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List of Q&A's

Hedging derivatives

Should reporting of derivatives on the asset side (F 20.04) be in line with the instructions of EBA on the liabilities side (F 20.06) and include both trading and hedging derivatives?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3144
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Repurchase Agreements in template F 08.01 versus assets encumbered in template F 15.00 – EBA validation v0912_m

Should we align the template F 08.01 and F 15.00 on repurchase agreement 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2017_3101
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

FinRep validation rules v3079_m and v3080_m

According to the validation rules v3079_m and v3080_m, the loans and receivables for Non-financial corporations of template F 06.00 have to be equal with the loans and receivables for Non-financial corporations of template F 18.00. It is explicitly stated that only DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT have to be reported in table F 18.00. However table F 06.00 includes all debt instruments including HFT. Therefore the validation rule cannot be run with the defined operator "=".

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3098
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rule v1384_m

With respect to remeasurement gains (losses) on defined benefit plans, IAS 19, par 120 (c) together with par 122 stipulate that these are to be reported as part of Other comprehensive income and shall not be reclassified to profit or loss. Par. 122 further allows that these remeasurement gains (losses) can be transferred within equity. Based on these rules, remeasurement gains (losses) on defined benefit plans are recorded as part of Other comprehensive income and as part of Retained earnings in our financial statements under IFRS. Hence these effects are reported in table 46.00 in row 200, column 060 as well as in table 03.00 in row 060 (pre-tax) and 090 (related taxes), column 010 in our Finrep submission.Validation rule v1384_m (F 46.00, r200, c050 + c100 = F 03.00 r360,c010) however doesn’t take up this entry made in table 46.00 for remeasurement gains (losses), which are recorded as part of Retained earnings, leading to a validation error.In our view, the validation rule should be amended to also consider template F 46.00, row 200, column 060, so that remeasurement gains (losses on defined benefit plans could be reported in the Finrep submission accordingly as allowed by IAS 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: 2017_3158
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rule on Leverage ratio templates - v4462_m

Should v4462_m validation rule be deactivated or changed?

  • 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_3159
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Own Credit Spread

Due to the endorsement of IFRS 9 for annual periods beginning before 1 January 2018, an entity may elect to early apply only the requirements for the presentation of gains and losses on financial liabilities designated as at fair value through profit or loss in paragraphs 5.7.1(c), 5.7.7–5.7.9, 7.2.14 and B5.7.5–B5.7.20 without applying the other requirements of IFRS 9. If an entity chooses to early apply those requirements it recognizes gains and losses on financial liabilities designated as at fair value through profit or loss in other comprehensive income instead of in P&L. Therefore, those gains and losses have to be reported in Template F 01.03. However, the taxonomy 2.5.01 for FinRep as at December 31st, 2016 does not yet include a separate row for this item. Where should gains and losses on financial liabilities designated as at fair value through profit or loss recognized in other comprehensive income be reported in template F 01.03 as at December 31st, 2016?

  • 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_3092
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Seeking clarifications/ remediation on EBA LCR specified taxonomy mapping for Annex XXIV and Annex XXV templates

We have identified a taxonomy anomaly in the EBA LCR 70s Series taxonomy that does not allow for this guidance to be implemented for collateral swaps. Unlike template C 73.00 where ‘counterparty is central bank’ shows a 0% standard weight resulting in a 0 outflow (C 73.00, r930 c040 – c060), template C 75.00 does not provide a specific row to delineate exposure to central banks. Therefore it is not possible to isolate collateral swaps with a central bank to apply 0% outflows in the current template and taxonomy construct as per guidance - Article 28.4 of Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement: ‘Collateral swaps that mature within the next 30 days shall lead to an outflow for the excess liquidity value of the asset borrowed compared to the liquidity value of the asset lent unless the counterparty is a central bank in which case a 0% outflow shall apply’.

