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List of Q&A's

Table 7 Validation

German Question (Deutsche Frage): Tabelle F 07.00 Spalte 080 sollte allein schon aufgrund der Benennung und der angegebenen Referenzen abstimmbar sein zu Tabelle F 04.04 Spalte 030. Problematisch ist hierbei jedoch, dass es in Tabelle 7 auch noch eine Spalte 110 gibt, in der beispielsweise der Verbrauch von Einzelwertberichtigungen für noch nicht abgegangene Forderungen zu zeigen wären. Eine solche Spalte gibt es in Tabelle F 04.04 jedoch nicht. Es könnte daher argumentiert werden, dass in Tabelle F 04.04 Spalte 030 der Bestand der Einzelwertberichtigungen um diesen Verbrauch zu erhöhen wäre (dann wäre aber keine Abstimmbarkeit zu Tabelle F 07.00 Spalte 080 oder zu der entsprechenden IFRS-Abschluss-Position mehr möglich) oder dass in Tabelle F 04.04 Spalte 020 der gross carrying amount für abgeschriebene Forderungen den Betrag nach Direktabschreibungen darstellt (dann wäre die Bezeichnung gross carrying amount aber inhaltlich fragwürdig. Aufgrund dieser Konsistenzprobleme sollte der EBA vorgeschlagen werden, dass die Tabelle F 04.04 um eine Spalte 060 „Accumulated write-offs“ zu erweitern ist und die bisherige Spalte 060 in Tabelle F 04.04 zur Spalte 070 wird. Ferner wären für Tabelle F 04.04 die entsprechenden über die Spalten summierenden validation rules anzupassen. English Question: Table F 07.00 column 080 should be reconciled from its name alone, and the references given therein, to table F 04.04 column 030. However, the problem here lies in the fact that in table F 07.00, there is another column 110, in which would be shown, for example, expenditure of specific allowances for debts not yet disposed of. However, no such column exists in table F 04.04. It could thus be argued that in table F 04.04 column 030, the amount for specific allowances should be increased by this expenditure (although reconciliation to table F 07.00 column 080 or to the corresponding IFRS final position would then no longer be possible), or that in table F 04.04 column 020, the gross carrying amount for written-off receivables represents the amount after direct write-offs (although this would then make the accuracy of the term gross carrying amount questionable). Because of this problem of consistency, it should be suggested to the EBA that a column 060 ‘Accumulated write-offs’ be added to table F 04.04, and that the column which was previously 060 in table F 04.04 become column 070. Furthermore, for table F 04.04, the corresponding validation rules for totalling up the columns would need to be adjusted.

  • 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_603
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Validation Rule

Original question: Stimmt die EBA den folgenden validation rules für Spalte 070 zu: F07.00 (c070; r010) = F04.03 (c020; r010) F07.00 (c070; r020) = F04.03 (c020; r020) F07.00 (c070; r030) = F04.03 (c020; r030) F07.00 (c070; r040) = F04.03 (c020; r040) F07.00 (c070; r050) = F04.03 (c020; r050) F07.00 (c070; r060) = F04.03 (c020; r060) + F04.04 ((c020./.c030./.c040); r010) F07.00 (c070; r070) = F04.03 (c020; r070) + F04.04 ((c020./.c030./.c040); r020) usw. bis F07.00 (c070; r180) = F04.03 (c020; r180) + F04.04 ((c020./.c030./.c040); r130) Translated question: Does the EBA agree with the following validation rules for column 070: F07.00 (c070; r010) = F04.03 (c020; r010) F07.00 (c070; r020) = F04.03 (c020; r020) F07.00 (c070; r030) = F04.03 (c020; r030) F07.00 (c070; r040) = F04.03 (c020; r040) F07.00 (c070; r050) = F04.03 (c020; r050) F07.00 (c070; r060) = F04.03 (c020; r060) + F04.04 ((c020./.c030./.c040); r010) F07.00 (c070; r070) = F04.03 (c020; r070) + F04.04 ((c020./.c030./.c040); r020) etc. to F07.00 (c070; r180) = F04.03 (c020; r180) + F04.04 ((c020./.c030./.c040); r130)

  • 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_602
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 29/08/2014

Validation Rules

German Question (Deutsche Frage): Wie sind in den Validation Rules zu Tabelle F 20.05 die Ergänzungen der Tabellenbezeichnungen um die Buchstaben „a“ und „b“ zu interpretieren? Dies betrifft auch die Tabellen F 08.01, F 15.00, F 16.01 und F 16.07. English Question: In the validation rules for table F 20.05, how should the fact that the letters ‘a’ and ‘b’ have been added to the table names be interpreted? This applies also to tables F 08.01, F 15.00, F 16.01 and F 16.07.

