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List of Q&A's

Definition of term "member state"

Within Regulation (EU) No 575/2013 (CRR) there are several Articles using the term "member state" (e.g. Article 4 Paragraph 1 Subparagraph 28, 29, 30, 31, 32, 33, 40, 43, 44, 127 - Article 6 Paragraph 2 - Article 7 Paragraph 1 - ...). Unfortunately neither CRR nor Directive 2013/36/EU (CRD) contain a definition of the term "member state". Can you therefore please provide a definition of the term "member state" especially stressing whether this refers to the states of the European Union or to the states of the European Economic Area?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_233
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Annex XV Validation formulae, "≡" vs "="

We would like to know what the differences are, for the validation formulae purpose, between the symbols "≡" and "=". E.g: Validation {F 20.04 , r140 , c030}≡{F 20.07 , r190 , c020} (without ID). Does this validation mean that the value of both "boxes" o "line items" is the same or, on the contrary, that the "concept" they both refer to is the same? We though it was the first option until we bumped into this question. If it were the second alternative, should it appear in the majority of validation links?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2013_231
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Deviations between the definition of SA exposure value for securitisation exposures and for other exposure classes

The exposure value for all other exposure classes corresponds to the accounting value after SCRA, Prudent Valuation and other own funds reductions that relate to the asset item (Article 111(1) Regulation (EU) No 575/2013). The exposure value for securitisation exposures corresponds to the accounting value after SCRA based on article 110 CRR, without taking into account Prudent Valuation or other own funds reductions related to the asset item. Is this deviation intended?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_230
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 28/11/2014

Requirement to establish a risk/audit committee

Article 76(3), first paragraph, requires significant institutions to establish a risk committee. According to the fourth subparagraph, "competent authorities may allow an institution which is not considered significant as referred to in the first subparagraph to combine the risk committee with the audit committee as referred to in Article 41 of Directive 2006/43/EC." Does this mean that all institutions in the EU are required to establish at least a joint risk and audit committee?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_228
  • Topic: Internal governance
  • Date of submission:

Validation Rules (SEC) - Rule v531_m does not take into account value adjustments on deductions from own funds

Validation rule v531_m does not seem to take into account that as stated in CRR 266(1) deductions from own funds can be reduced by the specific credit risk adjustments made in respect of the exposure leading to the deduction. Column 180 of C 13.00 (CR SEC IRB) reports these deductions as specified in CRR 266(3). Crr 266(3a) in turn refers to CRR 266(1) and (2) for the calculation of the deduction amounts. When there are such specific credit risk adjustments on deductions from own funds, the value in column 180 is reduced accordingly and the sum of columns 170 and columns 180 does not add up to the value of column 190. Should therefore this validation rule not be weakend to {c190} <= {c170} + {c180} ?

  • 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: 2013_227
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

Deferred tax assets that rely on future profitability and that arise from temporary differences

According to art. 469(1c) CRR, the deferred tax assets that arise from temporary differences can be deducted in a transitional manner using the percentages specified in art. 478(2) CRR. The residual amount that is not deducted, is to be risk weighted at 0% (art. 472(5) CRR). Whereas for other regulatory deductions there is a specific row in template C 05.01 that is used to indicate the transitional amounts, it is not clear where in this template the transitional amounts for deferred tax assets that arise from temporary differences must be indicated. For row 380 is it specifically indicated that it holds the transitional arrangement referred to in art. 470 CRR, while rows 390-420 hold the transitional arrangements related to own funds instruments of financial sector entities where the institution has a significant investments. Row 170 only concerns deferred tax assets that rely on future profitability and do not arise from temporary differences.

  • 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: 2013_225
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Article 416 - Reporting on liquid assets

Can assets issued by credit institutions, investment firms, insurance undertakings, etc. (reference to Article 416(2)) qualify for reporting as liquid assets if these are guaranteed by one of the parties mentioned in article 416(1)(c)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_222
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 20/12/2013

Exemptions from deduction for CET1 items

In Article 48(1)(b) of Regulation (EU) No 575/2013 (CRR) it states: 'where an institution has a significant investment in a financial sector entity, the direct, indirect and synthetic holdings of that institution of the CET1 instruments of those entities that in aggregate are equal to or less than 10% of the CET1 items of the instritution calculated after applying the following:' Question: When making the comparison between the amount of investment and CET1 of the reporting institution, does that comparison refer to the aggregate amount of all significant investments in all financial sector entities OR the comparison should be made on an individual entity basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_221
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Grandfathering of Own Funds Instruments

When an institution has launched an exchange offer, prior to December 31st 2011, that will exchange, on a one for one basis, existing Tier 1 bonds, with or without an incentive to redeem, with bonds that have similar provisions, the same coupons and call dates, but a different issuer (within the same banking group), will the newly issued bonds be considered in the same category as the former bonds (with or without an incentive to redeem)? This seems consistent with the fact that the newly issued bonds obviously do not have a coupon that is priced at fair market value on the issuance date, so assessing whether they have an incentive to redeem the day they are issued does not really make sense, but a clarification would be helpful.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_220
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 06/06/2014

FINREP F45.2

Row 010 "Property, plan and equipment" has been eliminated. Notwithstanding, currently the first row (Investment property) is row 020, not row 010. Hence, should the row 040 "Other assets" include the information previously contained in row 010?

