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List of Q&A's

CR GB 2 - Row 140 – Total exposures

Does the ‘Total exposures’ row in the CR GB 2 template include or exclude ‘Equity’ exposures (row 140)?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_959
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Inclusion of additional value adjustments in the IRB treatment of expected loss

In CRR article 159 we read the following: "Institutions shall subtract the expected loss amounts calculated in accordance with Article 158 (5), (6) and (10) from the general and specific credit risk adjustments and additional value adjustments in accordance with Articles 34 and 110 and other own funds reductions related to these exposures." Due to the wording and the grammatical structure of the above sentence we are having doubts as to which amounts should actually be used in the IRB treatment of expected losses.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_950
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/07/2014

Eligible hedge of Credit Valuation Adjustment (CVA)

Please provide additional guidance on the scope of "other equivalent hedging instruments referencing the counterparty directly"

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_949
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 05/06/2015

Annexe XV and Template F 03.00: data point in r030-c010 doesn't sum up the data point in r090-c010.

For report F 03.00, data point 3.0_030_010 is calculated as a sum of data points 3.0_040_010 through 3.0_090_010.So by right, data point 3.0_030_010 is a parent of 3.0_090_010 ( take note that this is not a validation but just how the point is calculated on the report) If you look at the data point definition, 3.0_030_010 is defined as follows AT_md103 BA_x1 MC_x182 BT_x2 and 3.0_090_010 is defined as follows: AT_md103 BA_x1 MC_x336 BT_x2 The only member who is different is in the MCY dimension - MC_x182 vs MC_x336 However, on inspecting the hierarchy in dimension MCY, x182 and x336 are both children to the parent x282. So if x182 has a condition flowing in, it cannot be mapped to x336 since they both sit at the same level (as children to x282).

  • 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_948
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Annex XV - Validation formulae and FINREP F 02.00

Validation rule v1699_m {r355} = {r010} - {r090} - {r150} + {r160} + {r200} - {r210} + {r220} + {r280} + {r285} + {r290} + {r295} + {r300} + {r310} + {r320} + {r330} + {r340} - {r350}{r300} is accounting hedge. Moreover the formula includes {r310} which is 'exchange differences net' as well as {r340} which is 'other operating income'. This makes sense as typically 'net operating income= all operating income - all operating expenses' but the dimension hierarchy does not capture this. Accounting hedge [dim:MCY|x4] {r300} and Exchange differences [dim:MCY|x150] {r310} should be under [dim:MCY|x501] in the MCY hierarchy. Secondly even though expenses are reduced from total, they should still be under x501 in our opinion. It looks incorrect to put expenses at the same level as x501.

  • 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_947
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Short Positions in Asset Encumbrance

Should the short positions be reported in Asset Encumbrance? Taking into account that a short positions generated due to the sale of a received collateral is considered to be a liability for the reporting entity, seems plausible to include them in template F32.04, specifically in row 070 (collateralized deposits other than repurchase agreements). Nevertheless, this could imply that validations of this template with FINREP are not fulfilled; {F 32.04.a, r070,c010} <= sum({F 08.01.a, r050, (c010-035)}) - xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)}). Notwithstanding, should be pointed out that FINREP's F1.2 Liabilities template has a specific row for short positions (row 030), this reinforces the belief that maybe short positions are not required in Asset Encumbrance reporting or that the F32.04 lacks a row for this category.

  • 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_946
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Table 11.1 - notional amount of derivatives used in two hedge relationshops (fair value and cash flow hedges)

Reporting of notional amount of derivative in more than one hedge relationship: If a derivative (e.g. cross currency swap) is used in two hedging relationships (fair value hedge and cash flow hedge), how should the notional amount of the cross currency swap be reported in Table 11.1? Should the notional of the derivative be reported: a) only once- allocated to one hedge relationship b) reported two times (double reporting)- in both hedge relationship types c) allocated and reported in both hedge relatioship types

  • 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_944
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/03/2015

Choice of method for commodities risk when an entity has 2 different business lines

Is it possible for an entity to chose 2 different methods of calculating requirement for commodities risk whereby the entity has 2 individual business lines that are seperated from each other. 1 being Futures, Options and OTC derivatives and the other being a pure Stock Financing book?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_940
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 12/09/2014

