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List of Q&A's

Operational Deposits Arising From The Provision of Operational Services (Clearing, Custody and Cash Management)

How should firms assess/identify the presence of 'operational limitations that make significant withdrawals within 30 calendar days unlikely' and the level of funds that are 'required for the provision of operational services'?

  • 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: 2016_2647
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 28/10/2016

‘Indirect holdings’ in capital instruments issued by financial sector entities (CRR Article 4 paragraph 1 subparagraph 114).

The definition of indirect holdings requires that the institution performs an internal assessment in order to determine if, in the event the capital instruments issued by the financial sector entity were permanently written off, the loss that the institution would incur as a result would not be materially different from the loss the institution would incur from a direct holding of those capital instruments. Can the institution use stress scenarios that are already utilised by the institution for internal risk management purposes when making this assessment?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2783
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 28/10/2016

Market Risk Netting Under Article 331 (2)

Does Article 331(2) apply to both notional positions produced from a futures contract as per Articles 328 or just to the positions created in the underlying instrument, or just to the position created in a notional instrument that matures on the delivery date of the futures contract? For example a bond future produces both a notional position in a deliverable bond and a notional position for the cash movement at the future expiry.a) Does Article 331(2) apply to both of these notional positions, or just to the notional position created in the deliverable bond, or just to the notional position created for the cash movement at the future expiry?b) Please confirm if the notional position created in the deliverable bond should be included in a net bond position calculation under Article 327(1), and excluded from netting under Article 331(2), while the notional position created for the cash movement should be excluded from Article 327(1) and included in Article 331(2) netting with only other cash movement notional positions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2533
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 28/10/2016

Appropriate risk weight for speculative immovable property financing

Does CRR Article 128 (1) provide that a 150% risk weight need not be applied to one or more exposures listed in CRR Article 128 (2) - including speculative immovable property financing - or that are identified in accordance with CRR Article 128 (3), on the basis that it would not be appropriate to apply that rate to such an exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2268
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/10/2016

Treatment of cases spanning more than one year in Own Funds templates (Annex I - Reporting on own funds and own funds requirements) - Six month tables

COREP template C 17.00 – OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details) summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.What we would like to clarify, is the treatment of incidents that span more than one year, and consequently get recorded in the books of the institution in parts for several years. The question is whether the amount included in this table should be the incremental amount (i.e. the amount that was recorded for an incident only in the last 12 months from the report date, and which could mean positive amounts, due to possible reversals of previous provisions) or if it should be the sum of the amounts (i.e. cumulative amount) recorded for that incident over all the years, including the latest amount which was recorded in the last 12 months.Please find here three examples illustrating the above question, for which we would like a clarification:An operational loss event (e.g. a lawsuit against the bank where the probability of a negative outcome is >50%) that was recorded (date of input) in 2009 with an initial estimated loss amount (Potential Loss) of € 300 (28/01/2009).30/11/2011The estimated loss amount has been increased by € 200 to € 500Question: 30/11/2011 and next 12 months, should they report € 200 or € 500?At final Settlement (30/06/2014):Case 1:Case closed – final settlement – The bank paid € 400 (favourable)Question: 30/06/2014 and next 12 months, should they report - € 100 (negative) or € 400?Case 2:Case closed – final settlement – The bank paid € 600 (unfavourable)Question: 30/06/2014 and next 12 months, should they report € 100 or € 600?A fraud incident that was recorded (date on input) in 2010 with an initial loss of € 80 (25/05/2010).02/02/2011 – the loss has been increased by € 50 to € 130.Question: 02/02/2011 and next 12 months, should they report € 50 or € 130?Incidents that are recorded (date of input) with an initial loss amount lower than € 1000 (Lowest threshold) but their loss amount is rising above € 1000 in the subsequent years.Question: How should this be treated? Should the full amount of the loss appear on the first time the incident 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_1694
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Group Solvency report: The content of the column 390 “Contributions to consolidated result” of the Group Solvency report