  • 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_2890
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rules v2817_m & v2823_m between the Finrep conso & AE-CON conso reportings

We have 2 validation rules v2817_m & v2823_m that can't be solved between the Finrep conso & AE-CON conso reportings.For the Debt securities sum({F 32.01, r040, (c010, c060)}) = sum({F 01.01, c010, (r080, r094, r120, r160, r173, r177, r190, r220, r232, r236)}) [v2817_m] checks the total of debt securities in the Finrep with total of debt securities reported in AE F32.01  There are additional checks on details;For Central govs:if {F 00.01, r010,c010} = [IFRS] then sum({F 32.01, r070, (c010, c060)}) = {F 04.01, r080,c010} + {F 04.02, r080,c010} + {F 04.03, r080,c030} + sum({F 04.04, c060, (r030, r170)}) [v2818_m]For Financial corporations:if {F 00.01, r010,c010} = [IFRS] then sum({F 32.01, r080, (c010, c060)}) = sum({F 04.01, c010, (r090-100)}) + sum({F 04.02, c010, (r090-100)}) + sum({F 04.03, c030, (r090-100)}) + sum({F 04.04, c060, (r040-050, r180-190)}) [v2819_m]For corporations:if {F 00.01, r010,c010} = [IFRS] then sum({F 32.01, r090, (c010, c060)}) = {F 04.01, r110,c010} + {F 04.02, r110,c010} + {F 04.03, r110,c030} + sum({F 04.04, c060, (r060, r200)}) [v2820_m] In the Finrep report the covered bonds & asset backed securities are reported in 1 of the 3 above categories while in the Asset encumbrance tables these types of securities are part of a separate category. Those rules doesn't allow Banks to report anything in the AE for covered bonds and asset backed securities …Other assets sum({F 32.01, r120, (c010, c060)}) = sum({F 01.01, c010, (r020, r060, r092, r240-260, r290, r320-330, r360-370)}) [v2823_m] doesn't contain PPE and goodwill. Then total of assets in asset encumbrance can't be reconciled with total asset in the Finrep.  We considered the following check as a control that both amounts are more or less aligned: {F 36.01.c, r230,c180} ≡ {F 01.01, r380,c010}

  • 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_2732
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

COREP LE template C 28.00, C29.00

Where do we report deposit on demand in banks and other receivables on LE templates?Where do we report other receivables on LE templates?How should we report total exposures if exclusion of deposits on demand and other receivables causes decrease of total exposure under threshold of large exposure?

  • 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_1960
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Correct reporting in COREP Credit Risk Standardised Approach (CRSA) template of repo / SFT Positions with Cash Collateral CRM Substitution Effects

The question concerns the reporting method under the Credit Risk Standardised Approach (CRSA) of (reverse) repurchase transactions and/or securities financing transactions (SFT) which are (partly) collateralised by cash on deposit. Specifically, this concerns the correct reporting of the CRM substitution effect of cash collateral received and the allocation of a 0% risk weight of the portion of the exposure covered by such collateral.

  • 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_2693
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Reported overshootings in C 24.00

How should the number of overshootings in VaR be reported in C 24.00?

  • 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_2759
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Forbearance ITS

Should we consider a loan/exposure for which the contractual terms and conditions have been modified to help a debtor to face financial difficulties as forborne if there is no loss for the bank?Is there any materiality threshold for the loss to consider forbearance?To calculate the loss (i) should the bank compare the previous terms and conditions with the new terms and conditions or (ii) should the bank compare the new terms and conditions with the current terms and conditions for a debtor with a similar risk profile?

  • 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_2826
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Template C 05.01 column 060 positive or not

In template C 05.01 we understand that all amounts in column 060 should be positive or null. In the first versions of validation rules, the rule v3693_s confirmed this interpretation. But this validation rule is deactivated from June 2014 in validation rules file. Should this column be systematically positive or not? When will you reactivate these validation rules?

