EBA · 2024_7248 Rejected question

v22331_s (IRRBB) - non-negative rule not applicable to some rows

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430, para. 7
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Credit institution
Submitted
2024-11-13

Question

Validation rule v22331_s ({J 03.00} >= 0) should not be applied on rows r0140, r0160, r0170, r0470, r0490, r0500 for column c030 (Level of EVE - Baseline scenario). Could you pls adjust the validation rule?

Background

According to Reporting instructions:  Asset side: derivatives held under hedge accounting regime under the applicable accounting framework whereby the hedged item is an interest-rate sensitive asset. The hedging instrument related to the asset is sometimes positive, sometimes negative. This means the >=0 rule is not always valid. Liability side: derivatives held under hedge accounting regime under the applicable accounting framework whereby the hedged item is an interest-rate sensitive liability. The hedging instrument related to the liability is sometimes positive, sometimes negative. This means the >=0 rule is not always valid.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7248

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