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List of Q&A's

Taxonomy 2.7.0.1 Validation Rules on FINREP 12.01

According to rule v5054_m, the total of the stage one allowance is limited to the provision for expected losses on household exposures only. Should this rule be superseded by v5554_h? Using the former rule will understate the true amount of the allowance.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2018_3673
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Template CRGB sheet 01 and 02

In Regulation (EU) 2017/2114 amending Regulation (EU) No 680/2014, in Annex II paragraph 3.4, no sheet ‘Total’ is described for CRGB1 and CRGB 2. Only in paragraph 3.4.4.1 a sheet Total is described for CRGB 04.But a release note on taxonomy 2.7 seems to say that a total sheet is now mandatory for CRGB1 and 2. Is it true?There are 63 validation rules between templates C 09.01 and C 07.00 which have an expression similar to this ‘sum({C 09.01.a, r010, c010, (sNNN)}) = {C 07.00.a,  r010,  c010,  s002}’.Additionally, there are 76 new validation rules of type eQuivalence which have an expression similar to this ‘{C 09.01.a,  r010,  c010,  [CEG=eba_GA:x1]} = {C 07.00.a,  r010,  c010,  s002}’.There are also 39 validation rules between templates C 09.02 and C 08.01 which have an expression similar to this ‘sum({C 09.02, r130, c010, (sNNN)}) = {C 08.01.a, r010, c020, s017}’.Which of these rules and how shall these rules be applied successfully?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3672
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Discrepancies between annotated table layout and EBA validation rules (e.g. v5351_m)

1) Are the columns 011, 012, 022 and 025 of template F 20.04 in the annotated table layout (FN1) not intended to be subsets of column 010, meaning that a limitation on ‘other than held for sale’ in column 010 would indicate the same limitation for the ’of-which’ columns?2) If there is a limitation on ’other than held for sale’ in template F 20.04, column 010, does this limitation not contradict the above mentioned validation rule v5351_m, if the same limitation is not indicated in template F 06.01? The same problem occurs for validation rules v5350_m, v5353_m, v5725_m, v6054_m, v6055_m, v6056_m, v6057_m, v6058_m and v6059_m (FN2).Foot notes:FN 1: DPM table layout and data point categorisation updated 27 April 2017FN 2: Validation rules updated 08 December 2017 

  • 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_3670
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Inconsistency between CRR article 379 and validation rule V4894 (C 07.00)

Where should the free delivery exposures meeting the eligibility as per Article 379 CRR, table 2, column 4 (i.e. getting a 1250% risk weight) be reported in template C 07.00? 

  • 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_3669
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Large exposures - treatment of connected clients principle on exposures to other group entities outside prudential scope of consolidation

What treatment is envisaged in the context of connected clients for multiple exposures to multiple entities that are part of the same economic group, but are not included in the scope of prudential consolidation? Are these considered to be an exposure to the same (connected) client?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3665
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 21/12/2018

IFRS 9 transitional provisions – Calculation of the increased amount of risk-weighted assets (RWA) in the standardised approach

Should the RWA correction (also with regard to the presentation in the Corep template 5.1) according the details in the background be calculated as follows: total amount of provisions multiplied by the scaling factor and then finally weighted by the risk weightings for each of the exposures for which these provisions were calculated? ***Muß nun die RWA-Korrektur (auch in Hinblick auf die Darstellung im Corep Template 5.1.) wie folgt berechnet werden: Gesamtbetrag der Risikovorsorgen multipliziert um den Faktor und schlussendlich versehen mit den jeweiligen finalen Risikogewichten jener Exposures, für die diese Risikovorsorgen gebildet wurden?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3664
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 25/05/2018

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)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3663
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 13/12/2019

Classification of direct reductions in the accounting value as credit risk adjustments

For the calculation of the exposure value in accordance to Article 166(1) CRR, shall the accounting value of credit exposures on the banking book (measured at FVTPL in accordance with IFRS 9) be increased by the amount of fair value adjustments?For the purposes of the treatment of expected loss amounts in accordance to Article 159 CRR, shall the credit risk related adjustments embedded in the fair value of the banking book exposures be considered as credit risk adjustments or other own funds reductions related to these exposures? How does this interact with the calculation of exposure value in accordance with Article 166(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2018_3662
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Validointisääntö v4821_m, C 08.02 (Validation rule v4821_m, C 08.02)