  • 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_2482
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rule 1740_m

Regarding validation rule v1740_m (sum({F 20.06, r010, c010, (sNNN)}) = xsum({F 08.01.a, (r010, c010, c034)}), we would like to note the following:Template F 08.01 row 010 and columns c010 & c037, should be completed by the carrying value of derivative liabilities according to recognition portfolio as hedging instruments (F 08.01.a, r010, c037) or as trading (F 08.01.a, r010, c010), by those entities which apply IAS or IFRS (please see below reference 1).Template F 08.01 row 010 and column c034, should be completed by those entities which apply National GAAP.On the basis of the above two benchmarks the relevant validation cannot apply.Furthermore, template F 20.06 according to Annex V part 2 par. 108 (please see below reference 2), should be reported the total carrying value from both portfolios, hedging or trading, country by country. It is not clear that the breakdown per counterparty sector applies only for the trading portfolio.Finally, template F 08.01 should also present deposits which are distinguished by accounting portfolio (Held for trading, Designated at fair value through profit or loss, Amortised cost). What should be the treatment of these financial instruments which are also presented in template F 20.06 (validation rule v1742_m)? Should we submit the total carrying value of the three portfolios country by country?

  • 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_2835
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Maturity Bucket of Call Deposits for Large Exposure Reporting

What is the correct maturity bucket to report call (on-demand) deposits in Large Exposure Reporting template LE4?

  • 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_2644
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Derivatives not shown in the Balance Sheet and Derivates shown as Liabilities

Are derivatives shown as assets on the balance sheet or derivatives shown in CoRep basis for template LR1?

  • 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_1267
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Reference period for items reported on a cumulative basis

According to the Final Q&A 2013_619 (posted on 30/04/2014), ‘information submitted… referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date’, ‘the FINREP templates should be reported on a cumulative basis’.However, the Final Q&A 2013_158 (posted on 14/02/2014), talking about ‘Amount of cumulative change in fair values’, says that ‘Retrospective application back to the date of initial acquisition’ or ‘to apply the requirements retrospectively from the earliest period practicable’.We also saw a reference about certain period in Annex V, Part 2, paragraph 86 of the ITS on Supervisory Reporting that made us doubt: ‘Change in fair value for the period shall include gains or losses from re-measurements of the instruments in the period’.Having these three different alternatives about reporting period’s calculation, which option would be the most appropriate to apply on ‘Amount of cumulative change in fair values’?

  • 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_1165
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Classification of institution in LR5

What should be reported in {LR5;040;1} in case of brokerage houses?

  • 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_1287
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Reporting of cash collaterals included in repurchase agreements in F 08.01

In template F 08.01, repurchase agreements shall be reported in rows 100, 150, 200, 250, 300 and 350.According to the instructions (Annex V, Part 2, 91(a)) to template F 15.00, cash collaterals should be reported as repurchase agreement.There is a validation rule that partly ties the templates F 08.01 and F 15.00 together:v0912_m: {F 15.00.b, r190,c060} <= xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)})Does it imply that cash collaterals also should be included in repurchase agreements in template F 08.01?

  • 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_1667
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Inconsistent validation rules of asset encumbrance templates (F 32.01, F 32.04, F 36.01)

There are several validation rules that do not appear to be appropriate:v2823_msum({F 32.01, r120, (c010, c060)}) = sum({F 01.01, c010, (r020, r060, r092, r240-260, r290, r320-330, r360-370)})According to the instructions of F 32.01 and validation rule v2814_m, if the asset encumbrance reporting is based on IFRS, then the total assets of the reporting institution (sum({F 32.01,r010,(c010,c060)})) equals to the total assets reported in {F.01.01,r380,c010}.In order to meet this requirement, v2823_m should also contain row280 and row310 of F01.01. Now these items are missing from the formula.Validation rules v2864_m and v2865_m are applicable for rows 020, 030, 050-060 of F 32.04, however row 060 is grey shadowed.In our understanding v3309_i should be applicable only for IFRS banks because {F 36.01, r230, c180} equals to sum({F 32.01, r010,(c010, c060)}) which equals to Total assets of F 01.01 only if the report is based on IFRS. Now the formula doesn’t distinguish between IFRS and non-IFRS banks.

  • 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_1671
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 07/04/2017