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List of Q&A's

Number of counterparties in template CVA

The guidance for template C25.00 (CVA) states that "Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party." This requirement could be interpreted in a number of ways e.g. Option A: using the ultimate parent undertaking Option B: at subsidiary level Option B would report more counterparties than Option A i.e. where there are CVA exposures to two subsidiaries with the same ultimate parent, option A would disclose 1 counterparty; option B would disclose 2 counterparties

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1542
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/06/2016

Obligors for total exposures in template CR IRB 1

Should r010, c300 of template C 08.01 be additive for number of obligors e.g. a retail Customer has 3 exposures in different obligor grades, 2 are On Balance sheet and 1 is Off Balance sheet. In template C 08.02 this would be disclosed as 3 obligors given that they are included within 3 different grades. In templates C 08.01 should this customer then be disclosed as 3 obligors in r010, c300 or 1 obligor?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1540
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Validation v1740_m

In FINREP template 8.1 "Breakdown of financial liabilities" (EBA/ITS/2014/05 as of 30/07/2014) hedge accounting derivatives are not included in validation v1740_m, although they qualify as financial liabilities in terms of IAS 39.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1539
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Reporting the insurance products under the item 150 of the template F 22.02 - Assets involved in the services provided

What value should be reported for the insurance products under the item 150 of the template F 22.02: the insurance premium, the banking fee or the insured amount?

  • 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_1537
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Reporting the unit – linked insurance products (insurance products with investment component) under the items related to the customer resources distributed but not managed in the template F 22.02 - Assets involved in the services provided

a) Where should be reported the unit – linked insurance products: under the item 140 “Collective investment” or under the item 150 “Insurance products” of the template F 22.02? b) If reported under the item 140 “Collective investment”, should the reported value be the entire amount subscribed by the clients or only the amount further invested in an investment fund (i.e. less the insurance component)?

  • 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_1536
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting the customer resources distributed but not managed under the item 130 of the template F 22.02 - Assets involved in the services provided

a) What value should be reported under the item 130 of the template F 22.02: the value of the resources distributed in the reporting period or the balance of such resources at the reporting reference date? b) Should the reported value be the gross amount invested by the clients (including the credit institution distribution fee) or the net amount (less the distribution fee)? c) Should the information related to money transfer services be also reported under the item 130 of the template F 22.02?

  • 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_1535
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting the central administrative services for collective investment under the item 100 of the template F 22.02 - Assets involved in the services provided

Taking into consideration that these services may not always be related to a certain asset (e.g. services of compiling the accounting documents, services of preparing the financial reports), what value should be reported under the item 100 of the template F 22.02?

  • 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_1533
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting liquidity outflow of non-retail deposits

Non-retail deposits: Should the current amount outstanding or just the current amount outstanding that comes due be reported in outflows? Should the treatment be different for deposits that have to be maintained according to Art 422 (3)(4) (→ take just outstanding amounts that come due) versus non-retail deposits that do not meet criteria set out it Art 422 (3)(4) (→ take full current outstanding amount)?

  • 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_1531
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Definition of Special Purpose Vehicle (SPV) as Financial Institution

Are Special Purpose Vehicles (SPV) which are used for of Asset Backed Securities (ABS) transactions "Financial Institutions" according to Art. 4 (27) CRR?If so, shall the Special Purpose Vehicles Reported as the 10 largest exposures on a consolidated basis to unregulated financial entities according to Art. 394 (2) 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_1530
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Validation rule v1384_m

With reference to Question ID 2013_345. Here you defined that the accounting of the impact of foreign currency translation (gain or loss) is included in row 190 ("Other Increase or Decrease in equity") and in column 050 ("Accumulated other comprehensive income"). Validation rule v1384_m defines that: sum({F 46.00, r200, ({c050}, {c100})}) is on par with {F 03.00, r360,c010}. One part of F 03.00, r360, c010 is the position: F 03.00, r150, c010 "Foreign currency translation" (Sum of r160 & r170). So, if we see that correctly, the impact of foreign currency translation would be part of {F 03.00, r360,c010} but not part of sum({F 46.00, r200, ({c050}, {c100})}). Consequence is that is not possible that validation rule v1384_m succeeds.

  • 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_1529
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/03/2015

Definition of "location"

Does the definition of "locations" pertains to the location of the reporting institution itself or to location of its customers, eg. debtors?

