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List of Q&A's

V4835_m - C 19.00 column 610 calculation

We have interrogations about the new validation rule v4835_m. In C 19.00, row 010: column 610 = column 600 (TOTAL OWN FUNDS REQUIREMENTS = SUM OF WEIGHTED NET LONG AND SHORT POSITIONS).Until now, some of our clients calculates column 610 multiplying column 600 by 8%. In ITS and Article 337 (4) CRR, we saw only the following precision: c600 is used to calculate c610 but there is no precision on this calculation. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.Could you clarify the calculation of the column c610 in C 19.00?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2017_3317
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Permission for delta models for back-to-back positions

Does the requirement to obtain competent authorities’ permission for delta models (Articles 329(1), 352(1), 358(3) of the CRR) for the purposes of market risk capital requirements apply also to back-to-back positions? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3314
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 22/09/2017

Treatment of collateral swaps with underlying collateral pools/ baskets

In case of collateral swaps transactions involving exchange of collateral baskets where no direct link can be established between securities in underlying pools, how should the securities be allocated to the reporting rows in template C75 when reporting in main currency and in significant currencies?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2017_3313
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Domestic - non-domestic distinction in Corep and Finrep

What should drive the domestic-non domestic distinction for COREP template 4.0 row 850 for the consolidated reporting of an institution with a holding company that is resident in another member state?

  • 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: 2017_3309
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

How to fill out the COREP C 28.00 for an exposure secured by an insurance wrapper?

Article 390(7) CRR and RTS 1187/2014 specify how to determine the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets. According to Article 200 CRR, insurance policies pledged to the lending institutions are eligible as Other Funded Credit Protection. As per Article 232 CRR, for banks under the Standardised Approach, the risk-weight of the original debtor is substituted with a different risk-weight ranging from 20% to 150%. Under the Standardised Approach, where an exposure is secured by a pledged insurance policy in the form of an insurance wrapper (life insurance policy ‘wrapped’ around the policy owner’s investment portfolio), how should the exposure and the collateral be reported in COREP C 28.00? Is there a difference between the Financial Collateral Simple Method and the Financial Collateral Comprehensive Method?

  • 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: 2017_3307
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/10/2019

References to items covered by a Deposit Guarantee scheme in the instructions on r070 and r090 of C 68.00

Is the text of Annex XIX in the final draft ITS 680/2014 and DPM 2.7 ITS on supervisory reporting correct when it refers to ALMM C 68.00, items 1.4 and 1.4.2 as ‘savings accounts without a notice period for withdrawal which is greater than 30 days covered by a Deposit Guarantee Scheme according to Directive 2014/ 49/ EU or an equivalent deposit guarantee scheme in a third country’?

  • 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: 2017_3306
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 12/01/2018

Definition of 'carrying amount' for the purposes of templates C 67.00, C 68.00 and C 69.00

In the guidance annexes for DPM 2.7 for ALMM returns C 67.00, C 68.00 and C 69.00 (Annex XIX) the requirement for ‘volume’ and ‘amount of funding’ has been further specified to ‘carrying amount’ for these templates only. Annex XIX does not define ‘carrying amount’ for liabilities – with reference to the ALMM templates mentioned, should it include accrued interest?

  • 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: 2017_3305
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 12/01/2018

Effective LGD

Could effective LGD (LGD*) be used both in AIRB and FIRB if the operation has an eligible financial collateral under Financial Collateral Comprehensive method?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3304
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/07/2020

Consideration of surplus collateral received in providing further credit risk mitigation

We are aware of differing interpretations by market participants in relation to the answers given under EBA Single Rulebook Q&A 2013_206 and 2016_2735 on the application of Collateral Received to achieve further credit risk mitigation to the extent that Collateral Received exceeds the net replacement cost, RC net.For collateral received to reduce Net Replacement Cost, RC net, can surplus collateral be used to offset the reduced potential future credit exposure, PCE red, or may EAD, RC net + PCE red be further offset by any surplus Collateral Received that has not been applied in the RC net calculation? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3303
  • Topic: Market risk
  • Date of submission:

“Past due” columns: How to count number of days for “1 year” and “5 years” past due?

In Template F 18.00 the “cross carrying amount / nominal amount” and the “accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions of non-performing exposures” have to be allocated to different “past-due” columns according to its number of days past due. How many days past due have to be assumed in order to allocate an exposure to past-due column “1 year” or “5 years” respectively?

  • 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: 2017_3301
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Grandfathering of own funds instruments

For application of the grandfathering rules defined in Article 484 CRR and following, does the change in debtor resulting from a merger means that a new capital instrument has been issued and that its eligibility for grandfathering or for full eligibility as an own fund instrument should be assessed at the date of the merger or should one use the initial characteristics of the bond?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3299
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 17/11/2017

FINREP Templates F 30.01 and F 30.02, validation v1019_m

For interests in unconsolidated structured entities for which no liquidity support is drawn, what is the treatment for validation v1019_m?

  • 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: 2017_3298
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Definition of subordinated exposures

What is the definition for subordinated exposures within the context of article 161?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3296
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Unfunded credit risk mitigation for specialised lending exposures

How should RWA be calculated for unfunded credit risk mitigation when the protected exposure is a specialised lending exposure in respect of which an institution is not able to estimate PDs and used the risk weights in Article 153(5) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3295
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Commitment to buy newly issued shares and synthetic holding deduction

What would be the prudential treatment applicable to a financial instrument where a bank commits itself to buy newly issued shares of an insurance company for a given amount should certain events occur?

  • 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: 2017_3292
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 03/11/2017

FINREP (IAS 39), Validation rules v5014_m

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.

  • 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: 2017_3291
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Calculation of original and residual maturities in the context of ALMM (C 66.01) for puttable bonds

Assume the following data for a puttable bond:Origination date:                               30.08.2018First investors’ put optionality:          15.02.2019Second investors’ put optionality:     15.05.2019Final maturity:                                   30.10.2020From our point of view, the instructions of annex XXII (reference 1.1.4) and annex XXIII (paragraph 12) in combination with the answers to the question 2 in EBA/ITS/2017/01 suggest this bond should be assigned with original (OM) and residual maturities (RM), both in days, for illustrative reporting dates as shown below:Reporting date: 31.08.2018: OM 169; RM 168Reporting date: 30.09.2018: OM 169; RM 138Reporting date: 30.12.2018: OM 169; RM 47Reporting date: 31.03.2019: OM 169; RM 45Reporting date: 30.06.2019: OM 169; RM 488Reporting date: 30.09.2019: OM 169; RM 396

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2017_3287
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Inconsistency between validation rules and ITS/CRR for C 07.00

Why is there an inconsistency between the provisions of the CRR / the ITS on Reporting and several validation rules (e4891_n // e4894_n)?

  • 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: 2017_3285
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Liquid asset received as a component of a pool of collateral in securities transaction (reverse repo or collateral swap).

Is Article 30(6)(c) of the DR(EU) 2015/61 also applicable to Level 1 HQLA that can be substituted by Level 2 HQLA?

  • 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: 2017_3280
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 21/01/2022