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List of Q&A's

Use of an insitution's own estimates of conversion factors

In applying Article 166(10) of Regulation (EU) No 575/2013 (CRR), may competent authorities grant permission to institutions to use their own estimates of conversion factors (as is permitted for certain exposures under Articles 151(7) and (9)) for off-balance sheet exposures which are not listed under Article 166(8)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1263
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/11/2014

Annex I, C 05.01

I am a little confused by two validations with the ID of V2000_s and V2035_s. My understanding is that column 50 should be a percentage but validation rule (V2035_s) states that it must be >=0 and column 10 should be the absolute number but the validation rule (V2000_s) shows that this should be <=0.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1261
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Shareholder approval for a firm to increase the permitted ratio of fixed to variable remuneration

(i) Could the EBA clarify the procedure to be followed for a firm to increase the variable remuneration above the basic limit of 100 % of the fixed remuneration. In particular with regard to: whether the percentages referred to in the second indent of 94(1)(g)(ii) should be counted by reference to share or ownership voting rights or the number of individual shareholders or owners, (ii) whether the 75% threshold, which applies when fewer than 50% of shares are represented in the vote and the 66% threshold, which applies when at least 50% of shares are represented, are percentages of the share or ownership voting rights represented or the firm’s whole issued share capital or ownership rights, (iii) is there a definition of the concept of shares or ownership rights being “represented”? (iv) Can staff who are directly concerned by the higher maximum levels of variable remuneration exercise any voting rights they may have?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1260
  • Topic: Remuneration
  • Date of submission:

Reporting ICAAP requirements

Where does a firm report its ICAAP requirement if it has not undergone a SREP or been notified by its National Competent Authority that it must take additional own funds requirements

  • 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_1258
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Report information on the 20 largest exposures to clients or groups of connected clients

An institution has to report information on its large exposure, on its 10 largest exposures to institutions as well as on the 10 largest exposures to unregulated financial entities according to Article 394 . Furthermore, an IRBA institution also has to report its 20 largest exposures sorted by the non exempted exposure value (resulting from subtracting the amount in column 320 ‘Amounts exempted’ of template LE2 from the amount in column 210 ‘Total’ of that same template, according to annex IX). In case the institution has already reported some of these 20 counterparts as large exposure or in one of the two TOP 10, does this institution: -have not report those who are already reported in the same template ? -have to complete the template with the next ones in order to report a total of 20 largest exposures ?

  • 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_1256
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 08/05/2015

Determining the exposure value for regular way securities transactions

If settlement date accounting is employed in the recording of regular way securities transactions then there are no balance sheet entries between trade date and settlement date. In this case would the impact of unsettled transactions not be included in the exposure value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1255
  • Topic: Leverage ratio
  • Date of submission:

Grandfathering of own funds instruments

Is buying back parts of an issued Tier 1 instrument that do not meet the requirements of Article 53 in Regulation (EU) No 575/2013 (CRR) but are eligible for grandfathering possible, or would it make the remaining outstanding amount disqualified for grandfathering? This question is similar to Question 2013_18, but keeps the contract of the instrument unchanged.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1253
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 24/10/2014

wrong behaviour of constraint v1141_m (and v1142_m) (COREP: C_16.00.a)

v1141_m: if {r020,c070} > 0 then {r030,c010} > 0 or {r030,c020} > 0 or {r030,c030} > 0 or {r040,c010} > 0 or {r040,c020} > 0 or {r040,c030} > 0 or {r050,c010} > 0 or {r050,c020} > 0 or {r050,c030} > 0 or {r060,c010} > 0 or {r060,c020} > 0 or {r060,c030} > 0 or {r070,c010} > 0 or {r070,c020} > 0 or {r070,c030} > 0 or {r080,c010} > 0 or {r080,c020} > 0 or {r080,c030} > 0 or {r090,c010} > 0 or {r090,c020} > 0 or {r090,c030} > 0 or {r100,c010} > 0 or {r100,c020} > 0 or {r100,c030} > 0 or {r110,c010} > 0 or {r110,c020} > 0 or {r110,c030} > 0 or {r120,c010} > 0 or {r120,c020} > 0 or {r120,c030} > 0 Apparently the constraint also triggers an error when {r020,c070} = 0 which shouldn’t be the case according to the label and syntax of the formula. the same remark concerning v1142_m (similar formula)

  • 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_1252
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 24/01/2022

v0679_m: taxonomy is incorrect.

