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List of Q&A's

Pre IFRS 9 Finrep - Template F07.00 reporting values as net or gross

Should the values reported in (pre IFRS9) Finrep template F07.00 columns 010-070, be on a gross or on a net basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_4015
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 19/06/2020

Retail Classification

Retail classification if an obligor has exposure under both the STA and IRB approach. This question is relevant for banks that are partially using the SA and partially using the IRB approach and where the use of the different methods is on the basis of the product type i.e. mortgages are under IRB, other Retail loans under SA. Article 123 allows for the exclusion of exposures fully and completely secured on residential property that have been assigned to the exposure class laid down in point (i) of Article 112 (exposures secured by mortgages on immovable property) when calculating the total amount owed the institution.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4012
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/10/2020

Finrep validation rules of F 02.00 and F 16.01

In report F_16.1 the income is broken down by Derivatives - Trading ; Debt securities; Loans and advances and Other assets. In report F_02 the income is broken down by Accounting portfolio and Other assets so we believe rule v5598_i may not alwasy be true. The same logic is also for liabilities therefore rule v5601_i may not always be true.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4009
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 15/03/2019

Clarifying the Impact of the new securitisation framework on template C 14.00

The ITS clearly states that securitisation calculated according to the new reporting Framework won't be reported in templates C 12.00 and C 13.00 but only in template C 02 00."Securitisations the risk weighted exposure amount of which is determined based on Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017/2401 (amended CRR), i.e. where the risk-weighted exposure amount is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, securitisation positions which are subject to a 1250% risk weight in accordance with the amended CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the amended CRR, shall not be reported in this template, but only in template C 01.00"For exposures calculated with this new Framework as report C 12.00 and C 13.00 are not relevant anymore, we were wondering if columns like c170/ c180 of template C 14.00 should always be filled?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_4005
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 15/03/2019

Treatment of negative contribution base while calculating contributions to resolution financing arrangements

Due to specificities of the business model of some institutions, exclusions according to Article 5(1) of the Delegated Regulation (EU) 2015/63 may result in negative amount of total liabilities (excluding own funds) less covered deposits (contribution base according to Article 103(2) BRRD).Could you confirm that the approach in which the contribution base is floored to zero is correct in such cases?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2018_4002
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 15/11/2019

IFRS 9 Transitional arrangements – Calculation of the total exposure measure of the leverage ratio

According to Article 473a(7)(b) of CRR, is it correct to adjust the specific credit risk adjustments by applying a scaling factor for the only exposures subject to the standardised credit risk approach for the purpose of the calculation of the total exposure measure of the transitional leverage ratio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2018_3995
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 15/02/2019

Validation rule v0682_m - DPM 2.7.0.1

Is the validation rule v0682_m correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3992
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/05/2019

FINREP Validation rule v5116_m

We wonder about the consistency of FINREP Validation rule v5116_m.v5116_m: [F 13.01] sum({F 13.01, r050, (c010-050)}) <= {F 05.01, r120, c060} - Value Inconsistency : F13.01 r050, (c010-050) = Maximum amount of the collateral or guarantee that can be considered for lending for house purchase; F 05.01, r120, c060 = Carrying amount for lending for house purchase - Scope of lending inconsistency : F13.01 r050, (c010-050) = only lending for house purchase with collateral or guarantee; F 05.01, r120, c060 = lending for house purchase with or without collateral or guarantee - Economic agents inconsistency : F13.01 r050, (c010-050) = all agents ; F 05.01, r120, c060 = Households

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_3991
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 15/03/2019

Is the validation rule for Finrep (DPM 2.7) v5510_m, correct?

Is validation rule v5510_m correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3975
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 12/04/2019

Meaning of "the last three twelve-monthly observations" in Articles 315(1) and 317(4) CRR regarding the calculation of operational risk requirements

What is the correct application of the words “the last three”, which can be found in the wording “the last three twelve-monthly observations at the end of the financial year” in Article 315(1) CRR on BIA and in Article 317(4) CRR on STA? In particular, does “the last three” include the current year X when calculating the own funds requirements with reference date 31 December X?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3969
  • Topic: Operational risk
  • Date of submission:
  • Published as final Q&A: 20/11/2020

Validation rule v6063_m in v2.7.0.1

Is validation rule v6063_m: [F 20.04] sum((F 20.04, r040, c010, (sNNN))) = sum((F 01.01, (r070, r093, r097, r110, r142, r172, r176), c010)) correct? Why are r235 and r390 (F01.01) not present in this validation rule?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_3963
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 11/01/2019

Double counting of intra-group funding in C68.00

"In C68.00 Unsecured wholesale funding (row 110) should be split per product type: - of which loans and deposits from financial customers (row 120) - of which loans and deposits from non-financial customers (row 130) - of which loans and deposits from intra-group entities (row 140) Should intragroup funding be reported exclusively in row 140? Or should it be reported in row 140 AND in row 120/130 depending if the intragroup entity is a financial or a non-financial customer? The same question applies to the split of wholesale funding."

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_3962
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/09/2019

Scope of application of the secured lending regime for liquidity coverage requirement - non-financial customers

(i) Are loans secured by collaterals such as debt securities, equities, mortgages or movable property to be considered as secured lending pursuant to Article 28, paragraph 3 and Article 32, paragraph 3 and 4 of Delegated Regulation (EU) 2015/61? Those articles only refer to “secured lending […] transactions as defined in points 2 […] of Article 192 of Regulation (EU) N°575/2013” which defines “secured lending transactions” as “any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily”. (ii) What is the applicable inflow rate to monies due from those transactions, when those are provided to non-financial customers and when the collaterals provided are not reusable except in case of default of the borrower? Is it 100% as for secured lending transactions pursuant to Article 32 para. 3 (b) of delegated Regulation (EU) 2015/61 or 50% as for monies due from non-financial customers pursuant to Article 32 para. 3 (a) of the same Regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2018_3959
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Compliance Function and Anti-Money Laundering tasks, Data Protection Officer or FATCA&CRS Responsible Officer, and Fraud Management

Is it in line with a) EBA/GL/2017/11 (Guidelines on internal governance) under Directive 2013/36/EU and b) with monitoring/advisory nature of the Compliance Function as a second line of defense, that the Compliance function in a Credit Institution is the main responsible for:establishing and maintaining compliance with anti-money laundering (AML) regulatory requirements?achieving and establishing compliance with personal data protection (GDPR) or FATCA&CRS (tax reporting) regulation?internal and external fraud prevention i.e. Fraud Management?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/05 - Guidelines on internal governance under CRD - repealing EBA/GL/2017/11
  • ID: 2018_3956
  • Topic: Internal governance
  • Date of submission:
  • Published as final Q&A: 18/01/2019

HQLA and amortised cost classification

If a bank holds HQLAs in the amortised cost portfolio and is able to monetise these assets can the securities, e.g. government bonds, in the amortised cost portfolio also be treated as HQLA in LCR calculation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2018_3955
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 08/05/2020

Incorrect validation rule v4456_m

The validation rule v4456_m is not correctly defined in the taxonomy 2.7. Prerequisites are following: C 47.00 and C 43.00.a and C 43.00.b and C 43.00.c It means that all tables have to be reported. However a bank with a standardised approach to credit risk do not report table C 43.00.c. Consequently the rule can not be applied. In theory a bank can have no data for the table C 43.00.a as well.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_3950
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/09/2019

Look-through approach resulting in a credit risk position of own institution

When applying the look-through approach of Article 132(4) CRR, what risk weight shall an institution apply to a position that is based against its own institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3949
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022