  • 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_1528
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Validation rule v0786_m

Validation v0786_m seems to be incorrect.The rule compares profit or loss for the year attributable to owners in P&L with the corresponding position in equity: {F 01.03, r250,c010} = {F 02.00, r690,c010}.Despite the comparable wording and reference the comprehension is different. The P&L contains the profit or loss for the reporting year while the Equity position contains the profit or loss available for distribution.This could be illustrated by three examples:1.)profit or loss for the year attributable to owners of the parent (template F 02.00, row 690): 500 €transfer to legal reserve (according legal standards): – 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 300 €results in other reserves - other (template F 01.03, row 230): 200 €2.)profit or loss for the year attributable to owners of the parent (template F 02.00, row690): 500 €retained profit from previous periods (no decision of distribution or transfer until now): 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 700 €3.)profit or loss for the year attributable to owners of the parent (template F 02.00, row690): 500 €effects from distribution obligation for equity-similar obligations transfer to other liabilities (according legal standards): – 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 300 €results in other liabilities (template F 01.02, row 280): 200 €The effects of the above mentioned examples will be published accordingly in the audited financial statements. Therefore it is not possible to reference these two positions from 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_1523
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/09/2017

Funding Plans : Table 2C (P 02.06) - Gradation of currencies in the taxonomy

In Table 2C (P 02.06), there is a notion of gradation on currencies' breakdown (1st, 2nd, and 3rd Largest material currency). But for now, the taxonomy don't handle this gradation. Does that mean that we can report the three most significant currencies regardless of their rank of importance?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2014_1521
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Treatment of Hedges for Equity-Linked Employee Compensation Schemes and Impact on FSE Capital Deductions

As part of their Corporate Equity Derivatives businesses, European banks are often asked to provide Financial Sector Entity (“FSE”) and non-FSE clients with hedges to their equity-linked employee compensation schemes or share savings plans. Typically in these circumstances the client goes long its own equity price risk synthetically, via purchasing call options or buying a total return swap (“TRS”). The TRS is an ISDA-based derivative contract under which the purchaser (in this case the client) receives the dividend and any price appreciation on the underlying equity security, and the seller (in this case the bank) receives a LIBOR / EURIBOR return plus a spread, along with any price depreciation on the underlying equity security. As the bank is short the client’s equity price risk under the TRS contract, it will typically purchase the client’s physical shares in the market in order to hedge the delta exposure under the sold TRS position. These positions are allocated to the regulatory trading book subject to the applicable requirements, and for the purposes of this discussion it is assumed the short position satisfies either the CRR Art 45 maturity matching criteria or the CRR Art 75 exemption. Where the bank has credit risk to the client (under the TRS), the client will, in most circumstances, be asked to provide cash margin on a daily basis to cover any mark-to-market movements in the bank’s favour. The TRS will be documented using standard ISDA documentation, with the cash collateralisation taking place under a CSA or similar arrangement. Would the TRS be considered an eligible hedge for the purposes of Article 45 under those circumstances?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1509
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 19/12/2014

On-balance sheet netting and exemption from the Large Exposures limits

Are on-balance sheet (OBS) netting agreements, where there are maturity mismatches between loans and deposits, eligible the exemption from the large exposures regime as laid down in Article 400 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_1508
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 06/02/2015

Classification of credit unions

Should the loans to credit unions (eg. Spoldzielcze Kasy Oszczednosciowo Kredytowe in Poland) be presented under category "Credit institutions" or as "Other financial corporations"?

  • 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_1507
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

On-balance sheet netting and exemption from the Large Exposures limits - question 1

Are on-balance sheet (OBS) netting agreements, where both legs are denominated in different currencies, exempted from the application of Article 395(1) 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_1505
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 06/02/2015

Application of requirements on a consolidated basis to a stand-alone bank in a Member State owned by a financial holding institution in another Member State and by a third-country bank: submission of FINREP on a consolidated basis.

A stand-alone bank in a Member State that, according to Article 11 of CRR, has to respect prudential requirements on the basis of a consolidated perimeter including financial companies located in other States shall submit FINREP information on a consolidated basis, in addition to COREP information?

  • 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_1504
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Disclosure on the basis of consolidated situation of EU parent financial holding company

According to Article 13(2) of Regulation (EU) No 575/2013 (CRR), institutions controlled by an EU parent financial holding company shall comply with the obligations laid down in Part Eight on the basis of the consolidated situation of that financial holding company. In the case where a parent financial holding company has control over two separate institutions in different member states (without any equity holdings between these two institutions), are both of these institutions obliged to disclose information laid down in Part Eight on the basis of consolidated situation of the parent financial holding company? If yes, is there possibility that one of aforementioned institutions can “outsource” disclosure obligations on the basis of consolidated situation of the parent financial holding company to the other?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1502
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 24/04/2015