  • 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_601
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Validation Rule

German Question (Deutsche Frage): In den Validation Rules wird angegeben, dass der Betrag in Zelle (F 20.04, r140, c030) mit dem Betrag in Zelle (F20.07, r190, c020) identisch sein soll. Während in Tabelle F 20.04 sämtliche loans and advances ausgewertet werden, handelt es sich in Tabelle 20.07 nur um solche loans and advances, die ggü. non-financial corporations bestehen. Eine Identität der Beträge kann deshalb nicht vorliegen. Insofern ist die EBA um eine diesbezügliche Untersuchung der Angabe zu bitten. English Question: The validation rules indicate that the amount in cell (F 20.04, r140, c030) should be identical to the amount in cell (F20.07, r190, c020). However, whereas in table F 20.04, all loans and advances are assessed, table 20.07 deals only with loans and advances to non-financial corporations. Identity of the amounts is therefore not possible. In view of this, the EBA is requested to investigate the details on this point.

  • 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_600
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Table 14 - Fair Value Hierarchy

Warum sind die Felder in Bezug auf AfS Instrumente bei den Accumulated change in fair value before taxes nicht ausgegraut ? Wenn kein change in fair value for the period angegeben werden kann, da sich dieser gem. ITS Part 2.86 lediglich auf die Gewinne und Verluste der Bank bezieht, ist entsprechend ein Ausweis des kumulierten change in fair value für AfS Positionen u.E. nicht sachgerecht.

  • 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_595
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/04/2014

Application of transitional provisions to Additional Tier 1 and to Tier 2 instruments with an incentive to redeem

When all the call options from an AT1 (or T2) instrument which has an incentive to redeem occur during the period that an institution is under state aid and, thus, subject to a ban on exercising call options on own funds instruments, should the AT1 (or T2) instrument be subject to the provisions of Article 489(5) (or 490(5) of Regulation (EU) No 575/2013 (CRR) assuming that the effective maturity date, as defined in Article 491, is the first call date after the referred ban has been removed?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_590
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Own funds requirements for commodities risk

Article 359(2) of Regulation (EU) No. 575/2013 states: “Positions in the same commodity may be offset and assigned to the appropriate maturity bands on a net basis for the following: (a) positions in contracts maturing on the same date; (b) positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.” A Fair Value Option is applied to the positions in the Banking Book. The positions are hedged “back-to-back” in terms of cash flows that are exactly offsetting each other and represent thus a perfect economic hedge. Due to discounting effects positions are not however perfectly netted in terms of market values, and thus in terms of net delta weighted equivalents. Does that still mean that the institution shall assign zero values to all the maturity bands in the Table 1 referring to the Maturity ladder approach, or must the netted cash deltas be assigned to each the maturity band instead?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_589
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Application of specific national filters and deductions when computing threshold deductions

When applying the transitional provisions calculation of Common Equity Tier 1, the threshold deductions exist: (a) associated with non-significant holdings in financial sector entities (FSE) which are covered by Articles 36(1)(h) and 46 of Regulation (EU) No 575/2013 (CRR); and, (b) the ones associated with the significant holdings in FSE and Deferred Tax Assets that arise from temporary differences that are covered in article 470 of CRR. Both take into account theoretical values for a “relevant Common Equity Tier 1” (or “aggregate amount of Common Equity Tier 1” in the wording of 46(1)(a) of CRR which serves as a base for the calculation of the threshold that determines the deductions arising from these assets. Assuming there are specific national deductions and filters subject to transitional provisions to be applied at the Common Equity Tier 1 level pursuant Article 481, how should these be incorporated when determining the “relevant CET1” for the thresholds calculations in both cases?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_588
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 08/05/2014

Bestimmung der Forderungsklasse von Zentralbanken mit Gesellschaftsform Aktiengesellschaft (EN: Determination of the exposure class for central banks that take the form of a public limited company)

In welche KSA- und IRBA- Forderungsklasse sind die Aktien von (EU- Zentralbanken z.B. Griechenland) einzustufen? EN Translation: In which CRSA and IRBA exposure class are the shares of EU central banks (e.g. Greece) to be classified?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_586
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 29/08/2014

Reporting of exposures lower than 300 million EUR

In the final draft ITS on reporting, chapter 3 articles 9.2 (g) and 11.2(g), it says that institutions shall submit the information as specified in Annex VIII according to the instructions in Annex IX related to exposures not considered large exposures in accordance with Article 392 of the CRR, which have an exposure value larger than 300 million EUR. We interpret this as (smaller) institutions shall report large exposures (10%), but not the 20 largest exposures and other exposures, if they do not exceed the exposure value of 300 million EUR. Have we interpreted the reporting rules for smaller institutions correct?

