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List of Q&A's

FINREP Taxonomy 2.5 Templates 04.04/18.00.b Validations

In taxonomy 2.5, are validations v3049_m to v3076_m the correct way round? That is, should the “<=” sign be “>=”?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2899
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Clarification of the collateral amounts

Could you please clarify the amounts which need to be reported in column 150-210 of template C08.01 for funded credit protection and where the institution uses its own LGD estimates? Is this the value which is used in the LGD estimation (taking into account article 181 (1) (e) and (f)) or is it solely the estimated market value (without any haircuts)?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2866
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

FINREP validation rules

Validation rules v1702_m and v1703_m seem to be uncorrect

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2850
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Invalid CRR article reference within leverage ratio ITS (regulation (EU) 2016/428)

The instructions for cells {180;020} and {180;040} of the leverage ratio report 'C43.00 — Alternative breakdown of leverage ratio exposure measure components (LR4)' contained in the leverage ratio ITS make reference to "exposures in the form of covered bonds under Article 161(d) of the CRR". "Article 161(d)" is not a valid reference to the CRR. Is the intended reference 'article 161(1)(d)'?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2843
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Realisation of collateral and unlikeness to pay

Is exposure considered non-performing according to Art 145(b) ITS also in the case where: (i) the debtor is assessed as unlikely to pay its credit obligation without collateral either being repossessed or sold voluntarily; (ii) a voluntary sale is assessed as highly feasible.

  • 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: 2016_2842
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Validation rule v4134_m

According to us the validation rule v4134_m is currently not correct or complete. It compares the rows 010 and 020 (DGS covered and uncovered) from table P02.01 with rows 020, 060 and 120 from table P01.02. It however, does not include the amounts in row 180 in table P01.02 (debt securities issued) although those can also be covered by a DGS (at least in Belgium).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2016_2714
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Validation rule v4574_m

Is validation rule v4574_m correct?

  • 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: 2016_2630
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Reporting transitional adjustments to RWA in C 05.01

We observe different treatments in practice on how transitional adjustments to RWA are reported in template C 05.01. From the reporting instructions we find two interpretations possible: that the whole amount of RWAs is reported or that only the adjustment compared to a fully loaded approach, per se, is reported.

  • 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_1657
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Validation Rule v3812_s

This validation rule indicates that column 010 of C43.00a should be positive or equal to zero. For row 060; this amount could be negative in case of portfolio of repos that fulfill conditions of Article 429 - 11.

  • 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: 2015_2444
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Deposits reported in P 01.02 and in P 02.01

This question aims to clarify the validation rule v4134_m of the Funding Plan template. This validation rule states that the total deposits reported under "P 02.01 - Insured and uninsured deposits" must be equal or smaller than the deposits reported on lines 020, 060 and 120 of the frame "P 01.02 - Liabilities". Due to several reporting issues we intend to clarify if the total deposits reported under "P 02.01 - Insured and uninsured deposits" only refer to retail deposits under the Article 411.2 of CRR

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2425
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Differentiation between specialised lending and sme exposures within exposure class corporates

The exposure class 'corporates' is splitted into sme, specialised lending and other corporates. Where must an institution report specialised lending exposures, that are at the same time exposures to sme? The implemented sme definition only the annualised returns (< 50 mln. EUR). Specialised lending exposures are identified through the rating methodologies, that have been applied to determine a credit quality.

  • 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: 2015_2259
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Template C 17.00 (OPR DETAILS) – Reporting of loss adjustments

How should a positive or negative loss adjustment be reported in template C 17.00 of Annex I of Regulation (EU) 680/2014 (ITS on Supervisory Reporting)? In particular, how should it be reported in the loss-size buckets (rows 920 – 924 of the template)?

  • 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: 2016_2867
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

C 04.00 (CA4) form rows 740 to 810 - capital buffer reporting

Do rows 740 to 810 of the CA4 form report monetary values or percentages (buffer rates)?

  • 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: 2015_1959
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Reporting of positions in closely correlated currencies (CRR Art. 354)

Template C 22..00 (MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) wrongly assumes that any pair of currencies closely correlated (row 020) can only be two non-reporting currencies. In fact, one of them can be the reporting currency of the reporting institution. This requires change of the title of the aggregate row 010 as well of the common title of columns 060-080.

  • 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_1318
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Risk weighting under standardised approach of an exposure secured by mortgage on residential property being constructed by the borrower (self-build) during the period of construction

Where a residential property is being constructed, and the mortgage loan finances both the construction and subsequent occupation of the property, and also provided that the loan is at all times fully and completely secured by the property in its current condition, for risk weighting purposes it is subject to Article 125 (1) (a) as “residential property which is or shall be occupied or let by the owner”, further assuming it also complies with the conditions in paragraph 2 of the Article, would  the 35% risk weight apply under that Article during the construction period as well as during occupation of the completed property?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2304
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Capability to perform an impact analysis for 15 consecutive business days for extensions and changes of internal approaches for market risk

Do the regulatory technical standards for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements (Delegated Regulation (EU) No 529/2014, as amended by Delegated Regulation (EU) 2015/942 for market risk) imply that institutions using internal approaches for market risk shall have the capability to perform a parallel run for 15 consecutive business days for all model changes in their market risk models, such that the materiality of the extension or change can be assessed in accordance with Article 7a(1)(c) of that regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2015/942 - RTS on materiality of extensions and changes in internal approaches for market risk
  • ID: 2016_2763
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 27/01/2017

Reporting of inflows for term deposits with option for early withdrawal

Which inflow rate should apply to term deposits maturing beyond the 30 day horizon for which the depositor (being the reporting institution) has the option to withdraw its deposit without notice period?

  • 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: 2015_2112
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017

Review and validation of criteria for the use of a reduced number of parameters

For purposes of internal independent review and annual validation of the netting methodology, can the testing be based on historical data from the most recent 100 trading days for the same or similar valuation inputs?

  • 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: 2016_2949
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017

Exclusion of centrally cleared transactions

How should the terms ‘clearing member’ and ‘client’ be understood for the purposes of Article 382(3) of Regulation (EU) No 575/2013 (CRR)? In Article 382(3) CRR, are clients’ transactions excluded from the perspective of the client only or from both perspectives of the client and the clearing member?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3009
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017

Offset of Additional Value Adjustments (“AVA”) against Expected Loss (“EL”) under Article 159

Could the EBA advise whether the reference to “provisions” within the answer to Q&A 2014_933 and 2014_950 refers to specific credit risk adjustments (“SCRAs”)? If so, could the EBA advise if there are any restrictions to the application of AVA against EL as the existing text and level 1 text could be read that any AVA on an IRB exposure would be eligible for offset under Article 159.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1835
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017