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List of Q&A's

Reporting ICAAP requirements

Where does a firm report its ICAAP requirement if it has not undergone a SREP or been notified by its National Competent Authority that it must take additional own funds 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_1258
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Information on performing and non-performing exposures

Table F 18.00 of FINREP contains the breakdown by past-due time bands of performing and non-performing exposures. In case of "debtor approach" how should the exposures to a given debtor be allocated to columns? And do such criteria have to be applied to both performing and non-performing debtors?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_2192
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Reporting of template C017.00

According to ITS Annex II, Part 2, paragraph 119. C017.00 The template C017.00 summarises the information by an institution in the last year. According to EBA final Q&A 2013 285: The reporting of C 17.00 (OPR Details) shall be based on the calendar year. The figures reported in June of the respective year are interim figures, the final figures are reported in December. But it is still not clear whether data is expected on the relevant calendar year (as current year) or on the last calendar year (as previous year): 1) data as of June 30, 2015 is about gross losses relevant to last calendar Year 2014 (the whole year) or about gross losses relevant to current calendar Year 2015 (1. half-year)? 2) data as of December 31, 2015 is about gross losses relevant to last calendar Year 2014 or about gross losses relevant to current calendar Year 2015?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1571
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation error in CA4 (v3688_s)

A validation in CA4 (v3688_s) prevents completion of rows 240, 270 and 291, therefore how should a short synthetic position be reported to offset a direct long position?

  • 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_1546
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation v1740_m

In FINREP template 8.1 "Breakdown of financial liabilities" (EBA/ITS/2014/05 as of 30/07/2014) hedge accounting derivatives are not included in validation v1740_m, although they qualify as financial liabilities in terms of IAS 39.

  • 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_1539
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Memorandum Items in Credit Risk SA

Can you please confirm that the memorandum items in row 290-320 only should 1. Include Exposures secured by immovable property under articles 124,125 and 126 2. In case of the exposure being to a "High Risk" customer that is fully secured by an eg. RRE then the in template C 07.00 - exposure class "High Risk" no memorandum items will be completed (based on point 54 of the instruction as High Risk Category is not one of them) BUT instead the original asset class of the high risk obligor eg. Corporate should be completed

  • 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_1295
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Annex I, C 05.01

I am a little confused by two validations with the ID of V2000_s and V2035_s. My understanding is that column 50 should be a percentage but validation rule (V2035_s) states that it must be >=0 and column 10 should be the absolute number but the validation rule (V2000_s) shows that this should be <=0.

  • 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_1261
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

C 09.03 - Calculation of the breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

Suppose that a bank has an exposure an own funds requirements to country A of € 10,000 while the bank’s total exposures total own funds requirements (i.e. the aggregate exposure aggregated own funds requirements to all countries) is € 500,000. In addition, let’s say that the bank’s own funds is € 80,000. Would this mean that for the purposes of template C 09.03, under the sheet related to country A, the bank is required to report the amount of € 1,600 (i.e. (€ 10,000 / € 500,000) x € 80,000)?Is the method above correct to calculate total own funds requirement for credit risk of relevant credit exposures by country or are there any guidelines issued by the EBA or found in the CRR?

  • 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_1247
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Calculation of 17.65% CET1 threshold

In CRR article 48(2) it 19s defined calculation of threshold as follows:"2. For the purposes of paragraph 1, the threshold amount shall be equal to the amount referred to in point (a) of this paragraph multiplied by the percentage referred to in point (b) of this paragraph: (a) the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;(b) 17,65 %."However in the instruction of the ITS on supervisory reporting on row 210 of CA4 is supported by Article 48(1) of CRR and explains the following:"This item contains the 17.65% threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10% threshold.The threshold is calculated so that the amount of the two items that is recognised must not exceed 15% of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions."As the respective article 48 points (1) or (2) do not refer to 15% threshold, this reference in annex 2, in row 210 of CA4, in last paragraph to, 1815% of the Common Equity Tier 1 19 should be read as '17,65% of the Common Equity Tier 1'?Or does the threshold 17,65% of row 210 of CA4 actually includes calculation of 15% threshold? In this case, how? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1180
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation rule v4421_s does not comply with validation rules v4117_m, v4118_m, v4119_m, v4120_m as it implies a negative sign for maturing long term funding

Validation rule v4421_s implies that maturing long term funding must be reported with a negative sign for different categories of long term funding in row (200,230, 260,290,320) and column (020,030,040,050) in template P 01.02. However, this contradicts with validation rules v4117_m, v4118_m, v4119_m and v4120_m.