  • 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: 2013_219
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Annex III F20.4 row 210 Of which: Commercial immovable property

What is the information requested in this row? Does it consist of loans collateralized by commercial immovable property, similarly to row 230? Or is it made up of loans granted to acquire commercial immovable property?

  • 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: 2013_216
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Items associated with particular high risk secured with eligible real estate

How do we treat the exposures that would have been otherwise categorised as "Items associated with particular high risk" and which at the same time are secures with mortgages on immovable property? a) Ignore the collateral which opposes the spirit of Regulation (EU) No 575/2013 (CRR) and Credit risk mitigation (CRM) i.e. CRM is recognised when it decreases the Credit risk? b) Recognise them in the exposure class "Secured with mortgages on immovable property"? Additionally, if these items are also in default, should they be recognised in the "In default" exposure class? c) Recognise them in the exposure class "Items associated with particular high risk" and apply the lower RW that are associated with the exposures secures with mortgages on immovable property?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_215
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 14/08/2014

Financial guarantees received and other commitments received (F 09.02)

1) Could you confirm that the item "Financial guarantees received" (see F 09.02, r080 – r140, c010) includes only financial guarantees received as collateral for the institution's liabilities and for institution's financial guarantees given or other commitments given (i.e. it does not include financial guarantees received as collateral for claims/financial assets, given the fact that they are considered as part of information in template F 13.01 Breakdown of loans and advances by collateral and guarantees)? 2) Consequentially we would like to clarify the treatment of other collateral received (either from the customer or from third party) for financial guarantees given and other commitments given (from template F 09.01). Should they be also included in item "Other Commitments received" of template F 09.02 (r150 – r210, c020)?

  • 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: 2013_214
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Additional value adjustments

According to the Article 34 of Regulation (EU) No 575/2013 (CRR), institutions shall apply the requirements of Article 105 to all their assets measured at fair value when calculating the amount of their own funds and shall deduct from Common Equity Tier 1 capital the amount of any additional value adjustments necessary. Does the provision “to all their assets measured at fair value” mean that this Article concerns all trading book positions or this Article concerns all trading and banking book positions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_213
  • Topic: Market risk
  • Date of submission:

Reporting of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial institutions

The issue is that the term and definitions for "institution" and "unregulated financial entity" are not complementary and thus could cover the same counterparts. Could EBA confirm that they don't want to have the same entities reported in the 2 groups ("institutions" and "unregulated financial entities") and clarify both terms?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_211
  • Topic: Large exposures
  • Date of submission:

Specifying default fund contribution or risk weights in C07.00 and connection to C02.00.

First, according to column 020, default fund contributions is included in column 010 (original exposure) since it is a "of which". To get row 090 - 210 to sum up to the total exposure at row 010, the default fund contribution must then also be specified on row 090-210. Since the default fund contribution not is calculated with those fixed risk weights, on which row should the amount then be inserted? Secondly, should the amount in C07.00, c220, r010 be splitted on C02.00, row 460 and 050?

  • 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: 2013_209
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Inclusion of year-end profit in Common Equity Tier1 Capital as of the end of first quarter of the following year.

Can the year-end profit (reduced by the expected burdens and dividends), after verification by persons independent of the institution that are responsible for the auditing of the accounts of that institution, be included in Common Equity Tier1 Capital of the institution as of the end of first quarter of the following year without the prior permission of the competent authority in the situation in which the General Meeting of Shareholders approves the financial statements with the year-end profit (and approves the dividend in the amount reducing the year-end profit in the calculation) before the issuing date of the first quarter financial statements, but after the date of first quarter reporting period?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_208
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 06/12/2013

Consideration of collateral in the current exposure method

We seek clarification regarding the consideration of collateral in the current exposure method (referred to as the Mark-to-market method in Regulation (EU) No 575/2013 (CRR) for the own capital requirements as well as for the large exposure regime. Is it possible to allow for collateral posted in calculating the current replacement according to Article 298(1)(c)(i) 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: 2013_206
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/04/2014

10% limit for significant investments (for threshold exemptions determination purposes)

Could the EBA confirm that in a situation where the total amount of significant investment in a financial sector entity (the direct, indirect and synthetic holdings by the institution of the Common Equity Tier 1 instruments of that entity) exceed 10% of relevant Common Equity Tier1 items, such amount can be included in 15% threshold exemptions up to 10% of this amount and remaining surplus above 10% limit will be treated as a deduction of CET1. Example in background.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_205
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 08/05/2014

COREP securitisations (crsecirb, crsecsa and crsecdetails)

It is unlcear from the instructions for the COREP which securtisations exposures should be filled in, in which tab (crsecirb, crsecsa and secdetails).

  • 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: 2013_204
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/03/2014