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List of Q&A's

Inconsistencies in validation rules v1974_h, v5447_m, v5475_m and v5443_m

Whilst implementing DPM 2.7 we ran into some inconsistencies in the validation rules. The inconsistencies are caused by the validation rules as mentioned below. eba_v1974_h [F 17.01 (c010)] {r231} = +{r232} + {r233} Issue: in dpm 2.7 row 380 for equity instruments was added in report F17.00 and is part of row 231 but is not part of the right side of the equation. eba_v5447_m {F 18.00.a, r180, c010} = sum({F 04.09, r140, (c010, c020)}) + sum({F 04.10, r190, (c010, c020)}) - sum({F 04.10, r190, (c015, c025)}) + sum({F 01.01, (r030, r040), c010}) Issue: in report F18.00 row 180 only contains debt securities and loans and advances, whereas in the F4.x reports equity instruments are included as well (here, report F4.08 reports equity instruments). Rule eba_v5475_m has the same issue eba_v5443_m [F 18.00.a] {F 18.00.a, r100, c010} = sum({F 04.09, r100, (c010, c020)}) + sum({F 04.10, r150, (c010, c020)}) - sum({F 04.10, r150, (c015, c025)}) + {F 01.01, r030, c010} In template 18, the amount is for credit institutions, whereas the {F 01.01, r030, c010} refers to cash at central banks. If the reference was to row 40 (other demand deposits) instead of 30, the calculation would add up The question is: How to handle these inconsistencies?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3858
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Follow-up to Q&A 2016_2609 - Template C 71.00

With reference to 2016_2609, please can you confirm whether the predominant currency in the rest of line means a) the predominant currency in the rest of the line provided by the counterparty providing the multi-currency facility or b) the predominant currency in the rest of the line provided by all counterparties?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3820
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Finrep. Validation rule v5443_m and others

Our opinion is that rule v5443_m has been wrongly implemented by the EBA. The formula is the following : {F 18.00.a, r100, c010} = sum({F 04.09, r100, (c010, c020)}) + sum({F 04.10, r150, (c010, c020)}) - sum({F 04.10, r150, (c015, c025)}) + {F 01.01, r030, c010} This rule seems to be designed for nGAAP reporters as in its formula there are some explicit references to F 04.09 and F 04.10 templates which are nGAAP reporters templates. The problem is the following : The last data point on the right hand side of v5443_m shall be in my humble opinion F 01.01, r040 and not F 01.01, r030. In the current implementation, the EBA is comparing loans and advance to credit institutions (F 18.00 row 100, col 010) with cash balances at central banks which does not make sense. v2776_m which is the same rule but this time designed for IFRS reporters seems to be correct as the last data point on the right hand side of the formula refers this time to row 040 : {F 18.00.a, r100, c010} = sum({F 04.04.1, r100, (c015, c030, c040)}) + {F 01.01, r040, c010} Could you please confirm that rule v5443_m has been wrongly implemented by the EBA?

  • 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_3814
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Validation rule v3129_m (FINREP template 18 and 19 IFRS 9)

The validation rule v3129_m requires for template 19 FINREP for all rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;211;212;213;214;215;216;221;222;223;224;225;226;227;231;330) that column {F 19.00.a, c100 of which: Impaired (Non-performing (Forborne)} <= {F 18.00.a, c120 of which impaired (non performing). For most rows this validation rule is correct. But for the rows (211;212;213;214;215;216;221;222;223;224;225;226;227;231) the column 100 in template 19 and the column 120 in template 18 are both greyed out. Can you limit the validation rule v3129_m to the rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;330)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3788
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Validation rule v2707_m (FINREP template 18 IFRS 9)

The validation rule v2707_m requires for template 18 FINREP for all rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;211;212;213;214;215;216;221;222;223;224;225;226;227;231;330) that column c120 of which impaired should be <= c060 Total non-performing. For most rows this validation rule is correct. But for the rows (211;212;213;214;215;216;221;222;223;224;225;226;227;231) the column 120 is greyed out. Can you limit the validation rule v2707_m to the rows (010;020;030;040;050;060;070;080;090;100;110;120;130;140;150;160;170;180;181;182;183;184;185;186;191;192;193;194;195;196;197;201;330)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3787
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

2.7 - Incorrect rules v0985_m and v0986_m

Validation rules v0985_m and v0986_m are incorrect in the taxonomy 2.7.0.1. They refer to columns 022 and 025 however these columns are greyed in the template F 20.04.

  • 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_3723
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Discrepancies between annotated table layout and EBA validation rules (e.g. v5351_m)

1) Are the columns 011, 012, 022 and 025 of template F 20.04 in the annotated table layout (FN1) not intended to be subsets of column 010, meaning that a limitation on ‘other than held for sale’ in column 010 would indicate the same limitation for the ’of-which’ columns?2) If there is a limitation on ’other than held for sale’ in template F 20.04, column 010, does this limitation not contradict the above mentioned validation rule v5351_m, if the same limitation is not indicated in template F 06.01? The same problem occurs for validation rules v5350_m, v5353_m, v5725_m, v6054_m, v6055_m, v6056_m, v6057_m, v6058_m and v6059_m (FN2).Foot notes:FN 1: DPM table layout and data point categorisation updated 27 April 2017FN 2: Validation rules updated 08 December 2017 

  • 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_3670
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Validation rules EBA_V4399 and EBA_V4400 warning on the tables P 02.04 and P 02.05

