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List of Q&A's

Reporting of own funds requirements for non-continuous options

Where do own funds requirements for non-delta risks related to non-continuous options have to be reported, if the institution applies the delta plus approach?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1885
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Asset Encumbrance Reporting for firms with Accounting Reference Date other than 31 December

Article 2(3) of the ITS on Supervisory Reporting allows the uniform reporting and remittance dates for reporting financial information (i.e. FINREP) to be adjusted where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year (this was also clarified in the response to Q&A 147). The supervisory reporting templates on Asset Encumbrance follow, from a methodological point of view, FINREP and the current ITS also includes some cross validation checks between certain data points in FINREP and the AE templates.In this regard, can the same flexibility with the reporting and remittance dates (in Article 2(3) of the ITS on Supervisory Reporting) provided to institutions that have an accounting year-end which deviates from the calendar year in terms of reporting FINREP also be extended to the reporting of the Asset Encumbrance templates?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1722
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/08/2017

LE reporting - reporting of exposures exempted under Article 400(1)(c) - exposures carrying explicit guarantees of central governments

What is the correct reporting of an exposure to company A if this exposure is guaranteed by the explicit guarantee by central government (this central government with 0% RW) - such exposure is subject to an exemption under Article 400(1)(c)?

  • 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_1349
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/08/2017

FINREP, F 31.02 vs F 02.00 – dividend income from joint ventures and associates

Could you clarify the inconsistency between the references of template F 31.02 (IAS24) and the instructions and deactivate the validation rule v1374_m, or if not, clarify the reasons of this one?

  • 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_2218
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

FINREP Templates F 30.01 and F 30.02, validation v1019_m

For interests in unconsolidated structured entities for which no liquidity support is drawn, what is the treatment for validation v1019_m?

  • 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_3298
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Inconsistency between validation rules and ITS/CRR for C 07.00

Why is there an inconsistency between the provisions of the CRR / the ITS on Reporting and several validation rules (e4891_n // e4894_n)?

  • 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_3285
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Validation rules v2815_m, v2821_m vs. FINREP / AE instructions

Validation rules v2815_m and v2821_m imply that customer loans on demand are reported in different rows in the Asset Encumbrance template F 32.01.Our understanding of FINREP and AE instructions differs as follows:In Asset Encumbrance template F 32.01, all loans on demand are reported in row 020 ‘Loans on demand’, whether they are due from credit institutions or customers. In French accounting (PCEC), credit institution loans on demand are classified in class of accounts 1, and customer loans on demand in class of accounts 2.In FINREP template F 01.01, class 1 loans on demand are reported in row 030 ‘Cash balances at central banks’ and class 2 loans on demand in row 200 ‘Loans and advances’.We believe validation rules v2815_m and v2821_m are inconsistent with FINREP and AE instructions on customer loans on demand.

  • 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_3263
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/07/2017

FINREP, F 08.01: Breakdown of financial liabilities, amount contractually required to pay at maturity

We need a clarification regarding FINREP template F 08.01 Breakdown of financial liabilities by product and by counterparty sector, column 050 (Amount contractually required to pay at maturity). It is not clear which types of deposit liabilities (overnight deposits, deposits with agreed maturity, deposits redeemable at notice and repurchase agreements (repos)) are required to be included in this column. Does FINREP template F 08.01, column 050 refer to all of the four aforementioned deposit types or only those ‘deposits with agreed maturity’ and ‘repurchase agreements (repos)’? IF we are to include all four types of deposits, it is not clear what maturity date to use for overnight deposits and deposits redeemable at notice.

  • 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_3257
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

C 07.00, validation e4894_n (validations for v2.6)

This validation rule indicates that for exposure class ‘Institutions’ rows 140 to 170 and 190 to 280 of C 07.00 for columns 010 to 040 and 150 to 240 should be empty. Where should the following exposures to institutions be reported?According to Article 113 (6) CRR an institution may have exposures which are assigned a RW of 0%, (row 140).According to Articles 306 (1) and 305 (6) CRR, CCPs exposures reported in ‘Institutions’ would take a RW either of 2% or 4% respectively (rows 150 and 160)According to Articles 119 to 121 CRR, an institution may have exposures to an institution which are assigned a RW of 50%, 100% or 150% (rows 200, 230 and 240)

  • 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_3237
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Rollover of Funding (C 70.00): Treatment of maturing deposits being renewed at a different tenor

When the initial tenor of the maturing deposit is different from the rolled over deposit, will the maturing deposit be reported in a different initial tenor section compared to the rolled over deposit?For example, if a deposit is maturing which had an initial tenor of 2 months but when rolled over it has an initial tenor of 9 months, where will the maturing amounts be shown and where the rolled over amount? Do they have to be in the same initial tenor section?