Additional Reporting templates for FINREP (large exposures)

On January 8, 2014 European Commission published an updated Draft Implementing Technical Standards with regard to supervisory reporting of institutions according to regulation (EU) No 575/2013 (attached). Per the article 9 of the document, paragraph (g) as well as article 11 paragraph (g), European Commission stated the following: (g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to 300 million EUR but less than 10 % of the institution’s eligible capital with a quarterly frequency. Questions: 1) The specification above deviates from the current requirements for large exposures, as described per the instructions in Annex IX (ITS), as paragraph (g) requires the reporting of exposures less than 10 % of the institution’s eligible capital. (Whereas Annex IX requires reporting of exposures equal to or exceeding 10% of the institution’s eligible capital (Article 392 CRR). Does this imply that the templates specified in Annex VIII of ITS, which currently refer to Large Exposures, and which are reported under COREP, should be also included in the FINREP financial reporting? 2) As the templates currently specified in Annex VIII of ITS have some of the same references already reported in FINREP (for example, tables 30-31), will EBA be issuing an updated Annex VIII only as applicable for FINREP. If yes, when these temples will be available/when are the institutions expected to report them?

  • 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_939
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Reglamento 575/2013 exposiciones garantizadas hipotecas sobre bienes inmuebles/ Exposures secured by mortgages on immovable property

La parte de la exposición que supere el valor hipotecario dice que le será asignada la ponderación de riesgo aplicable a las exposiciones no garantizadas de la contraparte implicada. Si la contraparte es minorista, cómo puede ser que la parte de la exposición que supere el valor hipotecario vaya ponderada al 75% y la parte que va entre el 80% y el 100% del valor hipotecario vaya ponderada al 100%? ENGLISH TRANSLATION: In Article 124 of Regulation (EU) No 575/2013 (CRR) it says that the part of the exposure which exceeds the mortgage value shall be assigned the risk weight applicable to the unsecured exposures of the counterparty involved. If the counterparty is retail, can you explain how the part of the exposure which exceeds the mortgage value shall have a weight of 75% and the part which goes from 80% through 100% of the mortgage value shall have a weight of 100%?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_936
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/12/2014

Calculation of the own funds requirements for market risk for positions in specific instruments, e.g. weather derivatives, emission certificates and inflation-linked products

How should the own funds requirements for market risk be determined for positions in certain instruments whose main market risks are not covered by the own funds requirements pursuant to Part Three, Title IV of the 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_934
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 19/09/2014

Annex XV Validation rule v0559m does not match the Taxonomy 2.0.1 validation being excuted

Rules Annex XV Rules v0559_m Annex XV The annex lists T1 = C 16.00 a & T2 = C 02.00 What the taxonomy validation is doing Actual validation is taxonomy is referring only to C 02..00 and then checking if same value is same. Issue Validation is not working as it is checking same number

  • 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_927
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Inconsistency between the definition of "accumulated impairment" in paragraphs 46 and 161

Does the definition of "accumulated impairment" includes only allowances as defined in paragraph 46 of Annex V (i.e. FINREP instructions) or both allowances and write-offs taken to Income Statement, as defined in paragraph 161 of the document EBA FINAL draft Implementing Technical Standards On Supervisory reporting on forbearance and non-performing exposures under article 99(4) of Regulation (EU) No 575/2013

  • 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_926
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/10/2014

FINREP template F 18.00 Information on performing and non-performing exposures – applicable approaches