The Annex I of the "Guidelines on harmonised definitions and templates for funding plans of credit institutions under recommendation A4 of ESRB/2012/2" contains disclosure tables for pricing of Loan Assets "Table 2B1 (P 02.04)" and pricing of Deposit Liabilities "Table 2B2 (P 02.05)". Validation rules EBA_V4399 and EBA_V4400 check if the figures submitted are greater than or equal to zero. The "Guidelines on harmonised definitions and templates for funding plans of credit institutions under recommendation A4 of ESRB/2012/2" defines the data to submit as follows: - The projection of high-level yields on assets, with a 1-year horizon. Firms should report the all-in yield received/paid and should not report a spread. - Projection of high-level costs of funding, with a 1-year horizon As this tables aim to provide interest rates and as interest rates could be negative, we think that the validation rules V_4399 and V4399 should be adjusted.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2633
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Label of column 140 in C07.00 and validation rule v0008_h

Validation rule v0008_h checks whether values reported in column 140 are higher than values reported in column 130.According to the instructions of column 140, the value reported shall consist of the volatility and maturity adjustments of the value of the collateral and is therefore not a part of the value of column 130. This makes it necessary to remove the text “of which” from column 140 which implies a subset of column 130.Therefore shall the title of column 140 be adjusted to ‘Volatility and maturity adjustments’? Shall validation rule v0008_h be deleted since the value in column 140 can be higher or lower than the value in column 130 and DPM hierarchy be amended?

  • 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_2125
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/10/2018

Application of the definition of ‘speculative immovable property financing’ under the Standardised Approach

In case the borrower is the developer of a real estate project for which future contract agreements with future owners have been signed about the properties under development, would this exposure fall within the scope of the speculative immovable property financing?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3173
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/09/2018

Appropriate Risk Weight for purchased defaulted assets

Where an entity subject to the CRR purchased Non-Performing Loans booked at the purchase price (net book value, “NBV”), which is significantly below the loans’ gross book value (“GBV”), can the difference between GBV and NBV be treated as specific credit risk adjustment when deciding whether a risk weight of 100% (rather than 150%) applies according to Article 127 CRR?

  • 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: 2017_3270
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/09/2018

Application of the exemption for transactions to trusted beneficiaries to Face-to-Face transactions

May the exemption for transactions to trusted beneficiaries (‘white-listing’) set out in Article 13 of Regulation (EU) 2018/389 (RTS on strong customer authentication and secure communication) apply to face-to-face transactions?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2018_4056
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 21/09/2018

Recalculation of thresholds of Article 48 CRR due to IFRS 9 transitional arrangements (Art. 473a)

Do the thresholds of Article 48 of Regulation (EU) No 575/2013 (CRR) have to be recalculated in the context of Article 473a(7) as well, taking into account the amounts added back to CET1 due to the application of Article 473a?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3784
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 24/08/2018

Investment firms’ exposures to credit institutions

Should MIFID investment firms which are subject to the CRR calculate the credit risk requirement for the clients’ funds (i.e. cash) deposited in a credit institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3422
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Reporting of Assets received as collateral in GC pooling transactions

When a financial instrument is received as collateral in a GC pooling transactions which allows participants to refinance the collateral through transactions with Central Bank or with other transactions in the same market, is the above-mentioned financial instrument eligible for the liquidity buffer under Article 7 LCR DA conditions?

  • 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: 2018_3741
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Reporting of cash flows related to collateral management transactions in which collateral to be delivered/received is defined using the participants netting exposure

If a credit institution has two repo/reverse repo trades of the same size, same basket, different positions and different maturities (one within 30 days and the latter maturing after 30 days horizon) with a CCP which requires for collateral exchange on a net basis, how should these operations be represented in LCR?

  • 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: 2018_3745
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 03/08/2018

General and specific credit risk adjustments

Can a Supervised Entity not recognise changes in impairments, value adjustments or provisions in the calculation of the exposure value and thus avoid the deduction of these amounts from CET1?Or in case a Supervised Entity has changes in impairments, value adjustments or provisions, are these amounts automatically labelled as general or specific credit risk adjustments and shall therefore be accounted for in the calculation of the exposure value of an asset and deducted from CET1? 

  • 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: 2017_3330
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Computing the amounts mentioned in Article 473a(2)(b) CRR, in case of the credit-impaired financial assets measured at amortised cost.

Should the amounts mentioned in Article 473a(2)(b) of Regulation (EU) No 575/2013 (CRR), as modified by Regulation (EU) No2017/2395 be:the total IFRS 9 Expected Credit Loss at transition date - point (i) and the amount of IAS 39 impairment losses at the day before transition date – point (ii), in case where there’s no modification regarding the reporting of the credit-impaired financial assets’ gross carrying amount (IFRS 9 vs IAS 39);the total adjusted IFRS 9 Expected Credit Loss at transition date - point (i) - see details below - and the amount of IAS 39 impairment losses at the day before transition date – point (ii)or the total IFRS 9 Expected Credit Loss at transition date - point (i) and the adjusted amount of IAS 39 impairment losses at the day before transition date – point (ii) – see details below, in case where the reporting of the credit-impaired financial assets’ gross carrying amount is modified (IFRS 9 vs IAS 39).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3781
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 03/08/2018

Calculation of the sf factor as per Article 473a(7)(b) of Regulation (EU) No 575/2013 (CRR)

Please clarify whether "RAsa" which is used for the calculation of the “sf” factor, as per Article 473a(7)(b) of the CRR, should be gross or net of tax

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3783
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 03/08/2018

IFRS 9 Transitional arrangements - Definition of ‘t’

How should “t” which is used in the formulas in paragraph 1 of Article 473a CRR be calculated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4113
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 03/08/2018