for derivatives.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_6976

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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