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List of Q&A's

Template 32.04 - Sources of Asset Encumbrance

Template 32.04 relates to sources of encumbrance, stating the liabilities in column 010 and then matching up the encumbered assets which they drive. Row 010 states ‘Carrying amount of selected financial liabilities’ – we have three items which generate encumbered assets but do not appear to be assignable to a row in this template: 1. Note Cover - as a bank which issues bank notes we have a liability on our balance sheet for the notes in circulation – however this amount is not applicable to any of the rows which drive the row 010 total – i.e. it cannot be reported in row 020-110. 2. Payment system collateral – this is amounts pledged to use payments systems like CHAPs etc – there is no liability driving this encumbered asset 3. Cash ratio deposit – this is an amount we pledge to Bank of England in order to have the Bank of England as our Central Bank, similar to the payment system collateral there is no associated financial liability. For Note Cover this leaves us with a predicament as this liability is not applicable to rows 020-110 which drive the financial liabilities total in r010, also it cannot be reported in the ‘Other sources of encumbrance’ section within this template, rows 120-160, as the guidance clearly states that this is only for non-financial liabilities. As there is validation (v3218_m) between F32.02, c010, r250 and F32.04, c030, r170 - basically all the encumbered assets reported in F32.01 and F32.02 need to be included in F32.04 - so we have to include the note cover somewhere. For payment system collateral and cash ratio deposit we have similar issues in that we have to report all encumbered assets per validation v3218_m – but as there is no associated liability we do not know where to report the asset.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2015_1703
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Mark-to-Market Method: Residual Maturity for cash settled contracts

Cash settled derivatives may reference an underlying with a defined maturity, for example a cash settled interest rate swaption or a cash settled bond forward. The market value of these derivatives at maturity will be set to Nil as the derivative expires with or without payment to the buyer of the option/forward counterpart. For such contracts, what relevant residual maturity should be used to determine the appropriate percentage ("add-on") from Table 1 in deriving the potential future credit exposure of the contract? Is this the residual maturity of the derivative contract or is it the residual maturity of the underlying instrument?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1701
  • Topic: Market risk
  • Date of submission:

Template C 69.00: Clarification needed about definition of transaction volume and maturity

What is meant by transaction volume in template C 69.00 and which maturity should be reported (initial or residual maturity)?

  • 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_1700
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Template C 67.00 CONCENTRATION OF FUNDING BY COUNTERPARTY: How to report secured funding

How to report liabilities from secured funding in template C 67.00, rows 20 to 110, column 050, especially what is the product type for those liabilities?

  • 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_1699
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 08/01/2016

Risk weight of guarantees not in the domestic currency of the borrower

What is the correct risk weight of a loan, which has been granted to a client in euro, and guaranteed by an EU central government also in euro, but the domestic currency of the borrower is not euro?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1697
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Treatment of cases spanning more than one year in Own Funds templates (Annex I - Reporting on own funds and own funds requirements) - Six month tables

COREP template C 17.00 – OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details) summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.What we would like to clarify, is the treatment of incidents that span more than one year, and consequently get recorded in the books of the institution in parts for several years. The question is whether the amount included in this table should be the incremental amount (i.e. the amount that was recorded for an incident only in the last 12 months from the report date, and which could mean positive amounts, due to possible reversals of previous provisions) or if it should be the sum of the amounts (i.e. cumulative amount) recorded for that incident over all the years, including the latest amount which was recorded in the last 12 months.Please find here three examples illustrating the above question, for which we would like a clarification:An operational loss event (e.g. a lawsuit against the bank where the probability of a negative outcome is >50%) that was recorded (date of input) in 2009 with an initial estimated loss amount (Potential Loss) of € 300 (28/01/2009).30/11/2011The estimated loss amount has been increased by € 200 to € 500Question: 30/11/2011 and next 12 months, should they report € 200 or € 500?At final Settlement (30/06/2014):Case 1:Case closed – final settlement – The bank paid € 400 (favourable)Question: 30/06/2014 and next 12 months, should they report - € 100 (negative) or € 400?Case 2:Case closed – final settlement – The bank paid € 600 (unfavourable)Question: 30/06/2014 and next 12 months, should they report € 100 or € 600?A fraud incident that was recorded (date on input) in 2010 with an initial loss of € 80 (25/05/2010).02/02/2011 – the loss has been increased by € 50 to € 130.Question: 02/02/2011 and next 12 months, should they report € 50 or € 130?Incidents that are recorded (date of input) with an initial loss amount lower than € 1000 (Lowest threshold) but their loss amount is rising above € 1000 in the subsequent years.Question: How should this be treated? Should the full amount of the loss appear on the first time the incident is 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_1694
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Definition of "institution" for large exposure purposes

Should EC implementing decision on the equivalence of the supervisory and regulatory requirements of certain third countries and territories for the purposes of the treatment of exposures according to Regulation (EC) No. 575/2013 be used to determine equivalence for LE purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1692
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 15/07/2016

Own funds - underwriting of own funds instruments

Is the underwriting of a Tier 2 (T2) instrument by an insurance subsidiary of the issuer possible when the instrument is then replaced in units of account within life insurance policies where the client bears the economic risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1687
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Usage of the internal model for determining the own funds requirements for the specific risk associated with traded debt positions in the advanced method for Credit Valuation Adjustment (CVA) risk

