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List of Q&A's

Operational Risk templates

In order to fulfill the information of operational risk losses, we would like to know if we should include the following concept of losses: -Operational risk related credit risk losses. Losses included in the credit risk capital data base, but originated for an operational risk event.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1233
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

CoRep 12 and 13 - Validation rules v0508_m, v0514_m, v0532_m and v0538_m

The validation rules v0508_m and v0514_m for C 12.00 cannot be true at the same time in case there is any exposure subject to Look-Through or Internal Assesment Approach (breakdown of outstanding positionsaccording to CQS at inception is not applicable in these cases). The same applies for rules v0532_m and v0538_m for C 13.00 in case of Look-Through, Internal Assesment Approach or Supervisory Formula Method.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1231
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Liquidity templates and instructions

We found some inconsistencies between the templates, the instructions and the CRR. Please confirm the following: 1. In template C61.00, rows 140-180 (which is 1.2.3.1 to 1.2.3.3.1) should refer to Article 427 CRR instead of Article 414. The rest of those references on sub-article basis seem correct. 2. In Annex XIII, Part I the title for row 540 is different compared to the one in the template and does not correspond the text of Annex III, point 5 of the CRR. The text of Annex XIII should be amended accordingly. The same problem is present in Annex XIII, Part II, row 610 and Annex XIII, Part III, row 590. 3. In Annex XIII, Part I the title for rows 710-730 is different compared to the one in the template. We think that this is the correct title ("... not already reported in 1.10 to 1.11.3") and suggest to change the template accordingly. 4. In Annex XIII, Part I the title for rows 740-760 is different compared to the one in the template. We think this title should be amended because the the title used in the template seems to be the correct one. 5. In Annex XIII, Part I the title for row 820 is different compared to the on in the template. We think this is the correct title ("... reported in 4.6 - 4.10") and suggest to change the template accordingly. Similar issue is present in Annex XIII, Part II, row 890 where the correct title should be the one used in the template. Also such issue is found in Annex XIII, Part III, row 870 where the correct title is the one used in the instructions and the template should be amended accordingly. 6. In Annex XIII, Part II, the title for rows 1110-1120 and the indivudual titles for rows 1110 and 1120 are identical. We suggest to take the correct titles from the template. 7. In Annex XIII, Part III, the title for row 030 is different compared to the one in the template. We think this is the correct title and suggest to change the template accordingly. 8. In Annex XIII, Part V.1, the explanation for rows 140-200 is non conistent with the template. As the instructions seem correct, we suggest yoy amend the template legal reference accordingly.

  • 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_1227
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Eligibility of subordinated loans for classification as Tier 2 instruments when the rules governing their issue contemplate an obligation of the issuer to repurchase a percentage of them (eligibility limited to the amount of subordinated loans not subject to such repurchase obligation).

Pursuant to the combined application of articles 63 letter k) and 66 letter a) it is correct that a clause – also included in the rules governing the issue of subordinated loans – according to which an issuer is obliged to repurchase a specified amount of subordinated loans does not prevent from classifying such financial instruments as Tier 2 instruments if, in compliance with article 66 letter a), the percentage of subordinated loans that shall be repurchased by the issuer is deducted from Tier 2 items? In other words, a subordinated loans can be classified as Tier 2 instruments if the provisions governing their issue contemplate the undertaking of the issuer to repurchase a specified percentage of the issued subordinated loans provided that - in compliance with article 66 letter a) of CRR - such percentage is deducted from Tier 2 items? The undertaking of the issuer to repurchase part of subordinated loans deriving from the rules governing the issue of such subordinated loans can be considered as a repurchase “contractual obligation” and as a consequence may it fall within one of the cases contemplated under the provisions of article 66 letter a) of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1226
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 29/08/2014

FINREP template F 40.01 – Group Structure Listing - Entity by Entity

Regarding the definition 124(p)“Acquisition cost” means the amount paid by the investors.”:a)where the company has changed ownership but is still within the group, does the amount paid refer to the initial amount paid on entry into the Group or to the amount paid by the current investor.b)where a subsidiary has not been purchased but rather has been set up by the investor does the amount paid refer to the initial share capital invested ( which can often just be a nominal amount eg: EUR3)

  • 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_1222
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/11/2016

Inclusion of consolidated current and year-end profits in Common Equity Tier 1 Capital

According to Articles 18 and 19 of Regulation (EU) No 575/2013 (CRR), institutions have to carry out a prudential consolidation. The scope of entities included in prudential consolidation can differ from the scope of full financial consolidation. For the purposes of meeting the requirements of Article 26(2) of the CRR, should the current as well as year-end profits resulting from the prudential consolidation also be verified by persons independent of the institution that are responsible for the auditing of the accounts of that institution? Is the General Meeting of Shareholders obliged to confirm the year-end profit for the Group prudentially consolidated, in addition to the year-end profit for the Group financially consolidated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1221
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 20/03/2015

Own Funds - Subordinated loans as Tier 2 instruments

Our interpretation of Article 63 (g) of the Capital Requirements Regulation (Regulation 575/2013 is that subordinated loans which are perpetual (i.e. do not have a maturity date) would also qualify as Tier 2 instruments under article 63 (g) of the CRR, given that the original maturity would exceed five years (i.e. it would be for an indefinite period). Do you agree with our interpretation? Or is it only subordinated loans with a fixed redemption date (and whose original maturity is of at least five years) which should be recognised as Tier 2 instruments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1220
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 29/08/2014

Template F 22.01: Fee and commission income and expenses by activity

Should a bank report all commission income / expenses in template F 22.01 or just the part related to off balance sheet activities?

