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List of Q&A's

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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

Definition of new funds and roll-over

What is the exact definition of rolled over funding and new funds.

  • 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_1650
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Breakdown on funding C 70.00 Roll-over of funding

What division of funding types should we use, the one defined in the ITS, or the one defined in Annex III for C 70.00 Roll-over of Funding.

  • 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_1649
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Reporting of Regulatory High Risk Items in default in C 09.01

Please can you advise how Regulatory High Risk exposures which are in default should be reported in C 09.01?

  • 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_1646
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Liquidity requirements: scope of applicability for investment firms

What are the prudential requirements for the following firms?a) investment firms that are authorised to provide the investment service referred to in point (3) of Section A of Annex I to Directive 2004/39/EC but are not authorised to provide the investment service referred to in point (6);b) investment firms that are authorised to provide the investment service referred to in point (6) of Section A of Annex I to Directive 2004/39/EC but are not authorised to provide the investment service referred to in point (3);c) investment firms that are authorised to provide both the investment services referred to in point (3) and (6) of Section A of Annex I to Directive 2004/39/EU.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1645
  • Topic: Other issues
  • Date of submission:

Is operational leasing included in annex 1 to Directive 2013/36/EU and shall it be included in a consolidated situation?

Shall companies that have operational leasing as activity be seen as a financial institution in Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No. 648/2012 (“The Regulation”) and should it be included in a consolidated situation?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1644
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 28/08/2015

Publication of gross or net positions for derivative transactions

In template B, should banks publish gross or net positions in the case of derivative transactions, where collateral could be posted and received between the two same counterparties?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/03 - Guidelines on disclosure of encumbered and unencumbered assets
  • ID: 2014_1640
  • Topic: Transparency and Pillar 3
  • Date of submission:

Original Exposure Pre-Conversion factors

Should column 010 of CR SA (C 07.00), "Original Exposures Pre Conversion factors" be reported based on Secured/Unsecured part 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_1636
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Determination of client for large exposures purposes regarding exposures constituted by non recourse financing of leasing-SPEs

1. Can a financing transaction where the institution contractually agrees to abstain from recourse to its legal obligor to the extent that payment obligations of a third party (the lessee) to the institution’s legal obligor (the lessor) are not fulfilled, i.e. where the institution takes over the credit risk stemming from its obligors´claims against a third party, be regarded as “other transaction where there is an exposures to underlying assets” within the meaning of Article 390(7) of Regulation (EU) No 575/2013 (CRR)?2. Is it admissible to regard the structure of such a transaction as not constituting an additional exposure to the leasing-SPE or any other third party within the meaning of Article 390(7) CRR in connection with Article 7(1) of Regulation (EU) No. 1187/2014 , where a. the payment flows from the underlying asset to the investing institution are separated from the leasing-SPE, in a way that the exposures to the lessee are managed by the leasing-SPE, but the payments are made by the lessee directly to an account of the leasing-SPE kept at the institution on which the institution has a lien according to its general terms and conditions of business, and b. the SPE is bankruptcy remote, in particular according to the documented and detailed information available to the institution, the bankruptcy of the parent company should only have a negligible influence on the leasing-SPE?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1635
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Reporting of open ended funding products without a defined maturity

How do funding without a contractual maturity get reported in Additional Liquidity Monitoring Metrics? Should they be reported based on the most conservative approach?

  • 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_1633
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

General principle of C70 Roll-over of funding

Is C70 a look back report for the last month or is a cumulative reports for daily data?

  • 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_1632
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Validation rule original exposure pre conversion factors

According to the taxonomy the value of C08.01 field row 010 column 100 ('of which off-balance sheet items') should be equal to the value of field row 030 column 090 (Exposure 'off-balance sheet items subkect to credit risk'). In our view this is not correct as the field 030/090 excludes securities financing transactions and derivatives (as part articile 3.3.3.1) while the field 010/100 is for the whole portfolio.

  • 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_1631
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Treatment of Financial offsetting of assets and liabilities subject to offsetting, enforceable master netting arrangements and similar arrangements'

How does the assets/liabilities balances subject to netting are reported and how does the associated collateral with it reported are reported in F 32.04 ? How does the assets (on and off) are reported on FR 32.01 and FR 32.02 ?

  • 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_1630
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Validation Rules v4047_m to v4055_m for CR SEC SA

The validation rules v4047_m to v4055_m check on the plausibility of the percentages given in column 300 of CR SEC SA. To this end the rules refer to columns 300 and 290 of CR SEC SA of various rows. We believe these rules should use column 280 instead of column 290.

  • 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_1629
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/06/2016

Eligibility as collateral where securitisation positions are issued by an SSPE belonging to the same group

What group entities are considered as “related” to the obligor for the purpose of the second sub-paragraph of Article 207(2) of Regulation (EU) No 575/2013 (CRR)? In particular, does this apply to securitisation special purpose entities (SSPE)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1628
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Scope of deposit monopoly

According to Article 9(1) of Directive 2013/36/EU (CRD), only credit institutions can carry on the business of taking deposits or other repayable funds from the "public". Will the operation of a group account arrangement within an industrial group - which, inter alia, requires a subsidiary to deposit funds with its parent company - breach the deposit monopoly in Article 9(1) of the CRD? The purpose of such a deposit requirement is generally to optimise the liquidity management within the group. The arrangement only applies to subsidiaries within the group.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1626
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 13/03/2015

Sign Convention

Column 030 in C 07.00 (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE) has negative sign, while in C 09.01 columns 050to 070 has (+) sign convention. We would like to know that what is the rationale behind having different sign convention for same fact?

  • 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_1625
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 19/03/2021

HANDLING OF CASH COLLATERAL DEPOSIT HELD WITH OUR BANK

Bank A is solo reporter and is a small subsidiary bank owned by foreign Government of (Third) country X (51%) and Bank A (49%). In the General ledger it has a loan to a Public Sector Enterprise incorporated in the (Third) country X. This loan is backed by cash collateral provided to Bank A by the Central Bank of the (Third) Country X which covers the outstanding balance (principal) on the loan fully - only the interest remains uncovered.How shall this loan and the linked deposit be reported for liquidity purposes in the LCR templates (C 52.00 / C 53.00)?Operationally, the deposit is expected not to generate any additional liquidity buffer requirement as the deposit is expected to be returned only when the loan is fully paid, thus covering the expected outflows by the inflows.

  • 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_1624
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021