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List of Q&A's

v09808_m - netting set with IMM and SA-CCR positions

In template C 34.02, the columns current market value (CMV), positive (c0040) and Current market value (CMV), negative (c0050) are to be presented as a sum of the current market values (CMV) of all the netting sets. In order to comply with requirements, the CMVs are to be presented on netting set level. Split between positive and negative CMV presented in columns 0040 and 0050 respectively is done on the netting sets level, however netting set may comprise both SA-CCR and IMM derivatives. An ISDA agreement can cover derivatives that can be either calculated using the IMM or SA-CCR, i.e. a single netting set can be presented in both rows 0030 and 0040. Are the following assumptions correct? In order to comply with the template logic, such a netting set would be split to IMM and SA-CCR parts and CMV will be then calculated for respective splits. Those splits can result in opposite signs. However, as the definition of the template says the CMV shall be calculated on a netting set, the total will be always present only as strictly positive or strictly negative. Then in C34.02 template, total value of the netting sets with positive and negative CMV will reconcile with the total positive and negative CMV of presented approaches (sum of columns 0040 and 0050).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6364
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

v09821_m, v09823_m - Hedging sets

In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.  In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with split of the given risk category into single- and multi-name transactions (e.g. for Equity risk: r0250, r0260, c0050, c0060). The hedging sets can contain both single and multi-name transactions. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but all single name transaction-level MV are negative, therefore the positive CMV would actually be negative? Is it possible to calculate CMV splitting the hedging sets into single and multi-name hedging sub-sets, then determining the CMV on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6363
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

F 44.01 - validation rule v3985_s

How to inform in template F 44.01 of the fair value of certain components (liabilities) of net defined benefit plan assets.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6362
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

EBA/GL/2017/16 Interpretation

Conformity of the  implementation pursuant to Article 152 CRR to EBA/GL/2017/16

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2022_6361
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Exclusion of cash withdrawal services from PSD2

If a provider offers cash ATM withdrawal services, not acting on behalf of one or more card issuers but rather through an agreement with the main payment circuits, shall this type of provision be considered exempt from the PSD2?  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6360
  • Topic: Other topics
  • Date of submission:

Consistency of validation rule v3017_m

What is the rationale of the validation rule regarding the subset of 'central bank eligible' collaterals among non-encumbered collateral received between AE-ADV-2 (F 36.02) and AE-COL (F 32.02), where non-encumbered collateral received are reported under a different presentation structure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6359
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 27/01/2023

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2022_6358
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

Foreign Exchange Risk – Interest Rate Swaps and Forward Rate Agreements in C 22.00

Are Interest Rate Swaps and Forward Rate Agreements, where only one currency is involved, relevant for reporting FX risk in the template C 22.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6357
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

C 34.06 - Counterparty with dual Counterparty Type

In column c0050, a bank should report the type of the counterparty with the following options: QCCP, non-QCCP and No CCP. Where a counterparty which acts as a QCCP for a number of netting agreements and transactions and at the same time acts as a No CCP as well for different netting agreements and transactions, should the counterparty be recorded (a) twice in C 34.06, its total values reported in columns 0070 to 0130 split between the two different types i.e. one line as a QCCP and another as a No CCP; or (b) once with its total exposures be populated in a single line and the counterparty type in c0050 to be populated with QCCP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6356
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/10/2022

Calculation of “Total exposure” and other concepts in G 01.00 (G-SII indicators and EBU items)

It is not clear from the instructions how to calculate the total exposure measure (and other measures) and their relation to the leverage ratio exposure measure reported in C 47.00.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6355
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 15/12/2023

Standardised Approach for Counterparty Credit Risk (SA-CCR) exposure value for a netting set subject to a margin agreement

For the calculation of the SA-CCR EAD according to the CRR2, does one need to calculate the EAD according to the CRR2 Art 275, 278 (that results into an EAD of €41m in the example), or does one need to apply the BCBS CRE 52 guidance (that results into an EAD of €378m in the example)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6354
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Validation rule v6053_m