  • 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_585
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 11/04/2014

Reporting of assets that are deducted from own funds but included in the exposure measure in LR calc (template 45.01) in the LR4 (template 43.00)

Where in the LR 4 (template 43.00) should the institution report assets, included in the exposure measure in the LR calc (template 45.01), which are deducted from own funds?

  • 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_584
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:

LE1 column 030 ('LEI code')

What does the legal entity identifier exactly mean? Does it mean LEI applicable in the reporting country?

  • 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_582
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 11/04/2014

Operational Risk (OPR) templates

The suggested questions are related to both operational risk models C 16.00 (OPR) and C 17.00 (OPR Details): -C 16.00 1.-Are the relevant indicators (year X) calculated with the information of the last natural years (from 1 of January of X-1 to 31 of December of X-1) or with the information of the last cycle of 365 days (for 30 June X reporting reference date, from 1 July X-1 to 30 June X)? 2.-If they are calculated with the last natural years, the value of the relevant indicators and the own fund requirements will not change in the reports made during the year. Thus, which cells of the template could be modified among the reports made during the year? -C 17.00 3.-Is there any threshold to report losses or must they be considered losses even when they are negligible?

  • 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_580
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Definition of a retail deposit

According to Article 411(2) of Regulation (EU) No 575/2013 (CRR) a retail deposit means:- a liability to a natural person or to an SME, where the natural person or the SME would qualify for the retail exposure class under SA or IRB approaches; or- a liability to a company which is eligible for the treatment set out in Article 153(4).(plus the limit of 1 million EUR for deposits by enterprisesthat SME or company on a group basis).Article 153(4) relates to the treatment (the correlation formula) of the exposures to companies with the total annual sales (on a consolidated basis) less than 50 million EUR under the IRB approach.Do the criteria from Article 411(2) which relates to Article 153(4) mean that:- only institutions using the IRB approach and the above mentioned treatment in Article 153(4) can treat deposits from companies with the total annual sales (on a consolidated basis) less than 50 million EUR as retail deposit, or- all institutions, regardless of the approach implemented (SA or IRB), can treat deposits from companies with the total annual sales (on a consolidated basis) less than 50 million EUR as retail deposit?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_578
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Remuneration - Secondment contracts

This question regards the application of the remuneration policies of the so called "secondment contracts/assignment contracts" from a third country. In Directive 2013/36/EU (CRD) it is stated (as well as the FAQ) that "the rules also apply to i) subsidiaries established outside the EEA of institutions which have their head office in the EEA and ii) subsidiaries established inside the EEA of institutions which have their head office outside the EEA". If an executive member of a credit institution is "sent" on the terms of a secondment contract by a third country credit institution to a EU member credit institution (which however is not only a subsidiary), do the remuneration policies apply (if the staff member is paid by the third country institution and also on the basis of the contract with the third country institution).

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_577
  • Topic: Remuneration
  • Date of submission:

Determining the exposure value for repurchase transactions for the purpose of calculating the leverage ratio in case the collateral provided doesn’t qualify as eligible according to CRR

How should an institution that uses the standardized approach (for the purpose of calculating the capital requirement for credit risk) determine the exposure value of repurchase transactions with other banks if the collateral provided to the institution doesn’t qualify as eligible according to Article 206 and Article 207 of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_576
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 08/05/2014

Supervisory Reporting (FINREP templates), 40.1 Group structure: “entity-by-entity”

There are two columns Accounting treatment (Accounting Group) and Accounting treatment (CRR Group) with three possibilities to note something. Accounting Group (full consolidation, proportional consolidation, equity method); CRR Group (full integration, proportional integration, equity method). How should institutions deal with the situation that the respective entity is not in both scopes of consolidation => What should note in this case?

  • 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_574
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Specific credit risk adjustments on exposures in default

Taking into account Annex I of the own funds template (worksheet 4, line 100 and 145) it’s clear that IRB Excess (+) or shortfall (-) of defaulted and non-defaulted exposures has to be reported separately. What is not exactly clear is the fact if an IRB Excess for the non-defaulted exposure can for example be taken into account for the defaulted portfolio 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: 2013_573
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Reporting requirement of the “10 largest exposures to institutions” and “10 largest exposures to unregulated financial sector entities”

How should we understand that reporting requirement?

  • 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_572
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 11/04/2014

Reporting of template “SEC DETAILS” on consolidated or/and individual basis. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

Due to conflicting specifications in Annex II instructions and Final Draft ITS there is doubt on which basis the template has to be reported: on consolidated or/and individual basis?

  • 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_570
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014