  • 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_3236
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Validation Rule v3748_s partly incorrect

According to COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702 of 18 August 2016 column 430 of Template ‘C 13.00 — CREDIT RISK – SECURITISATIONS (CR SEC IRB)’ has to be reported with negative values.Description: ‘ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES: For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. Negative values shall be reported in this column.’Therefore column 430 should be excluded from validation Rule v3748_s.

  • 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_3220
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

F 05.00, row 010, column 030 - On demand [call] and short notice [current account] for Central Banks

For template F 05.00 relating to the breakdown of loans and advances by product, Annex V, Part 2.41 states that: ‘balances receivable on demand classified as ‘Cash and cash balances at central banks’ shall also be reported in this template ‘. Besides the cash and cash balances there are also compulsory reserves that have to be reported in this template. In which row do they have to 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: 2016_2970
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Annex XI - template C 44.00 (LR5), row 040, column 010

In consolidated reporting, which category should be used to complete template C 44.00, row 040, column 010 if the parent company is a Financial Holding Company or a Mixed financial holding company?

  • 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_2833
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Positions Subject to Capital Charge

COREP template C 18.00, column 050 - Can you please clarify what is expected to be reported in this field?

  • 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_2816
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Reporting of ECB LTRO in table 2A2 (P 02.02) and validation rule v4135_m

Should ECB LTRO transactions be strictly reported in table P 02.02 in row 010 as a repo transaction?

  • 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: 2016_2569
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 28/07/2017

‘Exposure weighted average LGD’ computation in CR GB2 report

Own funds instructions states that column ‘090 Exposure weighted average LGD (%)’ in CR GB 2 has the same definition as column 230 of CR IRB template.Column 230 of CR IRB template has the following definition:‘All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered […].Exposure and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.’In case, only the exposure to large regulated financial sector entities would be reported in the CR GB2, which value should be reported in the column 090 of CR GB2? ‘Null’ value, zero or the LGD average of exposures to large regulated financial sector entities?

  • 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_2346
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Group Solvency - Combined Buffer Requirements

Annex II, Part 2, section 2.4, column 410 (combined buffer requirement) refers to CRD article 128.The format of C 06.01 / C 06.02 suggests that column 410 includes column 440 (Conservation Buffer due to Macro-Prudential or Systemic Risk Identified at the Level of a Member State) given that the heading for column 410 embraces column 440.However Article 128 CRD states:'combined buffer requirement' means the total Common Equity Tier 1 capital required to meet the requirement for the capital conservation buffer extended by the following, as applicable:(a) an institution-specific countercyclical capital buffer;(b) a G-SII buffer;(c) an O-SII buffer;(d) a systemic risk buffer;This does not include column 440 of C 06.01 / C 06.02, which is set through Article 458 CRR.Clarification is hence sought as to whether    (A) 410 = 420 + 430 + 450 + 460.or (B) 410 = 420 + 430 + 440 + 450 + 460

  • 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_1759
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Asset Encumbrance - Default Fund pledges

On what line in the AE-SOU are cash pledges related to Exchange Default Fund minimum requirement 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_1492
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Immediate obligor and ultimate obligor concerning exposures secured by mortgages on immovable property

In ‘Annex II – Reporting on own funds and own funds requirements’ we find the following instructions:‘3.4. Credit and counterparty credit risks and free deliveries: Information with geographical breakdown (CR GB)The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country. (…) Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.’What does this mean for an exposure secured by mortgage on immovable property where obligor and immovable property are located in different countries?

  • 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_1354
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Securities Lending

In the guidance on asset encumbrance Annex XVII, chapter 2.1.1, paragraph 14 (d) it states that ‘where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}’.However, {r150; c040} is greyed out in template F 32.04.Please advise whether this data point will be available for input. 

  • 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_1431
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/07/2017