According to point 154 of FINREP instructions (Annex V) when exposures are assessed as non-performing two approaches (“transaction” and “debtor” approach) can be applied. In addition point 155 of Annex V specifies a threshold (20%), which shall be taken into account. 1. Shall the threshold laid down in point 155 be applicable uniformly for retail and non-retail (for example corporate) debtors? a) No. The method laid down in point 155 considers all of the debtor’s exposures as non-performing if its exposures past due by more than 90 days represent at least 20% of its all on-balance sheet exposures. In our understanding this method is stricter than the “transaction approach” (e.g. in the case of retail debtors), but it is less stricter than the “debtor approach” (e.g. in corporate exposures). According to the “debtor approach”, when a debtor has an exposure past due by more than X days, all of the exposures to this debtor shall be considered and reported as past due by more than X days regardless that its past due exposures represents less or more than 20% of all its exposures. Therefore the method laid down in point 155 is less stricter than the debtor approach and so it doesn’t have any significance in the case of those debtors which shall be assessed as NPE according to the “debtor approach” in accordance with Article 178 of CRR (for example corporate exposures). It has significance only in the case of the “transaction approach”. OR b) Yes. The 20% threshold is applicable uniformly for all debtors (retail and non-retail debtors) and therefore only those debtors’ exposures should be considered as past due more than 90 days, whom past due exposures represent at least 20% of all their on-balance sheet exposures. In this case the 20% threshold laid down in point 155 is not an additional rule, it shall be applicable instead of the “debtor approach”. 2. How should the 20 % threshold be calculated? Does it mean that the gross carrying amount of only the past due (> 90 days) parts of the credit facilities or the gross carrying amount of the whole individual credit facilities that have any amounts past due by more than 90 days represents at least 20% of the total on-balance sheet exposures to a debtor? 3. According to point 155 the 20% threshold shall be considered only when the exposure is past due by more than 90 days. Does it mean the threshold shall not be taken into account in other past due categories? For example if a debtor has on-balance sheet exposures past due by more than 30 days the gross carrying amount of which represents 20% of the gross carrying amount of all its on-balance sheet exposures, this threshold shall not be applied and all of a debtor’s exposures shall not be reported in the “30 days < past due <= 60 days” category. Is our understanding right? 4. Point 155 says when a debtor has on-balance sheet exposures past due by more than 90 days the gross carrying amount of which represents 20% of the gross carrying amount of all its on-balance sheet exposures, all on- and off-balance sheet exposures to this debtor shall be considered as non-performing. But it doesn’t say that all exposures to this debtor shall be considered as past due by more than 90 days. Taking also into account the provisions of point 158 and 159, does this threshold work as a kind of debtor approach and pulls together all of the debtor’s exposures into one category? For example the debtor has an on-balance sheet exposure past due by more than 90 days, another exposure past due by more than 180 days and another that is not past due, but its past due exposures represent more than 20% of all its on-balance sheet exposures. In this case should all its exposures be reported in column 090 (Past due > 180 days <= 1 year) or should the exposures be reported separately according to their number of days past due in column 070, 080 and 090?

  • 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_925
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/12/2019

Annex XV - Validation formulae and FINREP F 05.00

In Report F05.00 - Breakdowns of Loans and Advances by Product, there is validation rule the following validation rule: ID: v0875_m {r080} = sum(r010-070) R080 is using MCY dimension's x469, and R010-070 are using x469's children in MC1 hierarchy, except for R070. R070 is using x226, which is not part of the hierarchy but standalone member in MCY dimension. In addition, x469 has x8 as its children which has nothing to do with it.

  • 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_924
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Reporting of two groups of connected clients when one client is considered as the most significant entity within both groups

How should an institution report two different groups of connected clients / which "code" should it use, if one client is considered as most significant entity within both groups?

  • 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_920
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 16/01/2015

F 13.01

According to Annex V , Part 2, paragraph 81(b) and answer to question ID 2013-84 in EBA Q&A process, does the term »institution« refer to the definition stated in CRR? If the answer is yes, does it mean that collateral in the form of debt securities issued by counterparties in sector »General government« are not included in column »Cash [Debt instruments issued]«? Are they included in the column “Rest”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_916
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

F 31.01

Annex XV_Validation formulae with IDs v1030_m, v1031_m, v1032_m, v1034_m, and v1036_m define that the sum of outstanding balances in F31.01 should be equal or less than the balances reported in corresponding rows of other FINREP tables (F 07.00, F 43.00, F 08.01.a in F 09.00) less balances with counterparties from sectors »Central banks« and »General government«. Does that mean that these sectors cannot be reported as related parties? Taking into account the fact that all data in columns of template F31.01 refers to IAS 24.19, could it be assumed that also transactions with other counterparties related to the state (IAS 24.25 in 24.26) are not considered in the template? In case the bank is state-owned these validation rules would not hold out.

  • 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_915
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/10/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 300

Field 300 - Legal Final Maturity Date. Where multiple tranches of the same securitisation are held and these have different Legal Final Maturity dates, what should be reported here?

  • 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_914
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014