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List of Q&A's

Taxonomy 2.7.0.1 Validation Rules on FINREP 12.01

According to rule v5054_m, the total of the stage one allowance is limited to the provision for expected losses on household exposures only. Should this rule be superseded by v5554_h? Using the former rule will understate the true amount of the allowance.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2018_3673
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Template CRGB sheet 01 and 02

In Regulation (EU) 2017/2114 amending Regulation (EU) No 680/2014, in Annex II paragraph 3.4, no sheet ‘Total’ is described for CRGB1 and CRGB 2. Only in paragraph 3.4.4.1 a sheet Total is described for CRGB 04.But a release note on taxonomy 2.7 seems to say that a total sheet is now mandatory for CRGB1 and 2. Is it true?There are 63 validation rules between templates C 09.01 and C 07.00 which have an expression similar to this ‘sum({C 09.01.a, r010, c010, (sNNN)}) = {C 07.00.a,  r010,  c010,  s002}’.Additionally, there are 76 new validation rules of type eQuivalence which have an expression similar to this ‘{C 09.01.a,  r010,  c010,  [CEG=eba_GA:x1]} = {C 07.00.a,  r010,  c010,  s002}’.There are also 39 validation rules between templates C 09.02 and C 08.01 which have an expression similar to this ‘sum({C 09.02, r130, c010, (sNNN)}) = {C 08.01.a, r010, c020, s017}’.Which of these rules and how shall these rules be applied successfully?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_3672
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Inconsistency between CRR article 379 and validation rule V4894 (C 07.00)

Where should the free delivery exposures meeting the eligibility as per Article 379 CRR, table 2, column 4 (i.e. getting a 1250% risk weight) be reported in template C 07.00? 

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_3669
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Validointisääntö v4821_m, C 08.02 (Validation rule v4821_m, C 08.02)

Original questionMistä sääntelystä tai asetuksesta nousee ylärajoite LGD-osuudelle (omia LGD-estimaatteja käytettäessä)? Mitä arvoja sarakkeessa 230 tulisi raportoida lomakkeella C 08.02 tilanteessa, jossa vastapuoliluokan painotettu keskimääräinen LGD > 100 %?Translated questionWhat rules or regulations raise the upper limits of the LGD amount (when using own LGD estimates)? What values in column 230 should be reported in template C 08.02, when the weighted average LGD of the obligor grade is > 100%?

  • 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: 2018_3661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Reporting C67 - "Concentration of funding by counterparty ", why the product coding has not evolved compared to the new EBA text ?

As part of the implementation of the new ITS on reporting on the ‘Additional Monitoring Tools’ to put into production by the end of March 2018, we found that in the specifications of new taxonomies for reporting C 67.00 – ‘Concentration of funding by counterparty’, the product coding has not evolved. The new EBA text mentions the renaming of the ‘REPO’ product category to ‘SFT’ and the addition of two new categories: ‘OSWF - Other secured wholesale funding’ and ‘OFP - Other funding products’.Why is the taxonomy not aligned with the new EBA text? 

  • 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: 2018_3653
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

DPM 2.7.0.1 has not been fully aligned with 2017/2114

There shouldn't be inconsistencies between total and significant currency templates regarding general metrics - the only difference should be that significant currency templates should include (CUS:CU) [Currency with significant liabilities] and (CCA:CA) [Currency conversion approach metrics].Currently there are the following inconsistencies:C 66.01.w/ C 66.01.x/ C 66.01.y is missing (CCA:CA) [Currency conversion approach] - (CA:x1) [Expressed in currency of denomination (not converted to reporting currency)] metricC 66.01.a vs C 66.01.w are inconsistent on (CAL:AP) [Calculation method] and (MCY:MC) [Main category] for certain rowsC 66.01.b vs C66.01.x are inconsistent on (LIQ:LQ) [General liquidity requirements], (CPC:CT) [Counterparty sector of the collateral] and (MCY:MC) [Main category] on certain rowsC 70.00.a vs C 70.00.w are inconsistent on (MCY:MC) [Main category] on all rowsC 70.00.a row 1080 is inconsistent with the rest of the report on (MCY:MC) [Main category] metric(ei359) Product type (funding) [ei:MC:MC26] is missing two possible values required by ITS - OSWF and OFP 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2017_3627
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Inconsistency in validation rules v4748_m, v4749_m and v4750_m

In taxonomy 2.7, validation rules v4748_m, v4749_m and v4750_m are introduced for template C 07.00.Validation rule v4748_m expects the ‘fully adjusted exposure value (E*)’ (c150) to be equal to the sum of ‘Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors’ (i.e. sum of c160, c170, c180, c190) across rows 010-060, 080 and 140-280 for all sheetsSimilarly, validation rule v4749_m expects (c150) to be equal to the sum of c160, c170, c180, c190 across rows 290 and 310 for all sheets and validation rule v4750_m expects c150 to be equal to the sum of c160, c170, c180 and c190 across rows 300 and 320 for all sheets.Column 150 includes off balance as well as on balance items and columns 160, 170, 180 and 190 is break down only off balance items by conversion factors. Hence, equality in this validations may not hold true always. So, are these validations 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: 2017_3623
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Reference date for determination of previous day’s values

To which day do Art. 364 1) a) i), Art. 364 1) b) i) and Art. 364 2) b) i) CRR refer to? To which days do Art. 364 1) a) ii) CRR, Art. 364 1) b) ii) and Art. 364 2) b) ii) of the CRR refer to?

