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List of Q&A's

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

NSFR - Reporting of certain committed facilities in C 80.00

  Should committed facilities (Annex XII, C 80.00, r1060), the residual contractual maturity of which is equal or longer than six months, but which can be drawn down at any time regardless of their (residual) contractual maturity, be reported in column 0010?

  • 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_6334
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

New Pillar III ESG Template 1

In Template 1, we see that sector “I – Accommodation and food service activities” in row 51 is included in the “Exposures towards sectors that highly contribute to climate change”. The asterisk to the latter further specifies: “In accordance with the Commission Delegated Regulation (EU) 2020/1818 supplementing regulation (EU) 2016/1011 as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks -Climate Benchmark Standards Regulation - Recital 6: Sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006”. Sector I is not included in the asterisk as one that highly contributes to climate change. We wonder if Sector I is correctly categorized as a sector that highly contributes to climate change in Template 1, and if the exposures in this row should roll up into the subtotal of row 1, as implied by that template.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6653
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2023

FINREP - v10612_m in F 18.00

Vorremmo sottoporvi un dubbio in merito alla validation rule v10612_m: La regola verifica che i “di cui” per Stage (per i bonis esposti nel F 18.00 alle colonne c0141, c0142 e c0143) corrispondano alla colonna di totale c0140. Il controllo viene effettuato anche sulla riga 0480 che, al suo interno, contiene gli accantonamenti per “Altri impegni dati“ valutati ai sensi dello IAS37 IFRS4 (referenziati nel template F 09.1.1 in colonna 0110) non ripartibili per stage. Il totale bonis e non performing presente in colonna 0130 dell’F 18.00 è invece confrontabile con il totale presente nella Riga 0170 dell’F 09.1.1). Translation We would like to ask a question about the validation rule v10612_m. The rule checks that the ‘Of which’ per stage (for performing exposures shown in F 18.00 in columns c0141, c0142 and c0143) correspond to the total column c0140. The check is also carried out on row 0480, which contains the provisions for ‘Other Commitments given’ assessed under IAS 37 IFRS 4 (referenced in template F 09.1.1 in column 0110) which cannot be broken down by stage. On the other hand, the total performing and non-performing exposures in column 0130 of F 18.00 can be compared with the total in row 0170 of F 09.1.1).  

  • 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: 2022_6568
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2023

Definition of EU OV1, row 1 Credit risk (excluding CCR)

Shall the CVA from reporting template CA2, row 0640, respectively from disclosure template EU OV1, row EU 8b, be deducted from EU OV1, row 1 (Credit risk (excluding CCR))?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6308
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/01/2023

Exposure Value in repurchase transaction

Under the accounting framework (IFRS) a repurchase transaction is accounted for as an off balance sheet commitment (encumbrance) for the debt securities given (or 'sold') and a liability for the debt towards the counterparty (representing the future 'repurchase' of the debt securities). With regards to such a transaction we have the following three questions, to confirm that our understanding is correct: A/ Is it correct that for the repurchase operation the final exposure value is to be calculated using the following elements:      E = the (dirty) market value of the debt securities given      C = the (dirty) cash borrowed in respect of the repurchase operation B/ Is this final exposure value E* to be presented as an counterparty credit risk on balance sheet exposure? C/ Does the debt securities itself also still have to be included as seperate exposures (with their respective risk weighted assets) (or does the calculated exposure value for the repurchase operation replace the direct exposure on the debt securities)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6605
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Reporting allocation of overdrafts from financial customers in template C74.00

Where shall overdrafts from financial customers be allocated in LCR C74.00 template?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6599
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Encumbrance of assets

If the reporting institution has a HQLA pledged as collateral for a punctual transaction without any additional liquidity movement (no cash leg) for two days on the reporting date, should this asset be considered buffer as it will be unencumbered within the following 30 calendar days even if in the reporting date it is encumbered? should it be reported as inflow for two days and then as buffer? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6574
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Recognition of plots of land as real estate collateral

There are plots of land that are owned by individuals or businesses that have been purchased for future use without (e.g. dowry, future residential building for own use, commercial exploitation, etc) but without any current indication of what its use will be. It is a form of investment without any current indication of its exploitation. These plots of land are usually in the form of additional collateral for personal loans or business loans. Can these be recognised as commercial real estate collateral under article 126 if all minimum requirements are satisfied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6566
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Deposit broker

If the original depositor is a PIC, could be classified as a deposit broker?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6540
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Treatment of Non Retail deposits (with a residual maturity of less than 30 days where payout has been agreed) on the LCR outflows template.

