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List of Q&A's

Scope of the CR IRB template

Concerning the EBA reporting of the templates “C 08.01.c - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL (SMEs subject to supporting factor)” and “C 08.01.d - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet (SMEs subject to supporting factor)”, we think that the two sheets 22 and 23 of the last Data Point Model (2013/12/02) not have to be treated. Indeed sheet 022 is entitled “Retail - Secured by immovable property SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” and sheet 023, “Retail - Other SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” Whereas it is explained in ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template), that in any case, for the reporting of the retail portfolios, own estimates of LGD and credit conversion factors are used (Advanced IRB) Moreover those sheets would represent “of which” of non existing positions ? Extract of ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template) : Scope of the CR IRB template The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which:  Counterparty credit risk in the banking book;  Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities.. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates; iii. “Other non-obligation assets”, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template; iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: "NO" = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) "YES" = in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios "YES" has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported. Could you please confirm our opinion ?

  • 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_894
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

C 60.00 Items requiring stable funding - treatment of NPLs

How should non-performing non-renewable loans be reported in the template C 60.00? Should they be reported in rows 900-1250 i.e. 'non-renewable loans and receivables' or row 1300 'any other assets', and what maturity bucket should they be assigned to?

  • 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_893
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 31/10/2014

Mark to market method, application of the mark to market reset

Would it be consistent with the intent of the CRR, if the adjustment to the residual maturity is made in circumstances where the terms of the trade are reset such that the mark to market of the contract is materially close but not perfectly zero? If this were not the case, it would be highly unlikely that under valuation principles imposed by current accounting standards and regulatory requirements that the clause could ever be applied in practice.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_892
  • Topic: Market risk
  • Date of submission:

C 07.00 CR SA STD Column 215: which amount should be display in Column 215 for exposures NOT subject to SME-supporting factor? Should we display 0 or the amount of risk weighted assets?

C 07.00 CR SA STD Column 215: which amount should be display in Column 215 for exposures NOT subject to SME-supporting factor? Should we display 0 or the amount of risk weighted assets?

  • 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_891
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

Validations FINREP

Regarding FINREP validations: 1) v779_m / F 01.03: {r090} = {r100} + {r110} + {r120} + {r130} + {r140} + {r150} + {r160} + {r170} + {r180}. Why are {r122} and {r124} not also part of the formula? 2) cell (r90, c90) refers "Conversion of debt to equity", which is disabled for data entry. What is the reason?

  • 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_890
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Definition of Additional Tier 1 instruments for the purposes of Article 141 of Directive 2013/36/EU

For the application of Article 141 of Directive 2013/36/EU (CRD) regarding distribution limitations (Maximum Distributable Amount (MDA)), should Additional Tier 1 (AT1) instruments be defined as instruments that meet the conditions set out in Article 52 of Regulation (EU) No 575/2013 (CRR) or should it also include instruments that are grandfathered in the AT1 category through the application of the various grandfathering provisions? If grandfathered instruments are also included, how is this consistent with the grandfathering amortisation profile applicable to some instruments (i.e. instruments are not eligible / not eligible on an individual basis but there is simply a maximum stock of old hybrid instruments that are reported as AT1) and with the possible pusher provisions that exist in many old instruments?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_889
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 26/06/2015

Residence of the counterparty - short positions

Table 20.6 of FINREP contains a geographical breakdown of liabilities by residence of the counterparty. Nonetheless, there is no guidance on how to determine the counterparty in the case of short positions.

  • 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_888
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 19/12/2014

Exit criteria for performing exposure under probation that has been reclassifiied to non-performing because it has been re-forborne or is more than 30 days past-due

According to paragraph 180 non-performing exposures with forbearance measures comprise forborne exposures that meet the criteria to be considered as non-performing. These exposures are forborne exposures which have been reclassified from the performing category, including exposures under probation having been re-forborne or more than 30 days past-due. However, which exit criteria does apply to cease being non-performing for this specific non-performing exposure?

  • 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_886
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Residual maturity of exposures with an undefined maturity

Do exposures with an undefined maturity, such as deposits or time deposits which can be called by the depositor and must then be reimbursed with a delay shorter than three months, quality as such?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_883
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/07/2014

Scope for probation period

Paragraph 176 defines the criteria to discontinue forbearance classification. According to paragraph 176 (b) "...a minimum 2 year probation period has passed from the date the forborne exposure was considered as performing". According to Annex II “EBA ITS 2013 03 Annex I (Annex I ITS FBE NPE Amemdments Annex III ITS reporting IFRS templates)” paragraph 176 (b) is only applicable to table 19 column 50 (of which: Performing forborne exposures under probation). Does this mean that the 2 year probation period is only required for exposures which are reported in column 50 – i.e. exposures with forbearance measures which have been reclassified out of the non-performing forborne exposure columns (see paragraph 180)?

  • 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_878
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/03/2015

Confirmation of waiver in particular situations

Is it confirmed that the waiver of the provisions in respect of deduction applies to capital instruments or subordinated loans that an entity holds or has granted temporarily for the purposes of a financial assistance operation designed to reorganize and save another entity even prior to the CRR/CRDIV regulations coming into force? Is it confirmed that the waiver of the provisions in respect of deduction for capital instruments or subordinated loans envisaged for the purposes of a financial assistance operation designed to reorganize and save the entity still applies also with reference to holdings already acquired but still necessary for the purposes of the financial assistance operation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_875
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Where and how much to report forward starting repo or reverse repo ?

Should article 422.2 and 425.2(d) in CRR be applicable on the initial disbursement flow of forward starting repo or reverse repo for purpose of LCR ? Where to report initial disbursement flows and maturing flows (if within 30 days) of forward starting repo or reverse repo in report C52 and C53?