The validation rule for the RWA of the off-balance sheet items (C43.00 r010, c020) only considers the RWA of the off-balance sheet items subject to credit risk in Total-Standard approach (C 07.00a r080, c220, s001) and the RWA of the off-balance sheet items subject to credit risk in Total-IRB Approach to capital requirement with own estimates of LGD and/or conversion factors (C 08.01a r030, c260, s001). Should the RWA of the off-balance sheet items subject to credit risk in Total-IRB Approach to capital requirement without own estimates of LGD and/or conversion factors (C 08.01a r030, c260, s002) also be considered in this 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_1251
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 03/10/2014

First time application of country-by-country reporting – interaction between Article 89 paragraphs (1) and (2)

How should the provisions of Article 89 of Directive 2013/36/EU (CRD), and in particular paragraphs (1) and (2) be applied. In addition, what are the implications for institutions whose financial year is not aligned with the calendar year? How do the provisions in paragraphs (1) and (2) interact with the requirement in paragraph (4) according to which the published information shall be audited in accordance with Directive 2006/43/EC.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1250
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 06/06/2014

What is ‘turnover’ for the purposes of Country-by-Country reporting?

Could the EBA clarify what would be considered ‘turnover’ for the purposes of country-by-country reporting in Article 89(1) of Directive 2013/36/EU (CRD)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1249
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 06/06/2014

Definition of ‘establishment’ for the purposes of Country-by-Country reporting – scope of consolidation

What would be considered an ‘establishment’ for the purposes of country-by-country reporting in Article 89(1) of Directive 2013/36/EU (CRD)? For the purposes of consolidation, should the prudential or the accounting scope of consolidation be applied?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1248
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 06/06/2014

C 09.03 - Calculation of the breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

Suppose that a bank has an exposure an own funds requirements to country A of € 10,000 while the bank’s total exposures total own funds requirements (i.e. the aggregate exposure aggregated own funds requirements to all countries) is € 500,000. In addition, let’s say that the bank’s own funds is € 80,000. Would this mean that for the purposes of template C 09.03, under the sheet related to country A, the bank is required to report the amount of € 1,600 (i.e. (€ 10,000 / € 500,000) x € 80,000)?Is the method above correct to calculate total own funds requirement for credit risk of relevant credit exposures by country or are there any guidelines issued by the EBA or found in 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_1247
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Inclusion of interim profits in CET1

If a credit institution includes interim profits in Common Equity Tier 1 capital (with the prior permission from the competent authority in accordance with Article 26(2) of the CRR), can the institution decide that in the following interim period it will not apply for a permission concerning interim profits for that (current) interim period, but to use the (previously permitted) amount of interim profits for the previous interim period? For example, a credit institution received a prior permission from the competent authority and included interim profits reported on 30 June in its CET1 capital. When calculating CET1 capital on 30 September, can it choose not to apply for a prior permission from the competent authority to use interim profits reported on 30 September and, instead, include the amount of interim profits reported on 30 June (the same amount it has included in the calculation in the previous quarter)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1242
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 08/05/2015

Leasing: Residual value risk

In the calculation of the exposure value for residual value risk of leased assets, is the "residual value" that has to be multiplied with 1/t (a) the residual value on the date of calculation / the reporting date or (b) the estimated residual value at the end of the lease term?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1241
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 06/03/2015

FINREP: Definition of „Non-Financial Corporations” in Template 6 – Breakdown of loans and advances to non-financial corporations by NACE code

Should this table include deals with non-financial corporation as defined in Annex V, Part 1, Paragraph 35 (e) or all deals with counterparties with their core business in non-financial sectors (e.g. also including general governments and households as defined in Annex V, Part 1, Paragraph 35 (b) & (f))?

  • 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_1237
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 29/01/2016

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