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List of Q&A's

reporting of defaulted and past due items in maturity buckets

LE4, LE5: Where should an institution (in which bucket) report defaulted (or past due) parts of the exposure?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_754
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 07/11/2014

Scope of Waiver for Amended Solo Consolidation and Impact on Supervisory Reporting

Article 9 of Regulation (EU) No 575/2013 (CRR) for the ‘Individual consolidation method’ refers directly to Article 6(1) in terms of the discretion for competent authorities to allow institutions to include certain non-authorised subsidiaries in the scope of their individual returns. In this regard, can we confirm if the 'amended solo' waiver is also available for the Leverage Ratio given that it does not fall under the scope of Article 6(1) i.e. there is no reference to Part Seven of the CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_752
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 10/10/2014

Article 89 of Regulation (EU) No. 575/2013 (CRR) – risk weighting and prohibition of qualifying holdings outside the financial sector

This question is about the valuation of qualifying holdings outside the financial sector in order to determine whether the 15 % cap under Article 89 of Regulation (EU) No 575/2013 (CRR) is exceeded or not. It is also in relation with the phase out of unrealized gains measured at fair value under Article 468.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_749
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 19/12/2014

Application of the Basel I floor (Article 500) and the SME factor (Article 501) // Aplicación del límite mínimo de Basilea I (art. 500) y del factor reductor de PyME (art. 501)

When the Basel I requirements are compared to the requirements of Regulation (EU) No 575/2013, should the application of the SME factor specified in Article 501 be considered? Or, pursuant to Article 500(4), should only Part Three, Title II, Chapter 3 be considered and, therefore, not the application of Article 501? ¿Cuando se comparan los requerimientos de Basilea I con los requerimientos según el Reglamento (UE) No 575/2013 se debe considerar la aplicación del factor reductor de PyME especificado en el artículo 501? ¿O por el contrario y según el párrafo 4 del artículo 501 sólo se debe contemplar el capítulo 3 del título II de la parte tercera y por tanto no se contempla la aplicación del artículo 501?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_744
  • Topic: Credit risk
  • Date of submission:

Article 416 - Reporting on liquid assets

According to the answer of Question 2013_222, assets issued by credit institution with meeting any of the criteria from Article 416(2)(a)(iii) could be reported as liquid assets. However, where should it be reported?

  • 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: 2014_739
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Applicable mappings before entry into force of ITS on Articles 136(1) and 270

What mappings will be applicable between the first date of application of Regulation No. 575/2013 (i.e. 1 January 2014) and the entry into force of the ITS on Articles 136(1) and 270?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_737
  • Topic: External Credit Assessment Institutions (ECAI)
  • Date of submission:
  • Published as final Q&A: 25/04/2014

Classification of forborne exposure to non-performing

Para 179 states the if a performing forborne contract under probation is extended additional forbearance measures or becomes more than 30 days past-due, it shall be classified as non-performing. This is paragraph refers to those forborne exposure which have been reclassified out of the non-performing category and shall be reported separately under the performing forborne, or those is refer to all performing forborne exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_736
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Forbearance - Exit criteria

Should the one year exit criteria mentioned in para 157 be applied only to those exposures which were classified as non-performing when the forbearance measures were extended? Thus if an exposure was classified as performing when the forbearance measures were extended and at a later stage it was classified as non-performing, can this exposure exit the non-performing category once it meet the criteria listed in paragraph 156 without the one year threshold.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_735
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Template questions

- Regarding the material currencies in the F 34.00 contingent encumbrance template (Line 7): Should the currencies be specified according to ISO codes (EUR, USD, GBP, etc.) or should the currencies be left unspecified (currency 1, currency 2, etc.)? - Regarding the covered bonds issuance template: what kind of purpose serves the cover pool identifier – should this be some kind of ISIN number for the cover pool? The specifications in the accompanying instructions is a bit vague. Should a bank fill in the aggregate numbers of their outstanding covered bonds in this sheet or should the sheet be duplicated for each covered bond separately?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_732
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Reporting Market Value in liabilities resulting from secured lending and capital market driven transactions as defined in Article 192 (C 52.00 template)

What is the difference between Market Value in column 010 and values in columns 030, 050, 080 and 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: 2014_725
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Application of phase-in regime

What is the compatibility between Recital (117) of Regulation (EU) No 575/2013 (CRR) and the provisions of aforementioned Basel III Q&A with Articles 472, 475 and 477, which provide for the deduction of the share not deducted as an effect of the phase-in period (described in Articles 469, 474, 476 and 478)? Literal application of these provisions, which effectively impose a 100% deduction, to items which, under the current regulations (of the individual member states, enacting the Basel II regulations), would not be deducted, would appear to in contrast with very logic of the phase-in regime.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_723
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 23/05/2014

Own funds - Prudential Filters

Regarding the calculation of the prudential filters defined in Article 32 and 33 of Regulation (EU) No. 575/2013 (CRR) it is not clear if such filters shall be considered net or gross of the related tax effects. It seems reasonable to consider the filters net of tax effects. This will be consistent with the aim of such filters to exclude from Common Equity Tier 1 any increase in the institution's equity due to securitised assets and changes in its own credit risk, which are registered in the accounting framework net of tax effects.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_720
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 04/07/2014

Passporting for financial institutions

Article 34(3) of Directive 2013/36/EU (CRD) (same wording with 24(3) of the Banking Consolidation Directive) states that "Paragraphs 1 and 2 shall apply accordingly to subsidiaries of a financial institution as referred to in the first subparagraph of paragraph 1". We are trying to understand what this para. 34 (3) means. Let us assume that there is a financial institution (Institution A), as defined in point (26) of Article 4(1) of Regulation (EU) No 575/2013 CRR, which is not “a subsidiary of a credit institution or the jointly owned subsidiary of two or more credit institutions”. That financial institution then has a subsidiary (Institution B) that is itself a financial institution within the meaning of point (26) of Article 4(1) of Regulation (EU) No 575/2013. Would that subsidiary (Institution B) be able to passport itself into another member state, per the provisions of Article 34(3)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_719
  • Topic: Passporting and supervision of branches
  • Date of submission:
  • Published as final Q&A: 23/05/2014

How to report reverse repo operations in Part A template AE-ASS (C 31.01) and/or AE-COLL (C 32.02)

The instructions say that the all the assets of the reporting institution must be reported in the template AE-ASS and it corresponds to the total assets registered in the balance sheet. At the same time, they also specify that collateral which has been received by the reporting institution through a reverse repo, should be reported in the template AE-COL. A reverse repo is registered as a cash loan in the balance sheet. How should a reverse repo be reported in the Part A of the reporting: as a loan in the template AE-ASS (such as its accounting treatment) or as collateral received depending on the breakdown (eg. equity, debt security…) in the template AE-COL? Or should it be reported in the 2 templates AE-ASS and AE-COL? Please note that if a reverse repo should be reported exclusively in the template AE-COL, the row 010 of the template AE-ASS will not correspond to the total assets registered in the balance sheet (i.e. the reverse repo is reported as a loan in the balance sheet)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_718
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Collateral Swaps Scope

C54 of the LCR covers the collateral swaps. Should this template should only include transactions undertaken by the liquidity management function that are reported in the assets template.

  • 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: 2014_717
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Handling of unrealised gains/losses in Own Funds and Exposures

Does unrealised gains/losses refer to all gains and losses for financial instruments accounted at fair value which occured life to date or only unrealised gains/losses of the current year? Will unrealised gaines and losses despite being deducted from own funds be still part of the exposure? How should the position "Losses for the current financial year" be calculated? Without taking into account unrealised gains/losses?

  • 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: 2014_716
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 06/03/2015

Validations

There appears to be several prior year validations that do not work in FINREP. v1321_m {F 46.00, r010, c080} = {F 01.03, r210, c010} t-1 v1233_m {F 46.00, r010, c080} = {F 46.00, r210, c080} t-1 v1231_m {F 46.00, r010, c060} = {F 46.00, r210, c060} t-1 v1318_m {F 46.00, r010, c060} = {F 01.03, r190, c010} t-1

  • 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: 2014_709
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 23/05/2014

Calculation of retail exposures under Article 123(c) of Regulation (EU) No 575/2013 (CRR)

Does expression from point (c) of the first subparagraph of Article 123 of Regulation (EU) 575/2013 (CRR) “the total amount owed to the institution and parent undertakings and its subsidiaries” refer to exposure value as of Article 111 1. net exposure value (after deduction specific credit risk adjustments and additional adjustments) of an asset and of an off-balance sheet? Should the exposure value (the sum of current replacement cost and potential future credit exposure) of derivative instruments be included in calculation of total amount owed to the institution, laid down in point (c) of Article 123? Should the total amount owed to the institution and parent undertakings and its subsidiaries as of Article 123 (c) include: - An off-balance sheet item = 50 000 EUR? - Credit risk adjustments = -10 000 EUR? - Value of derivative instrument? If so, should both current replacement cost and potential future credit exposure be included?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_707
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Taking into account insurance effect on operational risk

Recital 52 of Regulation 575/2013/EU (CRR) suggests insurance should be taken into account for the determination of own funds requirements with respect to operational risks, including in simple approaches. How can insurance be taken into account in the basic indicator and standardised approaches of operational risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_706
  • Topic: Operational risk
  • Date of submission:
  • Published as final Q&A: 14/03/2014