  • 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_872
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 20/02/2015

FINREP Template F20.4 (r210,r230)

In template 20.4 row 210 loans to non-financial corporations shall be broken down to “of which: Commercial immovable propertys”. In row 230 loans to household shall be broken down to “of which: loans collateralized by residential”. Are gross carrying amounts of loans formally collateralised by residential or commercial immovable property respectively required in rows 210 and 230? Or shall row 210 include gross carrying amounts of loans that are used to finance commercial immovable properties?

  • 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_864
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Lower maximum penalties for natural persons

Articles 66 (2) d) and Art. 67 (2) f) of Directive 2013/36/EU (CRD) provides that for certain breaches stipulated in Articles 66 (1) and 67 (1) Member States shall ensure that administrative penalties that can be applied include at least up to 5 million euro in the case of natural person. May Member States, considering the circumstances of particular Member State, provide directly in their national law lower maximum amount of the penalty (e.g. "up to 1 million euro") for natural persons in the case of the breaches set in Articles 66 (1) and 67 (1)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_859
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 06/06/2014

Definition of a financial institution

Following the corrigendum of November 30 2013, the definition of a “financial sector entity” (FSE) was modified, however, the definition of a “financial institution” (FI) remained unchanged. We seek clarification for the following two main issues: 1) Clarification is sought on whether all “undertakings other than institutions, the principal activity of which is to acquire holdings” – irrespective of whether the holdings in question relate to undertakings in- or outside of the financial sector – qualify as a financial institution (FI) (and accordingly as a financial sector entity (FSE) pursuant to Article 4(1)(27) of Regulation (EU) No 575/2013 (CRR)) for prudential consolidation purposes and also for purposes of capital deductions for investments in FSEs. 2) As the CRR does not give a definition of what “principal activity” means in relation to FI, there is room for interpretation leading to divergent treatment across Member States – in particular, where a bank owns shares in a holding company that owns a non-financial group (i.e. a group that does not undertake an activity under Annex 1 of Directive 2013/36/EU (CRD)). We seek clarification on whether an undertaking’s principal activity (e.g. to acquire holdings) needs to be determined on an individual basis (i.e. also in the case of holding companies) or whether it can be determined on the basis of its consolidated situation (i.e. including the holding company plus its non-financial subsidiaries and holdings) and by taking into account all relevant qualitative and quantitative criteria (e.g. proportion of assets, of profits and of capital resulting from the acquisition of holdings versus operating activities, including activities listed in Annex I to CRD; human resources deployed; etc) on group level.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_857
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 18/07/2014

Annex XV Validation formulae

Ilogical validations in Annex XV

  • 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_854
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

Inclusion of derivatives in the product list mentioned in Article 378

Are derivatives also to be included in the product list mentioned in Article 378?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_851
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 24/10/2014

Classification of in default exposures that are at the same time is an Item Associated with Particular High Risk

Following the decision tree, it is clear that "Items Associated with Particular High Risk" take precedence over "Exposures in Default". However, if for example we have a case of speculative immovable property financing that is in default where do we classify it? If we include the exposure in the Associated with Particular High Risk class, then during COREP review or other regulatory review exercises, it might not give the correct picture for the level of in default exposures that an institution has in its portfolio. Shall the in default items with particular high risk be classified in the "In default" exposure class?

  • 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_847
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Calculation of the threshold deductions (from CET1) during the transitional period

In calculating the threshold deductions from Common Equity Tier 1 during the transitional period [Article 470] should the following items be fully or partially deducted from Common Equity Tier 1 according to the national discretion phase-in and/or filter? (i.e. should the “transitional period threshold” be exactly equal to the “full application threshold” or the former should be determined considering the national discretions phase-in/filter effects). More specifically: - Unrealized losses measured at fair value: in countries where national discretion rules provide [Article 467(2)] for a filter to not include in any element of own funds unrealised gains or losses on exposures to central governments classified in the “Available for Sale” category of EU-endorsed IAS 39, the Common Equity Tier 1 considered for the calculation of the threshold deductions during transitional period should be determined with or without those specific unrealized losses measured at fair value? - Loss carry forward: in countries where national discretion rules provide for a phasing-in of loss carry forward deductions (deferred tax assets that rely on future profitability and do not arise from temporary differences) [Article 469 (1)], the Common Equity Tier 1 considered for the calculation of the threshold deductions during transitional period should be determined by subtracting all the loss carry forward or just the applicable percentage determined by the national authority? - Shortfall of expected losses to provision: in countries where national discretion rules provide for a phasing-in of shortfall of expected losses to provision deductions (negative amounts resulting from the calculation of expected loss amounts for IRB institutions) [Article 469 (1)], the Common Equity Tier 1 considered for the calculation of the threshold deductions during transitional period should be determined by subtracting all the shortfall of expected losses to provision or just the applicable percentage determined by the national authority?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_842
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 11/07/2014

Regulatory Add-on % for Inflations Swaps

Should point 3 of Annex II (types of derivatives) have a title? Points 1 and 2 both have titles; it is inconsistent that point 3 has no title. Article 274 (3) makes reference to "contracts relating to commodities other than gold, referred to in point 3 of Annex II". What derivative types, as classified in table 1 in the article, does point 3 cover? This ambiguity leads me to ask should an Inflation swaps linked to RPI index, be treated as an 'Interest rate' contract or a 'Commodity' Contract? Given the current wording of point 3, Annex II suggests that Inflation swaps should be treated as Interest Rate contracts, they are of a similar nature to interest rate contracts.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_841
  • Topic: Market risk
  • Date of submission: