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List of Q&A's

Presentation of cash flows related to non performing exposures in the template (C 66.01.a)

It is not clear how to interpret the following instruction: “17. Past due items and items for which the institution has a reason to expect non- performance shall not 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_3794
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 15/03/2019

Clarification “Other collateralized loans” template F 05.01

Should “Finance leases” and “Reverse repurchase loans” be excluded from the specification in row 100: “of which: other collateralized loans” in template F 05.01?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_3793
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 11/01/2019

Validation rules on template F 18.00 comparing with F 04.04.1 and F 01.01

In the validation rules v2776_m the balance from F01.01 row 040 Other demand deposits is added. In the validation rules v3028_m/v3031_m/v3035_m row 040 Other demand deposits is not added. In these validation rules the Impaired amounts in template F 18.00a are compared to the Stage 3 amounts in template F 04.04.1 (excluding 040 other demand deposits). Is this correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3792
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 11/01/2019

Validation rule v3129_m (FINREP template 18 and 19 IFRS 9)

The validation rule v3129_m requires for template 19 FINREP for all rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;211;212;213;214;215;216;221;222;223;224;225;226;227;231;330) that column {F 19.00.a, c100 of which: Impaired (Non-performing (Forborne)} <= {F 18.00.a, c120 of which impaired (non performing). For most rows this validation rule is correct. But for the rows (211;212;213;214;215;216;221;222;223;224;225;226;227;231) the column 100 in template 19 and the column 120 in template 18 are both greyed out. Can you limit the validation rule v3129_m to the rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;330)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3788
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Validation rule v2707_m (FINREP template 18 IFRS 9)

The validation rule v2707_m requires for template 18 FINREP for all rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;211;212;213;214;215;216;221;222;223;224;225;226;227;231;330) that column c120 of which impaired should be <= c060 Total non-performing. For most rows this validation rule is correct. But for the rows (211;212;213;214;215;216;221;222;223;224;225;226;227;231) the column 120 is greyed out. Can you limit the validation rule v2707_m to the rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;330)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3787
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Applicable treatment of fair value changes for the identification of the applicable RW to exposures in default under the Standardised Approach

In the application of Article 127 CRR, should the credit risk adjustments embedded in the fair value be considered in the calculation of the percentage of the unsecured part of the exposure value represented by credit risk adjustments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2018_3785
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Recalculation of thresholds of Article 48 CRR due to IFRS 9 transitional arrangements (Art. 473a)

Do the thresholds of Article 48 of Regulation (EU) No 575/2013 (CRR) have to be recalculated in the context of Article 473a(7) as well, taking into account the amounts added back to CET1 due to the application of Article 473a?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3784
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 24/08/2018

Calculation of the sf factor as per Article 473a(7)(b) of Regulation (EU) No 575/2013 (CRR)

Please clarify whether "RAsa" which is used for the calculation of the “sf” factor, as per Article 473a(7)(b) of the CRR, should be gross or net of tax

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3783
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Computing the amounts mentioned in Article 473a(2)(b) CRR, in case of the credit-impaired financial assets measured at amortised cost.

Should the amounts mentioned in Article 473a(2)(b) of Regulation (EU) No 575/2013 (CRR), as modified by Regulation (EU) No2017/2395 be:the total IFRS 9 Expected Credit Loss at transition date - point (i) and the amount of IAS 39 impairment losses at the day before transition date – point (ii), in case where there’s no modification regarding the reporting of the credit-impaired financial assets’ gross carrying amount (IFRS 9 vs IAS 39);the total adjusted IFRS 9 Expected Credit Loss at transition date - point (i) - see details below - and the amount of IAS 39 impairment losses at the day before transition date – point (ii)or the total IFRS 9 Expected Credit Loss at transition date - point (i) and the adjusted amount of IAS 39 impairment losses at the day before transition date – point (ii) – see details below, in case where the reporting of the credit-impaired financial assets’ gross carrying amount is modified (IFRS 9 vs IAS 39).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3781
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Reporting of own funds deductions required by the competent authority.