Are divergent internal models allowed for determining the own funds requirements for the specific risk associated with traded debt positions and for the credit valuation adjustment risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 526/2014 - RTS on proxy spread and limited smaller portfolios for CVA risk
  • ID: 2014_1686
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 05/06/2015

Definition of the exposure portfolio for which permanent partial use of standardised approach can be applied for by a credit institution using the IRB approach

Can an IRB credit institution have the standardised approach applied to type of clients to whom the IRB approach is being used? I.e. if the standardised approach is approved for a specific portfolio of exposures, can this portfolio be defined by the type of client only or may it also be defined by the type of business?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1678
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/04/2015

FINREP, template F 20.04

If a bank does business with a branch abroad, how does bank report information regarding Geographical breakdown by residence of the counterparty in table F 20.04 – taking into account the country of branches' residence or the country of mothers' residence? For example, Slovenian Bank A does business with Branch B in Italy, which is the part of Bank C in Slovenia. Should the Bank A report in template F 20.04 their exposure to Branch B of Bank C as an exposure to Slovenia (residence of mother) or as an exposure to Italy (residence of branch)?

  • 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_1677
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Inconsistent validation rules of asset encumbrance templates (F 32.01, F 32.04, F 36.01)

There are several validation rules that do not appear to be appropriate:v2823_msum({F 32.01, r120, (c010, c060)}) = sum({F 01.01, c010, (r020, r060, r092, r240-260, r290, r320-330, r360-370)})According to the instructions of F 32.01 and validation rule v2814_m, if the asset encumbrance reporting is based on IFRS, then the total assets of the reporting institution (sum({F 32.01,r010,(c010,c060)})) equals to the total assets reported in {F.01.01,r380,c010}.In order to meet this requirement, v2823_m should also contain row280 and row310 of F01.01. Now these items are missing from the formula.Validation rules v2864_m and v2865_m are applicable for rows 020, 030, 050-060 of F 32.04, however row 060 is grey shadowed.In our understanding v3309_i should be applicable only for IFRS banks because {F 36.01, r230, c180} equals to sum({F 32.01, r010,(c010, c060)}) which equals to Total assets of F 01.01 only if the report is based on IFRS. Now the formula doesn’t distinguish between IFRS and non-IFRS banks.

  • 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_1671
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Reporting of cash collaterals included in repurchase agreements in F 08.01

In template F 08.01, repurchase agreements shall be reported in rows 100, 150, 200, 250, 300 and 350.According to the instructions (Annex V, Part 2, 91(a)) to template F 15.00, cash collaterals should be reported as repurchase agreement.There is a validation rule that partly ties the templates F 08.01 and F 15.00 together:v0912_m: {F 15.00.b, r190,c060} <= xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)})Does it imply that cash collaterals also should be included in repurchase agreements in template F 08.01?

  • 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_1667
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

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)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1666
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/12/2019

Inconsistencies in FINREP validation rules for Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments (F31.01)

Validation rule v3974_s, says that in F31.01 row 130- Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments [To be replaced by "Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures" when reporting of non-performing exposures would be final], should be reported with positive signs. Should row 130 include this rule of positive sign? We consider it should be able to report also with negative signs, for example instruments with amortised cost or FVO. v3974_s 2.0 (2013/09) Sign F 31.01 (020;030;040;050;060;070;080;090;100;110;120;130) (010;020;030;040;050)

  • 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_1665
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/06/2015

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)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1661
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/12/2019

Large exposure reporting – Criteria for reducing the value of an exposure secured by commercial immovable property

Is Article 194(3)(b) relevant for accepting or rejecting commercial immovable property to reduce the value of an exposure secured by commercial immovable property according to the Article 402(2) when an institution uses the standardised approach for calculating credit risk capital requirements?

  • 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_1659
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 22/04/2016

Deduction of direct holdings of CET 1 instruments of FSEs

Article 45 of CRR specifies for the direct deductions in Article 36(1)(h) and (j) that we may calculate a net-long in the same underlying if positions are in the same book and has a contractual maturity of 1 year. Q1. Could a ‘short’ Total Return Swap (TRS) that hedges the economic risk of a long underlying position be included in the net-long calculation, such that it off-sets the direct deduction? Q2. Does the settlement convention of a TRS have any impact on the regulatory treatment (either/cash or physical)? Total Return Swaps are already mentioned in the definitions of synthetic holdings in Article 15b- of the ‘EBA FINAL draft regulatory technical standards on own funds [Part 3]’, however it remains unclear if this paragraph only constitutes definitions of long positions or whether they can net out. Q3. Could EBA confirm that a short synthetic holding could be netted if it is the exact opposite position of a long synthetic holding?

  • 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: 2014_1658
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 19/06/2015

Reporting transitional adjustments to RWA in C 05.01

We observe different treatments in practice on how transitional adjustments to RWA are reported in template C 05.01. From the reporting instructions we find two interpretations possible: that the whole amount of RWAs is reported or that only the adjustment compared to a fully loaded approach, per se, is 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_1657
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Reporting of Liabilities against the initial margin and default fund

As per EBA/GL/2014/03 issued on 27 June 2014, it was stated that initial margin and default fund should be classified as encumbered. We would like to know how to determine the liabilities against those and report into F32.04.

  • 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_1653
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 19/06/2015