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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

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List of Q&A's

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or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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

Retail exposures above EUR 1m - definition and understanding

Would a private individual client need to be regarded as "non retail" if the original exposure is above EUR 1 million (line EUR 2m) or could he stay in the "Retail" exposures class if his EAD is below EUR 1million (EAD close to zero) or the drawn amount is below euro 1m (drawn amount below EUR1m)?Clarity would be appreciated for both the standardised and IRB approach.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2626
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/10/2016

Use of financing arrangement for covering the gap between transferred assets and liabilities in case of application of the sale of business tool

In light of Article 101(1) of the BRRD, is the resolution authority authorised to use the financing arrangement to finance the gap between all the purchased assets and liabilities, by the means of a direct grant/subsidy, in the amount of the negative difference between the assets and liabilities under a condition that the contribution is compliant with the Union State aid framework?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2591
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/09/2016

Definition of a 'Deposit Broker'

What is the definition of a deposit broker?

  • 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_2642
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Liquid assets valuation in case of hedging with collateralized derivatives.

Should the potential close-out of hedges of securities included within the liquidity buffer be taken into account when hedging is performed through collateralized derivatives?

  • 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_2695
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Treatment of decreases of impairments in the calculation of the exposure value

In the context of published Q&A 2014_1087 how should a credit institution treat decreases of impairments, value adjustments or provisions (in case of reduced identified losses) recognised during the year, i.e. in the interim period, in the case where the competent authority has not given its permission to include the interim profit into the calculation of Common Equity Tier 1 capital, and the credit institution has not reflected the amounts with a corresponding "immediate reduction in Common Equity Tier 1 capital" although the changes in impairments, value adjustments or provisions for off-balance sheet items are reflected in interim profits or year-end profits?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2016_2629
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Exemption from cap of inflows per Article 33 (1) of the Commission Delegated Act 2015/61

(a) Can the national competent authority of a Member State grant such exemption where the inflow arises from the parent companies or subsidiaries incorporated in third countries?(b) If the reply to the first question is positive, shall the national competent authority carry out an assessment as required under the draft regulation to be issued by the ECB under Article 425(5) of the CRR and Article 34(1)(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 or shall the national competent authority follow other national guidelines?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2660
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Extending the range of application system.

What is practically meant by 'additional exposures related to the lending decision of a third party to the group'?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
  • ID: 2015_2224
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 23/09/2016