Does the content of column 390 “Contributions to consolidated result” of the Group Solvency report correspond with the row 130 “Retained earnings” of the CA1 report (C 01.00) on group level (subgroup level) or rather with the sum of the rows 280 “Cumulative gains and losses due to changes in own credit risk on fair valued liabilities” and 285 “Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities” of the CA1 report on group level (subgroup level)?Expressed as formulas: {GS;c390} = {CA1;r130} or {GS;c390} = {CA1;r130} + {CA1;r280} + {CA1;r285}? (Regulation (EU) No 680/2014 [ITS on Reporting], Annex II, C 06.00, c390)

  • 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_1398
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Group Solvency report: Reporting of the columns 300 to 350 and columns 360 to 400

Shall a consolidated entity which contributes to the group’s consolidated own funds by minority interests but also by other means exclusively report columns 300 to 350 or additionally columns 360 to 400? (Regulation (EU) No 680/2014 (ITS on Reporting), Annex II, C 06.01 / C 06.02, c300 to c400)

  • 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_1396
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

F 07.00: Validation Rules v0817_m, v0818_m, v0822_m, v0823_m, v0824_m

We assume that validation Rules v0817_m, v0818_m need to be corrected for F 07.00, column 110 and v0822_m, v0823_m, v0824_m for F 07.00, columns 080 and 090, because the sign >= does not work in this case for negative numbers. Can you please confirm?

  • 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_1331
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Template F 22.01: Fee and commission income and expenses by activity

Should a bank report all commission income / expenses in template F 22.01 or just the part related to off balance sheet activities?

  • 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_1219
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Is validation rule v3897_s correct and shall be strictly adhered to?

There are a number of sign validation rules which are applied to the FINREP templates. Are all of them correct and shall be strictly adhered to?For example, rule v3897_s requires that all items in template F 01.01 (FINREP) are greater or equal to 0. This validation may not be applicable for some of the items in template F 01.01, such as row 250 – 'Fair Value changes of the hedged items in portfolio hedge of interest rate risk'. As this item (row 250) may be a contra-asset account (i.e. reducing the total assets balance), shall it nevertheless be reported as a positive number (as required by the validation rule)?

  • 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_1204
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Template C 09.02 (CR GB2) – Row 040 Specialised lending under the slotting criteria

Should 'Corporate Specialised Lending' reported within row 040 exclude specialised lending under the slotting criteria?

  • 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_1185
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

CA3 - rows 110 and 120

CA3 row 110 and 120 only need to be populated if a competent authority decides that a bank has to meet a higher target total capital ratio (r120) or has an impact on the total capital ratio (r110). Can you please advise, whether these cells need populating or not.

  • 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_1136
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

F 09.02 & F 13.01: Maximum amount of the guarantee that can be considered

Please we would like to know what the differences are between the reporting of the "maximum amount of guarantee that can be considered" in templates F 09.02 and F 13.01. Why are these concepts not equal?In question ID 2013_338 it is stated:(...) since for F 09.02, the amount is the maximum amount the counterparty could have to pay if the guarantee is called on, and in table F 13.01, the amount of guarantee shall not exceed the carrying amount of the related loan.

  • 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_1129
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Validation Rule v0629_m

Can rule v0629_m be valid in any case? Namely, in some cases (see background information) the own funds requirements for foreign exchange stipulate that the foreign exchange risk be calculated as the sum of its overall net foreign exchange position and its net gold position in the reporting currency, multiplied by 8 %, not by 12,5%, which is what the rules, in effect, validates.

  • 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_1107
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Validation Rule v2245_h

Should column 090 from form CR GB 2 still be in the scope of validation rule v2245_h? As the rule validates a sum and column 090 contains percentages it cannot be 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: 2014_1101
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Validation Rules: v0219_m, v0221_m

Both rules validate the Surplus(+) / Deficit(-) of certain capital:- v0219_m for CET1 Capital- v0221_m for T1 CapitalThe question stands: Should the range of percentages from Article 465 CRR be implemented in the validation rules for each type of capital or should the fixed percentages in Article 92 CRR be upheld?

