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List of Q&A's

Annexe XV and Template F 03.00: data point in r030-c010 doesn't sum up the data point in r090-c010.

For report F 03.00, data point 3.0_030_010 is calculated as a sum of data points 3.0_040_010 through 3.0_090_010.So by right, data point 3.0_030_010 is a parent of 3.0_090_010 ( take note that this is not a validation but just how the point is calculated on the report) If you look at the data point definition, 3.0_030_010 is defined as follows AT_md103 BA_x1 MC_x182 BT_x2 and 3.0_090_010 is defined as follows: AT_md103 BA_x1 MC_x336 BT_x2 The only member who is different is in the MCY dimension - MC_x182 vs MC_x336 However, on inspecting the hierarchy in dimension MCY, x182 and x336 are both children to the parent x282. So if x182 has a condition flowing in, it cannot be mapped to x336 since they both sit at the same level (as children to x282).

  • 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_948
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Reporting of significant currencies (> 5%) according to Art. 415 (2) lit. a CRR

XBRL taxonomy requires the "total” of all currencies plus a breakdown for each "significant currency". This lead us to the following questions: 1) What is the definition of “total”? 2) Has the reporting currency itself (which will be in any case greater than 5%) to be reported separately as “significant currency”?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1294
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 08/04/2016

Clarification on Add on measure of Securities Financing Transactions (SFT) from the delegated act of the regulation 575/2013 on leverage ratio.

Based on Article 429e  of the Regulation (EU) No 575/2013  (CRR), in addition to the exposure value of repurchase transactions, institutions shall include in the exposure measure an add-on for counterparty credit risk determined in accordance to paragraph 2 or 3 of  Article 429e, as applicable. The Bank calculates the exposure of Securities Financing Transactions (SFT) according to Article 223 of the regulation 575/2013 (Financial Collateral Comprehensive Method) .If for example, the Bank has a German government bond of fair value (FV) EUR 100.000 with maturity less than a year, and uses it as a collateral for a repurchase agreement with a maturity of less than a year, and receives EUR 50.000 in cash, then according to Article 223 CRR the exposure value of the SFT will be :FV=100.000plus volatility adjustment of 0.354%* FV of 354minus cash received of 50.000i.e. total exposure of EUR 50.354In addition, the add on according to article 429e, will be the FV minus cash received i.e. EUR 50.000According to the Annex 2 -ITS on reporting for the LR instructions , the row 300 of template C 47.00 (LEVERAGE RATIO CALCULATION (LRCalc)) which is the Total Leverage Ratio exposure - using a transitional definition of Tier 1 capital, includes both the exposure value of the SFT and the add on amount. Hence, for the specific SFT, the total leverage exposure would include a total of EUR 100.354 (which is more than the FV of the bond)In addition, it should be noted that since the German Government bond is an on balance sheet exposure, credit risk is also calculated for capital requirements purposes. Can you please confirm that this is the correct treatment?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2015_2318
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Capital requirements deduction for credit risk on exposures to SMEs

Is capital requirement deduction (SME factor) applicable for specialised lending exposures if conditions determined in Article 501(2) of Regulation No 575/2013 (CRR) are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2135
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Will the application of the cap on inflows be applicable at the single material currency level

Should the inflow cap, limiting inflows to 75% of liquidity outflows, apart from specifically outlined exemptions, be applied in relation to single material currency LCR reporting or just at the all currency combined LCR calculation?

  • 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: 2015_2031
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Hierarchy of Permissions between Article 8 and Article 9 of the CRR

The current Level 1 Text of Article 9 of the CRR (i.e. for the Individual consolidation (amended solo) method) refers directly to Article 6(1) which does not cover the Liquidity Provisions of the CRR. In this regard, can we clarify the following issues in terms of the interaction between the amended solo provisions in Article 9 of the CRR and the solo liquidity waiver provided in Article 8 of the CRR: (1) If a bank receives permission for amended solo under Article 9 of the CRR, is a separate permission required for the liquidity waiver in Article 8 in order for the bank to report a single LCR/ Stable Funding/ ALM Return? (2) Assuming the answer to Q1 is yes, does this mean that the bank is required to report under two scopes of consolidation (i.e. amended solo for COREP/ FINREP/AE and Consolidated for LCR/ Stable Funding/ ALM)? (3) Assuming the answer Q1 is no, how should the subsidiaries included in the permission for amended solo be included in the bank's LCR and Stable Funding returns i.e. is the bank still required to submit both consolidated and individual LCR /Stable Funding/ ALM Returns?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1938
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Calculation of unsecured and secured parts of past due items – Standardised approach

