Search for Q&As Submit a question

List of Q&As

Collateral swap in case of Domestic Central Bank Counterparty

With the Amended Delegated Act 2018/1620, what are the run off rates and where collateral swaps with central bank counterparties must be reported ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5190| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 27/03/2020

Credit for consumption

How should "Credit for consumption" be interpreted for reporting in FINREP templates 5.1, 7.1, 18, 19 and 20.4? There appears to be two plausible and defendable means of determining the intended scope.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5167| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 10/03/2020

Reporting of the Undrawn limits of credit cards and overdrafts in F09.01.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given.

Where to report the Undrawn limits of credit cards and overdrafts? Should the Undrawn limits of credit cards and overdrafts be shown in F 09.01.1 row 10 (Loan commitments given) or in row 170 (Other commitments given)?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5159| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 04/03/2020

Reporting of (committed) credit and liquidity facilities in the C 66.01 maturity ladder template

Are the committed facilities to be reported in row 1090 (under ID 4.1) of the C 66.01 maturity ladder template strictly limited to the committed credit and liquidity facilities referred to in Article 31 of amended Delegated Regulation (EU) 2015/61 or should institutions consider a broader scope of such facilities?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5157| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Treatment of impediments to the availability of assets and cash inflows in the C 66.00 maturity ladder template

How should potential impediments to the availability of assets and cash inflows be considered in the C 66.00 maturity ladder template?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5156| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Netting of cash flows in the C 66.00 maturity ladder template

Can institutions report cash flows on a net basis in the C 66.00 maturity ladder template, in particular where such netting of cash flows is explicitly allowed for the purpose of the calculation of the Liquidity Coverage Ratio (LCR)?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5155| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Reporting of cash flows related to ‘forward starting’ transactions in the C 66.00 maturity ladder template

What are the exact requirements for the reporting of cash flows related to ‘forward starting’ transaction (transactions already agreed and valid as of the reporting date, yet producing both start and end cash flows in the future) in C 66.00 maturity ladder template? Would it be possible to report the start leg and end leg of a forward starting transaction in the same row?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5154| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Reporting of interest-related cash flows in the C 66.00 maturity ladder template

What are the exact requirements for the reporting of interest-related flows in the C 66.00 maturity ladder template?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5152| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Reporting of cash flows related to ‘extraordinary’ and one-off transactions in the C 66.00 maturity ladder template

What are the conditions for inclusion of cash flows related to ‘extraordinary’ and one-off transactions in the C 66.00 maturity ladder template?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5151| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/03/2020

Reporting of ceded assets, that are part of a cover pool, in asset encumbrance.

Shall cell F32.04, r100, c040 be opened?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5142| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 25/02/2020

EBA validation rule v4859_m: [C 24.00 (c030;040;050;060)] {r100}

The prevailing implementing technical standards (Commission Implementing Regulation (EU) No 680/2014 of 16th April 2014 as amended by Commission Implementing Regulation (EU) No 2018/1627 of 9th October 2018 provide guidance, about the breakdown of figures relevant for the calculation of market risk, when using internal models. In the Annex II point 5.7.1 - General Remarks, is stated: "142. Generally, the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome". Considering that the separate reporting of specific and generic risk, for equity instruments, would be unduly burdensome and low material, it is not foreseen by the structure of the model applied, therefore we judge that total amounts for general and specific risk should be checked against total positions only. This feature has never been reviewed during the assessments and extensions of the model.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5082| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 15/01/2020

Counterparty breakdown - classification based by immediate counterparty

What is definition of jointly incurred exposures for the purposes of FinREP (Annex V par. 43) ? Are there examples? Can guarantors be regarded as obligors and thus the exposures guaranteed by them as jointly incurred exposures?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_5061| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 23/12/2019

C 70 treatment of multiple currencies

If on the same day for one counterparty, funds in one currency are maturing and new funds are obtained in another currency, should these be treated as new funds or rollovers on the C 70 total template? In the case where the maturing deposit is replaced by more than one new deposit and both have different initial maturities, should the amount in rollover be proportionally spread across both time buckets?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_5058| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 20/12/2019

Validation rules v2815_m to v2823_m between FINREP and AE

Are validation rules v2815_m to v2823_m between FinRep and AssetEncumbrance plausible if an institution has to report significant portfolios as 'held for sale' in accordance with IFRS 5, in particular taking into account the intention of AssetEncumbrance?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4744| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 27/05/2019

Definition of an "exposure" in C 15 instructions

We would like to clarify C 15 reporting requirements. Especially which exposures should be included here in case there is immovable property collateral.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4892| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 02/09/2019

Use of rating before or after transfer in the calculation of the one-year default rates

In a situation where a parent institution (good rating) has issued a full encompassing guarantee for a subsidiary - bad rating, thus supporting the subsidiary before a default event, and preventing (or reducing the risk of) a default – would this constitute a substitution effect due to a credit risk mitigation under paragraph 74 of EBA Guidelines EBA/GL/2017/16?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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: 2019_4598| Topic: Credit risk| Date of submission: 07/03/2019

Incorrect validation rule - deposits guarantee scheme

We think that the validation rule v4134_m is incorrect.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions

ID: 2017_3502| Topic: Supervisory reporting - Funding Plans| Date of submission: 30/08/2017

Exempting foreign currency - denominated required minimum reserves according to Article 493(7) CRR

How is the level of exposures to central bank, in the form of Euro-denominated required minimum reserves in non-Euro Member States, determined for the purposes of Article 493(7) of Regulation (EU) No 575/2013 (CRR)?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3737| Topic: Large exposures| Date of submission: 27/02/2018

Need of prior permission to include minority interest arising from Common Equity Tier 1 instruments issued by subsidiaries located in EU member state and third countries in consolidated CET1 capital of parent institutions established in the EU.

According to Article 26(3) CRR, as amended by Regulation (EU) 2019/876 (CRR2), is a prior permission by the competent authority required in order for a parent institution located in the EU to include in consolidated CET1 capital minority interests, arising from CET1 instruments, issued by subsidiaries located (a) in an EU Member State, or (b) in a third country? The answer should also clarify whether before granting a permission pursuant to Article 26(3) CRR (if such permission is required), the competent authority is required to consult the EBA (as per the third subparagraph of Article 26(3) CRR), as the instruments issued by the subsidiaries in third countries would not be included in the EBA CET1 instruments list.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5129| Topic: Own funds| Date of submission: 17/02/2020

Treatment of CIUs in the standardised approach – Derivatives on CIUs

Title IV Chapter 2 Section 6 and Article 364 (2) b CRR refers to positions in CIUs in general. How shall own funds requirements be calculated for derivative positions with CIUs as underlyings under the standardised approach?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4381| Topic: Market risk| Date of submission: 20/11/2018