Repurchase Agreements in template F 08.01 versus assets encumbered in template F 15.00 – EBA validation v0912_m

Background provided by the submitter · verbatim

We are writing to you with the regard to the templates Finrep F 08.01, ‘Breakdown of financial liabilities by product and by counterparty sector’ and the expected matching with the template F 15.00, ‘Derecognition and financial liabilities associated with transferred financial assets’ and the EBA validation v0912_m.

We report the ‘Financial Liabilities’ in template F 08.01 on a net basis, after applying the netting: (Row r100, r150, r200, r250, r300, r350, Col 010-035). And we report the amount on a gross basis in template F 15.00 ‘Derecognition and Financial Liabilities’ (F 15.00.b, r190, c060).

But this leads to the following EBA validation to fail:

v0912_m: [F 15.00.b] {F 15.00.b, r190,c060} <= xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)})

To align those templates will create new validation and we have not found any specific instruction on this point. But in the current situation we have recurrent validation v0912_m.