Under the standardised approach, when calculating the unsecured part of the exposure for the purpose of computing provisions threshold (20%) under Article 127(1) of the CRR, shall the exposure exclude eligible financial collateral and credit protection that comply with the requirements stated in Part Three, Title II, Chapter 4 of the CRR, ‘Credit Risk Mitigations’, as well as residential real estate and commercial real estate as described in Article 127(3) & (4) of Regulation (EU) No 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1918
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Capital buffer for other systemically important institutions

If an other systemically important institution (O-SII) is the subsidiary of either a global systemically important bank (G-SII) or of an O-SII which are established in another Country and the latter is subject to an O-SII capital buffer on a consolidated basis, can a national authority set a capital buffer for the O-SIIs at subsidiary level exceed 1% provided it remains below the rate of the capital buffer at group level and the 2% cap of Article 131(5)? Also, does Article 131(8)(a) CRD refer to 1% of the total risk exposure amount (TREA) of the subsidiary or of the group at consolidated level?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2309
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Own funds - underwriting of own funds instruments

Is the underwriting of a Tier 2 (T2) instrument by an insurance subsidiary of the issuer possible when the instrument is then replaced in units of account within life insurance policies where the client bears the economic risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1687
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Klärung: Emissionsvolumen bei Covered Bonds € 500 Mio. (oder den Gegenwert in Landeswährung) / EN TRANSLATION: Clarification: 'the issue size of the covered bonds is EUR 500 million (or the equivalent amount in domestic currency)'

1) Bezieht sich das „Emissionsvolumen“ auf die Erstemission der Schuldverschreibung oder das Emissionsvolumen insgesamt (einschließlich aller späteren Emissionen der Schuldverschreibung), d. h. das Gesamtemissionsvolumen? 2) Bezieht sich der „Gegenwert in Landeswährung“ auf den Betrag zum Zeitpunkt der Emission oder den anhand des aktuellen Wechselkurses berechneten Betrag? EN TRANSLATION: 1) Does the "issue size" refer to the initial bond issue or the total issued volume (including subsequent bond issues), i.e. the total issue size? 2) Does "the equivalent amount in domestic currency" mean the amount at the time of issue or calculated using the current exchange rate?

  • 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: 2015_1976
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 18/03/2016

Risk weight in CCP-related exposures, rules on 2% AND 4% risk weight

For the purposes of Article 305 (3) is there loss protection if the condition in 305 (2) b) is met but not 305 (2) c)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1946
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 18/03/2016

Classification of Churches and Religious Communities

Will the exposures of churches and religious communities that do not fall under Articles 115 (3), 127, and 128 be classified as Corporates (Article 122) or Retail (Article 123)? Additionally, can these be classified as SMEs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2227
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/03/2016

Definition of large financial sector entity

In applying the definition of “large financial sector entity” under Article 142(1)(4)(a) of Regulation (EU) No 575/2013, is it correct to consider the assets of the counterparty (individual or consolidated balance sheet), rather than consolidated assets for any Group to which the counterparty belongs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2193
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 11/03/2016

Article 116 Colleges of Supervisors

When conducting supervision on a consolidated basis, is the consolidating supervisor of an EU-headed banking group with subsidiaries only in third countries subject to the provisions of EU law, notably to the provisions of Regulation (EU) No 575/2013, Directive 2013/36/EU and the relevant delegated and implementing acts? If so, how is Article 116 of Directive 2013/36/EU to be applied in that case, in particular under the considerations that there is no need for a joint decision and that third-country supervisors are not subject to EU law? How does the situation change when the ECB is the consolidating supervisor and the banking group has subsidiaries only in participating Member States and in third countries?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2460
  • Topic: Colleges of supervisors
  • Date of submission:
  • Published as final Q&A: 04/03/2016

Tier 2 instruments issued by a consolidated subsidiary non recognised by a third Authority

