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List of Q&A's

Recognition of credit derivatives for protection buyer

An institution purchases protection through a credit derivative against an exposure. Is the exposure value for counterparty credit risk (CCR) for this derivative zero even if the derivative is either not eligible for credit risk mitigation or it is eligible but the institution abstains from using it for credit risk mitigation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_990
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 12/09/2014

FINREP Templates 8.1 and 8.2

Is FINREP template 8.2 a subset of FINREP template 8.1, or is it separate, and therefore the data should not be included within template 8.1?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_988
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 16/01/2015

LCR inflows/outflows for collateralised stock borrow/lend transactions within 30 day window

The LCR reporting templates for Outflows (C52) and Inflows (C53) do not include a section which allows firms to separate reverse-repo and other secured lending/borrowing transactions between those where collateral is re-hypothecated and those where collateral is not re-hypothecated, to cover the reporting institutions outright short positions. How should firms with matched book, fully collateralised stock borrow/stock lend transactions (which mature within 30 days) segregate these transactions from unmatched repo/reverse-repo transactions? The Basel III templates allow a 0% outflow/inflow in such cases (lines 289-295 and 264 of the Basel III implementation monitoring workbook), when the transaction matures in less than 30 days.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_987
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 31/07/2015

Treatment of Exposures to ‘Civil-law associations’

In case of exposures to 2 different partners belonging to a group of connected clients (A). and belonging at the same time to a civil low association (B), as required by the ITS, the exposure to the civil low shall be added to the exposure of each partner. In our example, do we have to add the total civil law exposure (B) (in case we cannot define the pro-quota) to both partners? In this case, when considering the exposure to the group (A) - in the template LE2 - we take two times the same exposure to the civil law.

  • 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_984
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Netting of DTAs and DTLs

1. For the purposes of netting DTAs and DTLs, Art. 38 (5) Regulation (EU) No 575/2013 (CRR) requires a pro rata allocation of DTLs between DTAs which are below the 10%-threshold mentioned in Art. 48 (1) (a) CRR and all other DTAs, which rely on future profitability. With this requirement, it seems that institutions are not permitted to net DTAs and DTLs before they enter into the threshold treatment (as the pro rata relation for the allocation of DTLs has to be fixed already based on those which are below the threshold), which seems to be different from the rules as set out in the Basel III framework. Could the EBA or the EU Commission confirm that Art. 38 (5) CRR indeed requires a different procedure for allocating DTLs to DTAs which rely on future profitability than the one set out in the Basel III text? 2. If the above understanding of the CRR text is confirmed, could the EBA or the EU Commission clarify whether the 10% basket mentioned in Art. 48 (1) CRR may only be filled with gross DTAs or whether an iterative calculation is permissible under the CRR? 3. If the suggested iterative calculation is permissible, we also seek clarification on how and at which point the proportion between the DTLs that may be allocated to DTAs related to temporary differences and those that may be allocated to other DTAs relying on future profitability is established. 3. If the suggested iterative calculation is permissi-ble, we also seek clarification on how and at which point the proportion between the DTLs that may be allocated to DTAs related to temporary differences and those that may be allocated to other DTAs relying on future profitability is established.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_980
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Definition of non-financial corporate credit and liquidity facilities.

Please could you clarify the definition of facilities offered to non-financial corporates to be reported in rows 1230 and 1240 of template 52?

  • 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_979
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Missing activity in NACE code - for agiculure

Dear Sir/Madam! We found out that there is no NACE code in ITS for activity Agriculture. In NACE code are for eg. codes A - Agriculture, forestry and fishing, A2 - Forestry and logging and A3 - Fishing and aquaculture. But there is not code for Agriculture, which could be A1. That you for your answer. Best regards, Tjaša Češnovar BANKA SLOVENIJE Eurosystem Banking supervision Slovenska 35 1505 Ljubljana Phone: +386 1 47 19 341 Faks: +386 1 47 19 727 E-mail: Tjasa.Cesnovar@bsi.si Website: http://www.bsi.si

  • 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_976
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Reporting of Additions (c010) and Reversals (c020) in Table 16.7

In Table 16.7, Additions (010) and Reversals (c020) of impairment on financial and non-financial assets is required to be reported. In accordance with ITS 2. 102, “Additions” shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. “Reversals” shall be reported when, for the ac-counting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income. We interpret the rule above as the additions and reversals (columns 010 and 020 re-spectively) shall be reported NET, NOT gross (for the accounting portfolio or main category of assets). This means that, if the net of the asset impairment for the period is positive (net income) it should be listed as a reversal, and, if negative (net expense), it should be listed as additions. Does it imply, for example for T 16,7 row 030 (Available-for-sale financial assets), if for all available for sale fin assets held by the reporting entity, the impairments for the period exceeded reversals, only net impairment (net of reversals) are to be recorded (and the reversals will be reported blank)? Or is the netting rule only applicable to a sub-portfolio of assets within Available-for-sale financial assets class (e.g. municipal bonds). If the netting rule is applicable for an entire fin asset class group (e.g. Available-for-sale financial assets), the reporting in table 16,7 should equal to the reporting in Table 2, row 480. Please clarify.

  • 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_975
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/07/2015

LCR Sign Convention

What sign convention has to be applied for outflows? Should they be reported as positive or negative figures?

  • 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_971
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Risk Weights for International Organisations

Could you please advise what risk weight/treatments should be applied to International Organisations that are not included in Article 118 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: 2014_968
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/10/2014

Application transitional provisions: Deduction half from Tier 1 and half from Tier 2

The residual amount of specific items (e.g. point (d) of Article 36(1) CRR) shall be deducted half from Tier 1 items and half from Tier 2 items during transitional provisions (see for example 472 (6) and (11) CRR). Please specify the calculation logic to be considered by CRR users.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_986
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 11/07/2014

Transitional adjustments in regards to Goodwill in CA5.1

Please specify where to report the transitional adjustments in regards to Goodwill in CA.5.1 (Transitional provisions).

  • 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_966
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Datos C.15.00 / data C 15.00

Original Question:Cuándo se habla de pérdidas se incluyen las dotaciones específicas? Translated Question:Do ‘losses’ include specific provisions?

  • 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_961
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

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