We would like to confirm where Non-Retail deposit balances, with a residual maturity of less than 30 days where payout has been agreed, should be reported on the LCR outflows template?  There is no specific row on the outflows template for these balances to be reported. In order to receive 100% outflow weighting should they be included with the Retail balances in Row 1.1.1.2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6493
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Amortised amounts of tier 2 capital instruments as source of ASF

Can the amortised amounts of tier 2 capital instruments (as per Article 64 CRR) be included among other capital instruments (as per Art. 428o (d) CRR) for the purpose of calculating available stable funding (Part Six, Title IV CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6389
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

LCR treatment of deposits placed with other credit institutions

What is the LCR treatment of deposits placed with other credit institutions where the depositing credit institution neither reconciles with the deposit-receiving institution nor further examines the nature of the deposit?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6341
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Calculation of own funds requirements for operational risk under BIA

Under the Basic Indicator Approach used to calculate own funds requirements for operational risk, how should the interest revenues from impaired loans be considered in the calculation of the Relevant Indicator (RI), namely, on the gross carrying amount of the loans or on the net amount i.e. after the deduction of the result on specific provisions or impairment losses for interest on impaired loans?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6092
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Resolution planning for an established subsidiary part of a cross-border group with no Resolution College established

Please specify how the tasks referred in Article 88(1) of the Directive 2014/59/EU (BRRD) should be carried out in practice in case the group-level resolution authority has not set up a Resolution College? Should the resolution authority prepare and maintain resolution plan on an individual basis in respect of a subsidiary failing under its jurisdiction, which is part of a cross-border group, in case the Resolution College for the group has not been set up yet?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5403
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as Rejected Q&A: 16/12/2022

When to apply CCF to residential mortgage off balance sheet exposure

For off balance sheet exposures, when Article 125(2)(d) references 'the part of the loan' that is less than or greater than 80% of the property value, does this refer to exposure, or gross loan balances. Therefore, should the required CCF be applied before or after comparing the balance commitment to the property value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6563
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 30/11/2022

Minimum loss coverage for non-performing exposures under Article 469a

Where the terms and conditions of an exposure which was originated prior to 26 April 2019 are modified in a way that increases the institution’s exposure to the obligor, are all exposures to the obligor that was originated prior to 26 April 2019 also considered as having been originated on the date of the modification and subject to the provisions on the minimum loss coverage for non-performing exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6192
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 21/11/2022

Questions on final draft implementing technical standards (ITS) on Pillar 3 disclosures on Environmental, Social and Governance (ESG) risks - template 10

Should the timelines of template 10 align with the EU Taxonomy timelines? And is it allowed to report exposures in template 10 that later will be considered EU Taxonomy aligned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6538
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 11/11/2022

Residential Immovable Property

Paragraph of ANNEX XL - Instructions for disclosure of ESG risks states that "Institutions shall include in this template information on exposures in the banking book (including loans and advances, debt securities and equity instruments not held-for-trading and not held-for-sale), towards non-financial corporates, on loans collateralized with immovable property and on repossessed real estate collaterals, exposed to chronic and acute climate-related hazards, with a breakdown by sector of economic activity (NACE classification) and by geography of location of the activity of the counterparty or of the collateral, for those sectors and geographical areas subject to climate change acute and chronic events." It is not entirely clear to us if retail residential mortgages are in scope of template 5 for Physical Risk Discjosures? or if only loans towards NFCs shoudl be taken into account? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6514
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 11/11/2022

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