  • 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_1219
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Inclusion of expected loss for equity exposures in calculation of Expected loss amount reducing CET1

Shall the expected loss amount for equity exposures under the IRB approach be offset against the specific and general credit risk adjustments of all risk positions?If not, how shall they be treated? Does it has to be deducted from CET 1 in either case, also if there is a surplus increasing T2 according to Article 62 (d)?Does this also mean that EL for equity exposures shall be reported in CA4 row 140 respective 155 or not?

  • 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_1217
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Instruction on reporting of other transferable assets

In annex XII, table template C 51.00, row 1.3.1 (1.3.1.1 and 1.3.1.2) the institutions should report on other transferable assets representing claims on or guaranteed by transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets. The instructions are not fully clear to us and we have the following questions on what to report on the rows 1.3.1.1-2: Is this only valid for ”Member State” or is the second phrase ”on a region…” an own definition of issuers, and in that case, is municipalities a part of that definition? Is ”domestic currency” only referring to ”third country” or all other previous issuers defined in the sentence (Member State and perhaps ”a region…”)? Is ”if the institution incurs…” referring to all issuers in the sentence, i.e. it is a general requirement that the assets can only be included here if they cover the incurred liquidity risk? Does this mean that if you have an LCR>100%, in the currency or for the institution, no assets are allowed to be included? Or is there another definition of “liquidity risk…that it covers”? To summarize 1.3.1, we would like to know: - What issuers and guarantors are allowed? - Is there any restrictions on any of these assets, e.g. asset issued in domestic currency? - Is there a cap on any of these assets, e.g. only a portion of the assets may be included in the reporting?

  • 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_1216
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Recognition of real estate as commercial property

1. What kind of assets are to be included in the “Residential” and “Commercial” categories within “Mortgage Loans” for the purposes of supervisory reporting? For instance where should institutions assign garages, plots of land, storage rooms and rustic property etc. which are used as collateral? Are there more specific criteria to be used in assigning these assets? 2. Can we recognize as Commercial Real Estate the following types of property: Land for development, factories, plots of land for commercial purposes, slotted houses, schools and quarries etc.?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1214
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/11/2014

Is validation rule v3897_s correct and shall be strictly adhered to?

There are a number of sign validation rules which are applied to the FINREP templates. Are all of them correct and shall be strictly adhered to?For example, rule v3897_s requires that all items in template F 01.01 (FINREP) are greater or equal to 0. This validation may not be applicable for some of the items in template F 01.01, such as row 250 – 'Fair Value changes of the hedged items in portfolio hedge of interest rate risk'. As this item (row 250) may be a contra-asset account (i.e. reducing the total assets balance), shall it nevertheless be reported as a positive number (as required by the validation rule)?

  • 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_1204
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Template F 16.01 - Interest income and expenses by instrument and counterparty sector

Template F 16.01 requires that interest income and expense for hedging derivatives that hedge interest rate risk are recorded separately in row 250 column 010 and 020. These amounts are hedging the interest income or interest expense for other items recorded in the same column. For example, an interest rate swap can be used to hedge an AFS debt security. Whilst the AFS debt security in row 020 column 010 has a positive amount the interest on the swap can be negative in row 250 column 010. This negative amount should be presented in interest income so that total interest income is disclosed correctly. Similarly in column 020 if a swap is used to hedge interest rate risk on a deposit the interest would be negative. Again this needs to be reported in interest expense to ensure total interest expense is disclosed correctly.EBA v3950_s and v3951_s signage validation requires positive amounts in row 250. Please can EBA advise on whether FINREP can permit negative amounts in row 250 for columns 010 and 020.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1203
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 11/01/2019

Excess General Credit Risk Adjustments - Standardised Approach (SA)

Can institutions use the excess of SA general credit risk adjustments over the 1.25% cap to reduce SA exposure value under own funds requirements, or reductions to SA original exposure value are just limited to specific credit risk adjustments? If so, where should the excess of general provisions, not considered as Tier 2 due to the 1.25% cap, be deducted (i.e. Retail class)?

  • 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: 2014_1199
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 12/12/2014

Transitional provisions on the introduction of IAS 19 revised

Which are the reporting dates that institutions should refer in the calculation of the applicable amount in accordance with 473 (2) of Regulation (EU) No 575/2013 (CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1197
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Group Solvency template (C06.00) – information on the contribution of entities to solvency of the group (columns 300 to 400)

On what basis should the contribution of entities to solvency of the group (columns 300 to 400) 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_1193
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Incorrect references to the CRR

In Annex 1, C 05.02 'Grandfathered instruments: Instruments not constituting State Aid' there are some wrong references to the CRR articles, as follows: - row 020 and row 090 - instead of 'Article 489', it should be 'Article 486'; - row 050, row 060 and row 070 - instead of 'Article 49 of CRR', it should be 'Article 52 of CRR'. Limits for grandfathering of items within CET1, AT1 and T2 are in Article 486 of the CRR. Conditions for AT1 quialification are in Article 52 of the CRR.

  • 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_1191
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Deduction of IRB Shortfall to Own Funds

In what cell, if any, of CA1 shall institutions deduct half of the amount of the IRB shortfall of credit risk adjustments to expected losses in T2 capital?

  • 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_1189
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/02/2016

Template C07.00 Column 230: of which: with a credit assessment by a nominated ECAI

Column 230: of which: with a credit assessment by a nominated ECAI, is this column only reported for exposures where the ECAI rating was used to determine the risk weight?

  • 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_1188
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016