EBA Q&A · 2017_3291
FINREP (IAS 39), Validation rules v5014_m
Final Q&Afiled under Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed) (repealed)Submitted 11/05/2017 · published 04/08/2017
Question · verbatim
Validation rule v5014_m talks about the total of loans and advances of Non financial corporation reported in template F 06.00 that should be equal to
template F 18.00 (Gross exposure) in Non financial corporation for loans and
advances at amortised cost
+ template F 18.00 (Gross exposure) in Non financial corporation for loans and advances at fair value other than HFT
+ template F 04.01 in Non financial corporation for loans and advances held for trading
./. template F 04.01, amount of cumulative changes in fair value attributable to changes in credit risk for NFC.
Since, the above rule is only considering the gross exposure in Non financial corporation. So, why we are deducting the amount for cumulative changes in fair value attributable to changes in credit risk. That will create delta.
Background provided by the submitter · verbatim
Validation rule v5014_m talks about the total of loans and advances of Non financial corporation coming in template F 06.00 that should be equal to: template F 18.00 (Gross exposure) in Non financial corporation for loans and advances at amortised cost + template F 18.00 (Gross exposure) in Non financial corporation for loans and advances at fair value other than HFT + template F 04.01 in Non financial corporation for loans and advances held for trading - amount of cumulative changes in fair value attributable to changes in credit risk for NFC. Since, the above rule is only considering the gross exposure in Non financial corporation. So, why we are deducting the amount for cumulative changes in fair value attributable to changes in credit risk. That will create the delta.
Answer · verbatim
The validation rule compares gross carrying amounts. The gross carrying amount for assets held for trading (category ‘Fair Value through Profit or Loss’) is defined as follows: ‘For debt instruments at fair value through profit and loss, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated changes in fair value due to credit risk’.’ (Part II, paragraph 45 of Annex V to Regulation (EU) No 680/2014 – ITS on Supervisory Reporting).
In line with the sign convention, ‘Accumulated changes in fair value due to credit risk’ have a positive sign when the fair value of the assets increases (credit risk decreases) and they have a negative sign when the value of the asset decreases (increase in credit risk).This subtraction (./. {F 04.01, r170, c020}) corrects the part of changes in fair value included in the net carrying amount which results in the gross carrying amount.
Source: EBA Single Rulebook Q&A 2017_3291 · text as published, not rephrased · collected on 2026-10-08