Original questionMistä sääntelystä tai asetuksesta nousee ylärajoite LGD-osuudelle (omia LGD-estimaatteja käytettäessä)? Mitä arvoja sarakkeessa 230 tulisi raportoida lomakkeella C 08.02 tilanteessa, jossa vastapuoliluokan painotettu keskimääräinen LGD > 100 %?Translated questionWhat rules or regulations raise the upper limits of the LGD amount (when using own LGD estimates)? What values in column 230 should be reported in template C 08.02, when the weighted average LGD of the obligor grade is > 100%?

  • 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_3661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Highly reliable prearranged funding arrangements

Problem Article 59 (4) EBA-RTS and Article 38 (6) (b) EBA RTS do not specify if these arrangements require committed agreements in place, or if uncommitted facilities such as Global Master Repurchase Agreements (GMRAs) or access to CCP repo trading are sufficient. According to our knowledge there is also no definition of “prearranged arrangements” in the relevant European Banking legislation (particularly not in the CRD IV/CRR). Furthermore there is ample evidence that repo arrangements against high quality securities have proven highly reliable and liquid throughout the financial crisis. In addition, repo transactions through a centralised order book and CCP cleared (such as for example the Eurex Repo GC Pooling services), have also proven to be a preferred market option in particular in times of market stress.

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)
  • ID: 2018_3659
  • Topic: Market infrastructures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Minority Interests and guidance on additional own funds (P2G)

Should the guidance on additional own funds be taken into account in the quantification of the minority interests of a subsidiary that is included in an institution`s consolidated CET1 capital according to Article 84(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3658
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 12/03/2021

Reporting C67 - "Concentration of funding by counterparty ", why the product coding has not evolved compared to the new EBA text ?

As part of the implementation of the new ITS on reporting on the ‘Additional Monitoring Tools’ to put into production by the end of March 2018, we found that in the specifications of new taxonomies for reporting C 67.00 – ‘Concentration of funding by counterparty’, the product coding has not evolved. The new EBA text mentions the renaming of the ‘REPO’ product category to ‘SFT’ and the addition of two new categories: ‘OSWF - Other secured wholesale funding’ and ‘OFP - Other funding products’.Why is the taxonomy not aligned with the new EBA text? 

  • 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_3653
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Available financial means

Are all the financial means referred in Article 10 of DGSD available to finance measures to preserve the access of depositors to covered deposits according to Article 11.6 of DGSD?

  • Legal act: Directive 2014/49/EU (DGSD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3652
  • Topic: Funding provisions (financing means, use of funds, borrowing, calculation of contributions)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Scope of conversion factor estimation and application

Are positions with drawn amount without an underlying credit line (i.e. overdraft without credit line) within the scope of credit conversion factor estimation as per Article 166(8) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3650
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/07/2020

Credit Risk on Gold Bullion

Under Article 134(4) CRR, what would the risk weight be if gold bullion is held on our behalf by other institutions and where such investment is not backed by gold bullion liabilities?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3649
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/12/2018

Definition of “Paid-Up” according to Article 28(1)(b) CRR

May contributions in kind be qualified as “payment” according to Article 28 para 1 lit b CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3636
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 27/04/2018

Value for column c040 of template C 101.00 in case of counterparties with multiple ratings

How shall cells in column c040 in template C 101.00 be filled out in case of counterparties with multiple ratings?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2017_3635
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Write down or convert bail-inable liabilities following Article 48(3)

How would the resolution authority write down or convert bail-inable liabilities referred to in point (e) of Article 48(1) of Directive 2014/59/EU (BRRD) without previously reducing or converting the other instruments, regardless of the terms mentioned in points (a) and (b) of Article 48(3)?How should "substantially" in Article 48(5) be interpreted exactly?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3630
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 19/01/2018

Reference to value in Article 48(2)

Does the reference to “value” in Article 48(2) refer to the “face value” (“notional amount”) or to the “market value”?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3629
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 26/01/2018

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)
  • 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:
  • Published as final Q&A: 15/11/2019