List of Q&As

Inconsistencies in FINREP validation rules F01.01 versus F04.03

According to F01.01 row 260 should be specified in table F04 (and F40). However, the validation rules v3390_i, v3394_i, v3398_i, do not permit this: v3390_i : {F 01.01, r070 , c010}=={F 04.01, r010 , c010} v3394_i : {F 01.01, r110 , c010}=={F 04.02, r010 , c010} v3398_i : {F 01.01, r150 , c010}=={F 04.03, r010 , c030} How should investments in Venture capital companies which are classified as Associated companies be reported?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1666| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 05/12/2014

FINREP template 9.2

In FINREP template F 9.2 (Other Commitments Received) what is the nature of the Commitments to include in this section? Does non-mandatory commitments as per example promissory notes received or confort letters should be considered as part of this section?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1661| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 03/12/2014

FINREP template F 18.00 Information on performing and non-performing exposures – applicable approaches

According to point 154 of FINREP instructions (Annex V) when exposures are assessed as non-performing two approaches (“transaction” and “debtor” approach) can be applied. In addition point 155 of Annex V specifies a threshold (20%), which shall be taken into account. 1. Shall the threshold laid down in point 155 be applicable uniformly for retail and non-retail (for example corporate) debtors? a) No. The method laid down in point 155 considers all of the debtor’s exposures as non-performing if its exposures past due by more than 90 days represent at least 20% of its all on-balance sheet exposures. In our understanding this method is stricter than the “transaction approach” (e.g. in the case of retail debtors), but it is less stricter than the “debtor approach” (e.g. in corporate exposures). According to the “debtor approach”, when a debtor has an exposure past due by more than X days, all of the exposures to this debtor shall be considered and reported as past due by more than X days regardless that its past due exposures represents less or more than 20% of all its exposures. Therefore the method laid down in point 155 is less stricter than the debtor approach and so it doesn’t have any significance in the case of those debtors which shall be assessed as NPE according to the “debtor approach” in accordance with Article 178 of CRR (for example corporate exposures). It has significance only in the case of the “transaction approach”. OR b) Yes. The 20% threshold is applicable uniformly for all debtors (retail and non-retail debtors) and therefore only those debtors’ exposures should be considered as past due more than 90 days, whom past due exposures represent at least 20% of all their on-balance sheet exposures. In this case the 20% threshold laid down in point 155 is not an additional rule, it shall be applicable instead of the “debtor approach”. 2. How should the 20 % threshold be calculated? Does it mean that the gross carrying amount of only the past due (> 90 days) parts of the credit facilities or the gross carrying amount of the whole individual credit facilities that have any amounts past due by more than 90 days represents at least 20% of the total on-balance sheet exposures to a debtor? 3. According to point 155 the 20% threshold shall be considered only when the exposure is past due by more than 90 days. Does it mean the threshold shall not be taken into account in other past due categories? For example if a debtor has on-balance sheet exposures past due by more than 30 days the gross carrying amount of which represents 20% of the gross carrying amount of all its on-balance sheet exposures, this threshold shall not be applied and all of a debtor’s exposures shall not be reported in the “30 days < past due <= 60 days” category. Is our understanding right? 4. Point 155 says when a debtor has on-balance sheet exposures past due by more than 90 days the gross carrying amount of which represents 20% of the gross carrying amount of all its on-balance sheet exposures, all on- and off-balance sheet exposures to this debtor shall be considered as non-performing. But it doesn’t say that all exposures to this debtor shall be considered as past due by more than 90 days. Taking also into account the provisions of point 158 and 159, does this threshold work as a kind of debtor approach and pulls together all of the debtor’s exposures into one category? For example the debtor has an on-balance sheet exposure past due by more than 90 days, another exposure past due by more than 180 days and another that is not past due, but its past due exposures represent more than 20% of all its on-balance sheet exposures. In this case should all its exposures be reported in column 090 (Past due > 180 days <= 1 year) or should the exposures be reported separately according to their number of days past due in column 070, 080 and 090?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_925| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 10/03/2014

Mortgages as the real estate collateral received to be included in template AE-COL

Following the answer provided on Q&A 2013_675 we would like to clarify if mortgages as the real estate collateral received should be included in template AE-COL. If so, in which column / row should it be reported.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_2217| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 13/08/2015

Cash collateral posted in the Asset Encumbrance return F32.01

Where should cash collateral posted be treated in the Asset Encumbrance return F32.01?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3530| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 25/09/2017

Asset Encumbrance - Eligible collateral in a central bank

Should deposits at central banks be reported as central bank eligible assets?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3619| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 06/12/2017

Wrong validation rule v2855_m

Is a netting of repurchase agreements with securities lending needed in Asset Encumbrance?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_2190| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 31/07/2015

CRR's definition of an investment firm

Article 4(1)(2)(c) CRR contains three conditions for an investment firm, as defined by MiFiD I, to be excluded from the CRR definition of an investment firm. What is the difference between the first and the third condition set in this article?Under what circumstances can you have an investment firm that is permitted to hold money or securities belonging to its clients that has not been authorised to provide safekeeping and administration of financial instruments for the account of its clients?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3663| Topic: Other topics| Date of submission: 12/01/2018