  • 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_2046
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Funding plan for credit institutions: meaning of "maturing gros outflow"

regarding to table P01.02 row 200, the definitional reference states "Instruments of this type which are contractually due to mature during the time from the end of the previous period to the relevant period-end".

  • 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_1969
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Difference between and Annex I/ Annex II/1.6 description and DPM descrption of the same table name

There is a difference regarding the name of table C 05.02 Capital Adequacy, between Annex I sheet C 05.02/ Annex II Own funds paragraph 1.6 and DPM Database/ DPM Table Layout. While in Annex I/II name is 'Grandfathered instruments: Instruments NOT constituting State aid (CA5.2)' in DPM Database/DPM table layout, namie is 'C 05.02 - Capital Adequacy - Transitional provisions: Grandfathered instruments constituting State aid'. Please confirm what name is correct and should be used for table C 05.02 Capital Adequacy related to Grandfathered instruments (with NOT or without '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_1305
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Incorrect legal references

Which are the correct legal references of the item in row 020 of template Grandfathered Instruments: Instruments not Constituing State Aid (C05.02)?

  • 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_1269
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Operational Risk templates

In order to fulfill the information of operational risk losses, we would like to know if we should include the following concept of losses: -Operational risk related credit risk losses. Losses included in the credit risk capital data base, but originated for an operational risk event.

  • 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_1233
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Group Solvency template (C06.00) – information on the contribution of entities to solvency of the group (columns 300 to 400)

On what basis should the contribution of entities to solvency of the group (columns 300 to 400) be 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_1193
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Incorrect references to the CRR

In Annex 1, C 05.02 'Grandfathered instruments: Instruments not constituting State Aid' there are some wrong references to the CRR articles, as follows: - row 020 and row 090 - instead of 'Article 489', it should be 'Article 486'; - row 050, row 060 and row 070 - instead of 'Article 49 of CRR', it should be 'Article 52 of CRR'. Limits for grandfathering of items within CET1, AT1 and T2 are in Article 486 of the CRR. Conditions for AT1 quialification are in Article 52 of the CRR.

  • 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_1191
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Template C07.00 Column 230: of which: with a credit assessment by a nominated ECAI

Column 230: of which: with a credit assessment by a nominated ECAI, is this column only reported for exposures where the ECAI rating was used to determine the risk weight?

  • 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_1188
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Fiduciary loans and deposits

Considering that for FINREP reporting the fiduciary loans and deposits are explicitly excluded from Balance Sheet could you please advice whether the same treatment applies to COREP (including Large Exposures) reporting? That is, if fiduciary loans and deposits should be excluded from all COREP and Large Exposure reports.

  • 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_1088
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Non Performing Loans at group levels.

Clarification is requested as to when group (connected) accounts should be downgraded to the Non Performing category (NPL) when only one party from within this group classifies as an NPL (refer to the 2nd part of para. 155). Should group facilities be downgraded: 1. When exposures past-due by more than 90 days represent 20% of the gross carrying amount of a singly debtor (one party within group entities) or 2. When exposures past-due by more than 90 days represent 20% of the gross carnying amount of the total group exposure? or is this left at the discretion of the credit institution? 

  • 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_1113
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Maturities in Large exposure report (LE4; top 10)

How should we interpret and apply the reference to the instructions of the maturity ladder template of the additional metrics on liquidity in Annex IX 18Instructions for reporting large exposures and concentration risk 19?

  • 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_1137
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 09/09/2016