  • 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: 2017_3559
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Traitement des dettes subordonnées dans l'état C 68.00 et C 67.00 (Treatment of subordinated debt in templates C 68.00 and C 67.00)

Original questionPouvez-vous nous préciser le traitement à suivre concernant les dettes subordonnées dans l’état C 68.00 (financement par produit)? Translated questionCould you please clarify the applicable treatment for subordinated debt in template C 68.00 (Concentration of funding by product type)?

  • 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: 2017_3139
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Eligible asset classification for counterbalancing capacity C 71.00 – Concentration of Counterbalancing capacity by issuer / counterparty

Should items such assenior bonds and deposits on current accounts with other credit institutions orshares of UCITS, which qualify as Liquid Assets for the LCR-Reportingbe reported in template C 71.00 – Concentration of Counterbalancing capacity by issuer/counterparty?

  • 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_2897
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Conditions for Early intervention

What are the conditions for Early intervention in Article 27(1) of Directive 2014/59/EU (BRRD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3696
  • Topic: Early intervention
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Calculation of original and residual maturities in the context of ALMM (C 66.01) for puttable bonds

Assume the following data for a puttable bond:Origination date:                               30.08.2018First investors’ put optionality:          15.02.2019Second investors’ put optionality:     15.05.2019Final maturity:                                   30.10.2020From our point of view, the instructions of annex XXII (reference 1.1.4) and annex XXIII (paragraph 12) in combination with the answers to the question 2 in EBA/ITS/2017/01 suggest this bond should be assigned with original (OM) and residual maturities (RM), both in days, for illustrative reporting dates as shown below:Reporting date: 31.08.2018: OM 169; RM 168Reporting date: 30.09.2018: OM 169; RM 138Reporting date: 30.12.2018: OM 169; RM 47Reporting date: 31.03.2019: OM 169; RM 45Reporting date: 30.06.2019: OM 169; RM 488Reporting date: 30.09.2019: OM 169; RM 396

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2017_3287
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Treatment of Credit Unions in C 68.00 ALMM Reporting

How should Credit Unions be classified for ALMM 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: 2017_3254
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Reported currency by issuer/counterparty on a total level (in the Total sheet)

How should assets that are issued or liquidity lines that are granted by a single issuer / counterparty be reported in the Total sheet, provided that the asset received or undrawn committed liquidity lines granted to the institution are denominated in more than one currency? Should the issuer / counterparty be reported on separate lines for separate currencies, or should the currency in which the largest proportion of assets / liquidity was obtained be reported for the aggregated currencies? 

  • 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_2974
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Can the same issuer / counterparty appear more than once in the top 10 of template C 71.00 based on currency?

The ITS states firms should report the name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The ITS also requires a currency to be assigned to the Issuers/counterparties. If you hold assets from a counterparty that are issued in different currencies do you report the counterparty more than once? Or do you report the currency of the largest proportion of the total.

  • 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_2741
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Concentration of funding by counterparty (C 67.00) ranking

C 67.00 (Concentration of funding by counterparty): Shall we compute/report the top 10 counterparties for each currency, or is the currency irrelevant to compute this rank?If the currency is irrelevant, the top 10 counterparties would be the same list across all significant currencies sheets, with some empty results/rows for counterparties not concerned by all significant currencies.C 68.00 (concentration of funding by product): The regulation clearly states that the currency is irrelevant for product types determination above the 1% threshold (Annex 4 XIX, chapter 1.3, paragraph 4). Does this mean also that the list of products concerned is the same list across all significant currencies sheets?C 67.00 / C 68.00: If we want to keep consistency between reports C 67.00 and C 68.00, shall we apply the same principle: currency is irrelevant for ranking or sorting?

  • 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_2033
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Deduction requirements in accordance with Article 36(1) (f), (h) and (i) CRR: Netting of long and short positions in intermediate entities in the context of Article 15e (7) of Delegated Regulation (EU) No 241/2014 (“RTS Own Funds”)

Can an institution, in applying Article 15e (7) of Delegated Regulation (EU) No 241/2014 for the purpose of fulfilling the deduction requirements in accordance with Article 36(1) (f), (h) and (i) CRR – provided that all the conditions of Article 42 CRR are met - net long positions in an intermediate entity (such as an ETF) with corresponding short positions? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2017_3543
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 02/03/2018

CIU Correlation Test

When applying the correlation test outlined in Article 350(2b) to a given CIU position in order to determine the appropriate capital treatment for position risk, may an institution adjust the historical prices of the CIU to reflect solely those price movements which relate to the position risk of that CIU?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3538
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Reference to Chapter III in Article 96(3)(b)

Is the reference to Chapter III in Article 96(3)(b) correct?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3703
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Enforce a third country resolution proceeding

How should the outcome under Article 94(4)(d) be achieved and in what way is that article different from the provision under Article 68?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3702
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as final Q&A: 02/03/2018