According to the validation rule v6053 {F 01.02, r0220, c0010} = xsum ({F 09.01.1, (r0010, r0090, r0170, c0040, c0050, c0060, c0065, c0110)}) there must be an exact match between Row 220 “Commitments and guarantees given” of F 01.02 'Liabilities” and the sum of the provision on off balance sheet exposures of F 09.01.1. 'Off-Balance sheet exposures”. Is it correct to assume that such VR would not be applicable if an entity of the Group has provision on off-balance sheet exposures and, at the reference date, falls under IFRS 5 having as a consequence a representation only on row 0290 “Liabilities included in disposal groups classified as held for sale” instead of row 0220 “Commitments and guarantees given” F 01.02 'Liabilities”? Same phenomenon applies also for validation rule v1385_m: {F 01.02, r0220, c0010} = xsum({F 20.05.b, c0030, (r0010-0030, sNNN)})  

  • 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: 2022_6353
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Complusory reserves in F 01.01

In one of countries where we operate, Compulsory (Minimum; Obligatory) reserves are split in to non-restricted (daily due) and restricted (up to one month => “The maintenance period begins on the second Wednesday of a month and lasts to the day preceding the second Wednesday of the following month”). Shall we present them together in a Template F 01.01 row 0030 column 0010 => "Cash balances at central banks", or restricted part should be presented as Loans and Advances (for example as Loans and Advances at amortised cost => Template F 01.01 row 0183 column 0010)?

  • 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: 2022_6352
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 07/11/2022

Calculation of the CET1 deduction for non-performing exposures (NPEs)

Which date shall be used to determine the applicable factor that is used to calculate the amount determined in Article 47c(1)(a) CRR when the terms and conditions of a non-performing exposure, which was originated prior to 26 April 2019, have been modified by the institution in a way that increased the institution's exposure to the obligor and  the counterparty defaulted before the initial origination of the exposure? The date on which the counterparty initially defaulted or the date on which the exposure was initially originated or the date on which the terms and conditions of the NPE have been modified by the institution in a way that increased the institution's exposure to the obligor?     Additionally, which date is supposed to be considered if the default of the exposure/counterparty occurs after the initial date of origination of the exposure and before an increase in amount of exposure? The date of default or the modification date?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6351
  • Topic: Own funds
  • Date of submission:

Interest-income on credit impaired financial assets (template F 16)

Template F 16, r0280, of which: interest-income on credit impaired financial assets: if a financial asset was credit impaired during for example Q1, Q2, and Q3, but during Q4 became performing again, should we still report the interest-income reflected on this row in the Q4-reporting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6350
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

C40 LR1 report Column 0010, 0020

There is a clarification given on Single rule Q & A 2014_1131 that there are 2 accounting standards. IFRS and national GAPP. IFRS guidelines for FINREP reporting Annex XI,  For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet. Thus, IFRS does not permit accounting balance sheet value to be reported net of mitigation of collaterals or margin amounts. In general GAAP accounting also does not permit accounting balance sheet value to be reported net of mitigation of collaterals or margin amounts. As the guidelines are applicable to SFT positions, net amount of cash collateral or security have to be reported. The same are applicable for other on balance sheet positions to be reported in C40, in Column 0010, 0020. Keeping in view of the above, request for clarification what is likely to be the amounts to be reported in Column 0010 from Column 0020.    

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6349
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

[none]

When Institutions calculated the value of exposure value pre-CRM according to Standard approach for counterparty credit risk should it consider as for every counterparty there aren't any margin agreement and collateral exchanged (Variation Margin)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6348
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

Instruments contemplated by Article 104(2)(i)

Pursuant to Art 104(2)(i) CRR, what is meant by 'options, or other derivatives, embedded in the own liabilities of the institution or from other instruments in the non-trading book that relate to credit or equity risk'. Does that mean capital instruments with embedded optionality like hybrids?   Kindest, Scott

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6347
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

C 70.00 (AMM)

For new or renewed operations in C70-Template, we reported the carrying amount of the operation, namely, the principal amount of the operation plus the amount of accrued interest not yet paid to the client. However, for operations due or canceled early in the month, we only inform the principal amount of the operation and not the interests that have already been paid to the client. Is this interpretation correct regarding the consideration of interests?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6346
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Encumbrance duration of reverse repo in NSFR when the received collateral has been sold short

When the received collateral through a reverse repo has been sold outright, what should the encumbrance duration for the reverse repo be?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6345
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 20/01/2023