When applying Article 87 of Regulation No 575/2013 (CRR), should a Tier 2 instrument issued by a non-EU subsidiary (and subscribed by third parties) be included in the consolidated own funds of the EU-parent company insofar as this instrument is not recognised by the local non-EU Authority?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1872
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 04/03/2016

Scope of uniform reporting requirements, Integrated Reporting Framework

Regarding the scope of the uniform reporting requirements specified in the ITS we would like to raise the question, whether these reporting requirements, also needed for other reporting purposes, can be fulfilled in a more efficient way as part of a broader reporting framework beyond the CRR by (a) increasing the level of granularity, (b) adding additional attributes and/or (c) require the combination of different attributes. For instance: (a) If the ITS requires the maximum-harmonised ‘Total Exposures’ (see Annex I, C 07.00, row 010, column 010) only on an aggregated level, is the competent authority allowed to increase the granularity and collect this information on a more detailed level, if this information is required for other reporting purposes? If yes, may the aggregates required by the ITS be derived out of these granular data by the NCAs/NCBs themselves? (b) Is it further allowed for the competent authority to add additional attributes, e.g. ISO country code, if this information is required for other reporting purposes? (c) Is it allowed to make non-material additions regarding the reporting requirements specified in the ITS, by the combination of detailed ‘Total Exposures’ with its ISO country code and a third attribute, for instance the residual maturity, if needed for other reporting purposes, in order to enable a ‘technical data model’? Please note: It is not intended to add new attributes, which are not legally required. Rather, by the combination of the above mentioned attributes, the quality of the information increases while the requirements by the ITS are met.

  • 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_1828
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as final Q&A: 26/02/2016

Definition of Active Contractual Relationship

What is the definition of an Active Contractual Relationship?

  • 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: 2015_2461
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 26/02/2016

Unfunded credit protection; adjusting PD or LGD; coefficient of correlation large financial sector entities or unregulated entities

1. Under Article 161(3) of CRR, can unfunded credit protection be recognised by adjusting PD or LGD, but not both? 2. If the institution has a subordinated exposure to an obligor, and a guarantee is recognised by adjusting the PD under Article 161(3), is it allowed to also adjust the LGD for the subordinated exposure and use a LGD associated with a senior claim on the obligor or guarantor, if the guarantee would represent a senior claim on the guarantor (compare with Article 236(1)). 3. (a) If an institution is recognising unfunded credit protection by adjusting or substituting the PD under Article 161(3) for an exposure for which article 153(2) is not applicable, should it also adjust the coefficient of correlation from the obligor to the guarantor, including applying the multiplier of 1.25, in case unfunded credit protection has been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5). (b) If an institution is recognising unfunded credit protection by adjusting or substituting the PD under Article 161(3) for an exposure for which article 153(2) is applicable, should it also adjust the coefficient of correlation (multiplied by 1.25), in case unfunded credit protection has not been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5), but, for example, from a large corporate or sovereign. 4. (a) If an institution is recognising unfunded credit protection by adjusting the LGD under Article 161(3) for an exposure for which Article 153(2) is not applicable, should it also adjust the coefficient of correlation, including applying the multiplier of 1.25, in case unfunded credit protection has been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5). (b) If an institution is recognising unfunded credit protection by adjusting the LGD under Article 161(3) for an exposure for which Article 153(2) is applicable, should it also adjust the coefficient of correlation (multiplied by 1.25), in case unfunded credit protection has not been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5) , but, for example, from a large corporate or sovereign.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_415
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/02/2016

Should only part of total funding be reported in template C 68.00, Annex XX?

A more general question regarding this section, Annex XVIII C 68.00, is that if just part of the total funding should be reported? The cells for retail funding, wholesale funding and unsecured wholesale funding are marked in grey and this usually indicates that nothing should be reported in these cells. Is this correct? Or is it just an error in the template?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1951
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/02/2016

Reporting of bilateral bank loans and book value or emission value in template C 68.00?

In column “product name” there are two categories “Retail funding” and “Wholesale funding”. How shall bilateral bank loans without collateral be treated? Shall bilateral bank loans be reported under “unsecured wholesale funding, of which financial customer” (row 120)? In the column “total amount received”, is it the book value or the emission value that should be reported? Moreover we wonder if equity should be considered as funding?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1949
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/02/2016