  • 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_1093
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

FINREP - F 09.02 Loan commitments, financial guarantees and other commitments received

FINREP Template F 09.02 - Financial guarantees received. In the position 'Financial guarantees received' items that meet the definition according to article 58 of Annex V of the ITS on Supervisory reporting should be reported. In this context, in case the bank has a surety contract, which is a legally binding agreement that the signee will accept responsibility for another individual's contractual obligations (usually the payment of the loan contractual obligations if the principal borrower falls behind or defaults), should it be reported in the position 'Financial guarantees received' or in the position 'Other Commitments received'? Also in case of several surety contracts related to one loan obligation that aren't prioritized and have equal legal force which allocation principles should be applied according to article 63 of Annex V of the ITS on Supervisory reporting.

  • 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_1065
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Material holdings and deferred tax below the deduction threshold

Under article 48 CRR, material holdings and deferred tax assets that are below the 10% / 17.65% CET1 thresholds should be risk weighted at 250% (thus increasing capital requirements rather than being deducted from capital resources). However, there is nowhere on template CA2 to report these items, so where should we report them in order to increase our capital requirements accordingly? CA4 asks for the thresholds to be reported but there is nothing on that template that applies the risk weights or increases requirements.

  • 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: 2013_670
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Deferred tax assets that rely on future profitability and that arise from temporary differences

According to art. 469(1c) CRR, the deferred tax assets that arise from temporary differences can be deducted in a transitional manner using the percentages specified in art. 478(2) CRR. The residual amount that is not deducted, is to be risk weighted at 0% (art. 472(5) CRR). Whereas for other regulatory deductions there is a specific row in template C 05.01 that is used to indicate the transitional amounts, it is not clear where in this template the transitional amounts for deferred tax assets that arise from temporary differences must be indicated. For row 380 is it specifically indicated that it holds the transitional arrangement referred to in art. 470 CRR, while rows 390-420 hold the transitional arrangements related to own funds instruments of financial sector entities where the institution has a significant investments. Row 170 only concerns deferred tax assets that rely on future profitability and do not arise from temporary differences.

  • 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: 2013_225
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Calculation of the threshold for applying the Simplified approach for Additional Valuation Adjustment (AVA).

We are interested in knowing:1. If for the calculation of the thresholds asset and Liabilities under the FVO regime have to be (proportionally) taken into account (indeed, EBA RTS does not explicitly include them within the list of valuation positions for which a proportional calculation of the threshold can be applied- see EBA RTS introduction notes, subsection 3; on the other hand the EBA RTS does not explicitly excluded them). According to our view the answer to this question is yes (art. 34 states that additional value adjustments - calculated according to article 105 - shall apply to all fair value positions and not only to the trading book).2. If the answer to question 1) is yes then we are interest in knowing how to calculate the part that should be taken into account (i.e. the part that is not deriving from the own credit spread movements; the part that has an impact on CET1); we would like to know the criterion that should be used in order to calculate the “proportional part” of these stocks (of asset or liabilities) that is impacting the CET 1.3. If the answer to question 1 is yes and if the bank hedges the “the interest rate component” (that has impacts on CET1 ratio) of the asset or liability at FVO we are interested in knowing if this component has to be taken into account in order to calculate the part of the Assets/Liabilities that is going to be considered for the thresholds calculation?4. Does the answer to question 3 changes if the interest rate component is hedged “back to back” (reference to Q&A n. 29) with external counterparties or only hedged with a “portfolio approach”? Moreover, it is correct to consider as “not back to back hedges” (then a situation in which still the interest rate movements determine some P&L and consequently CET 1 effects) the situation in which there is a hedge back to back with a subsidiary that manages the interest rate risk with “portfolio approach”?5. Which is the meaning of “exactly matching, offsetting positions (art. 105 (14) point 3” to be excluded in the calculation of Simplified Approach threshold? Does it mean only an asset position and the corresponding position took as a liability, that exactly match each other in term of security type and amount (e.g. € 1 mln long position in Google equity stock in the trading book portfolio and 1 € mln short position on Google stock) or the meaning refers also to perfect hedging strategy (e.g. long the stock, short the equity futures with delta =0)?

  • 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: 2015_1715
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 07/10/2016