What is the treatment for the purpose of supervisory reporting of specific own funds deductions or prudential filters required by the competent authority pursuant to Article 104(1)(d) of Directive 2013/36/EU?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/13 - Guidelines on common procedures and methodologies for the SREP
  • ID: 2018_3780
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

C 08.01 - validation rule v5739_h (applicable as of v2.7)

According to validation rule v5739_h, the value in row 010 (“Total exposures”) should be >= the value in row 015 (“Exposures subject to SME-supporting factor”). We think this rule is only relevant for columns which report amounts and not for columns which report averages, such as column 250 (exposure-weighted average maturity value). Can this validation rule be corrected and not be applied to column 250 anymore?

  • 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: 2018_3774
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/11/2018

Clarification of the requirement to establish concentration limits on liquidity providers and establish at least two arrangements for each major currency.

In conjunction with REGULATION (EU) No 909/2014 Article 59(4)(e), does Regulation (EU) 2017/390 Article 38(5) stipulate a requirement to have at least two arrangements in place in each major currency to convert collateral or assets into cash using prearranged and highly reliable funding only? Does the requirement to establish concentration limits and to have at least two arrangements in place include alternative liquidity arrangements such as committed unsecured lines of credit or committed FX swap facilities?

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)
  • ID: 2018_3773
  • Topic: Market infrastructures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Validation rule v5548_h (FINREP template F 11.01 IFRS 9)

The validation rule v5548_h requires for template F 11.01 FINREP for all columns (010/020/030/040) row 460 (Cash flow hedges needs to be >= row 480 (Portfolio Fair value hedges of interest rate risk). Both amounts are part of the Derivatives Hedge accounting but there is no link between row 460 and 480. Can you delete validation rule v5548_h?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3770
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/07/2018

Interpretation of the term ‘ancillary services undertaking’ as defined in point (18) of Article 4 (1) CRR with a view to ‘intermediary undertakings’

Does the term ‘ancillary services undertaking’ as defined in point (18) of Article 4 (1) CRR include undertakings that act as an intermediary of business activities (‘intermediary undertakings’ or ‘brokers’), where those business activities themselves would lead to the qualification as an ‘institution’ as referred to in point (3) or a ‘financial institution’ as referred to in point (26) of Article 4 (1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3769
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposures to unrated institutions

How should exposures to unrated institutions be treated under Article 121 CRR in the cases where these institutions are located in a Member State or in a third country that does apply supervisory and regulatory arrangements at least equivalent to those applied in the Union and the exposures to the central government and central bank denominated and funded in domestic currency are assigned a risk weight according to Articles 114(4) to (7)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3765
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/03/2019

Reporting of memorandum items behavioural outflow/inflow in the ALMM maturity ladder (C 66.01)

The instructions on memorandum items behavioural outflow/inflow state to redistribute the amounts in items 1.3 (deposits) and 2.2 (loans). Does this mean that the total amount of notional and interest cash flows according to contractual agreements are redistributed across the time buckets? In other words, is it expected that the total amount in column 020 till 220 of row 17 (and 18) equal the total amount in column 020 till 220 of row 1.3 (and 2.2)? 

  • 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: 2018_3763
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 09/11/2018

Definition of a qualifying holding

In order to identify a qualifying holding in an undertaking, for the purposes of the definition laid down in Article 4(1)(36) CRR, has the possibility to exercise a significant influence over the management of an undertaking to be accompanied, as a necessary precondition, by an even minimum level of holding in that undertaking (as suggested by the English or Italian language version of CRR)? Or, conversely, can the definition of qualifying holding in Article 4(1)(36) CRR be met, in cases where the possibility for a person to exercise a significant influence in an undertaking is established, even in the absence of a minimum level of holding in the undertaking by that person?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3762
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 03/05/2019

Transposition of Article 96

Should the national provisions which are going to transpose Article 96 only provide for the resolution of branches of a third-country institution located in the same Member State?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3757
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Application of margin period of risk scalars for exposures to clients

Do the provisions laid out in Article 304(3)(a), Article 304(4) and Article 304(5) of the CRR, also apply to the calculation of the EAD for leverage ratio purposes?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2018_3756
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 22/03/2019