Compliance with SCA in offline mode on an aircraft without internet connection

How can Strong Customer Authentication (SCA) be applied in an offline environment onboard an airplane when chip and pin cannot be verified with a Point of Sale (POS) device? Specifically, how is dynamic linking achieved in an offline mode for airlines who don't have internet connectivity but instead have a closed wireless network to be able to make purchases onboard an aircraft?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2019_4740| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 24/05/2019

Unsuccessful authentications and declined transactions effect on the counters of cumulative amount and number of consecutive transactions

Do failed authentications or declined transactions increase the counters of cumulative amount or number of hits?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2019_4785| Topic: Other topics| Date of submission: 18/06/2019

Definition of local firm under Article 4(1)(4)

Does the reference to “dealing for its own account” set-out in Article 4(1)(4) of the CRR include acting in the role of a “market maker” (as defined in Directive 2014/65/EU – MiFID II)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4260| Topic: Other topics| Date of submission: 10/09/2018

Clarification of the treatment of contracts for difference (CFD)

Shall long (short) positions in CFDs, where the underlying is denominated in foreign currency, be treated as a single long (short) foreign currency position equal to the market value of the notional position of the underlying or market value of the CFD in the quote currency?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3137| Topic: Market risk| Date of submission: 31/01/2017

Separate IMA approval or summation approach for market risk OFR at consolidated level

Assuming that a parent institution does not have permission by the competent authorities to use the Internal Models Approach (IMA) on consolidated level, but(i) it has the permission to use the IMA on individual level and/or one (or several) of its subsidiaries have the permission to use the IMA on individual level or (ii) it has no permission to use the IMA on individual level and only one (or more) subsidiaries have the permission to use the IMA on individual level.Question 1:Is the parent institution compliant with the requirements of the CRR (in particular Articles 11 and 363(2) thereof) if it calculates the own funds requirements for market risk on consolidated level by summation of (i) the individual VaR, sVaR (and where applicable IRC and CRM) where IMA permission on individual level has been granted; and(ii) the own funds requirements according to the standardised approaches for market risk in accordance with Chapters 2, 3 and 4 of Title IV of Part Three of the CRR for consolidated entities which do not have IMA permission?Question 2: Does the assessment depend on whether permission has been granted for the consolidating parent entity on individual level?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4021| Topic: Market risk| Date of submission: 25/06/2018

Offset of Additional Value Adjustments (AVA) against day one profits deferral

Under Article 8(3), is day one profit deferral eligible to offset the AVAs under Articles 9, to 17 of Regulation (EU) No. 2016 / 101?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2019_4458| Topic: Market risk| Date of submission: 14/01/2019

IFRS 9, validation rule v6030_m

Validation rule v6030_m for IFRS 9 (taxonomy 2.7) seems to be incorrect. Subsequently validation rules v6031_m, v6032_m, v6033_m, v6034_m, v6035_m, v6036_m, v6037_m and v6038_m seem also to be incorrect. Template F 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty. If there are allowances for other demand deposits (table F 01.01. row 040) do these allowances have to be reported in table F 12.01.a as well? In case of that allowances for other demand deposits have to be shown in table F 12.01.a the validation v6030_m (and subsequently the validation rules v6031_m, v6032_m, v6033_m, v6034_m, v6035_m, v6036_m, v6037_m and v6038_m) can't be fullfilled as table F 04.03.1 and F 04.03.1 do not include other demand deposits.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2018_3835| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 08/05/2018

Application of Article 254(2) to derivative exposures

Is new Article 254(2) CRR applicable to derivatives positions to hedge market risk?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4465| Topic: Securitisation and Covered Bonds| Date of submission: 17/01/2019

IRRBB Application of the sudden parallel

How should banks apply the sudden parallel +-200 basis points shift of the yield curve in their forecast yield curve?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities

ID: 2019_4448| Topic: Other topics| Date of submission: 04/01/2019

Deduction of deferred tax assets that rely on future profitability

Is the deduction of the deferred tax assets that rely on future profitability (hereinafter, the “DTAs”) and the amount of the associated deferred tax liabilities (hereinafter, the “DTLs”) relevant for the calculation of the amount to be deducted from Common Equity Tier 1 (CET1) according to Article 36(1)(c) of Regulation (EU) No. 575/2013 (CRR) to be determined independently of the Accounting Policies defined by the Bank for the offsetting of the DTAs and the DTLs in the Balance Sheet and regardless of the way in which the DTAs and DTLs are reported in the Financial Statements?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4302| Topic: Own funds| Date of submission: 01/10/2018

Immovable property collateral under the Standardised approach & Credit risk mitigation principles

Do the Article 193 ‘Principles for recognising the effect of credit risk mitigation techniques’ and Article 194 ‘Principles governing the eligibility of credit risk mitigation techniques’ apply to immovable property collateral under the Standardised approach?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4300| Topic: Credit risk| Date of submission: 27/09/2018

Clarification on application of incurred CVA to the Leverage Ratio Exposure calculation

Can incurred CVA, which is recognised as an incurred write-down in the Balance sheet, be used in the calculation of the Leverage Ratio Exposure for derivatives contracts?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2017_3628| Topic: Leverage ratio| Date of submission: 08/12/2017