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List of Q&A's

Reconciliation of FINREP and COREP with regard to goodwill

May the amounts of goodwill reported in FINREP and COREP differ due to differences in treatment between the accounting framework and 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2963
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Asset encumbrance Reporting vs. Finrep Reporting – Definition of equity instruments not aligned

The following validation rule is not correct:v2816_m: sum({F 32.01, r030, (c010, c060)}) = sum({F 01.01, c010, (r070, r093, r110, r150, r172, r176, r235)})’.This validation rule excludes row 260 of F 01.01. An entity has to disclose ‘Investments in subsidiaries, joint ventures and associates’ in this row.By definition, row 260 of F 01.01 includes equity shares that are representing the ownership in subsidiary, joint ventures or associates.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_2628
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Reporting of outflows and Inflows arising from secured lending transaction where collateral is not Level 1, Level 2A and Level 2B asset on DA LCR templates C 73.00 and C 74.00

On which rows of the liquidity coverage templates C 73.00  - Outflows and C 74.00 - Inflows should firms report flows arising from secured lending transaction where collateral is not Level 1, Level 2A and Level 2B asset and therefore non-liquid asset. ANNEX XXV – REPORTING ON LIQUIDITY (PART 2 OUTFLOWS) and ANNEX XXV – REPORTING ON LIQUIDITY (PART 3: INFLOWS) state that ‘Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid.’Therefore are firms not required to report flows arising from secured lending transaction where collateral is non Level 1, Level 2A and Level 2B asset in section ID 1.2 of the C 73.00  and C 74.00 on the rows for collateral that does not qualify as a liquid asset? The specific remark regarding secured lending and capital market-driven transactions on ANNEX XXV – REPORTING ON LIQUIDITY (PART 3 INFLOWS) 1.2 (3) is ambiguous when viewed in conjunction with the decision tree guidance for reporting assets and liabilities from secured lending which states ‘Allocate into one relevant item of ID 1.2’.If firms are not required to report flows arising from secured lending transaction where collateral is non Level 1, Level 2A and Level 2B asset in section ID 1.2 of the C 73.00  and C 74.00 where should they be reported? We assume they must be reported somewhere as they contribute to the firms’ net liquidity outflow, but to report these flows in section 1.2 can distort the numerator calculation on row 090 of C 76.00.

  • 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_2576
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Reporting of individual exposures relating to a group of connected institutions for which there is a cash pooling agreement, where some creditor nostri accounts are offsetting debtor nostri balances

Our institution has a cash pooling agreement relating to three bank accounts opened in different banks belonging to the same Group, so that cash transfers are processed automatically overnight to one centralizing bank account.Up to now, in the LE2 template, we have been reporting the resulting net exposure on this group of connected counterparties and in the LE3 template, the detail for each of the three counterparties, but we have been encountering the following validation rule blocking errors: v0648_m, v0649_m,  v3799_s and v3802_s. These errors are due to the input of a negative outstanding for one of the banking counterparts, corresponding to a creditor nostro balance.Our question is how to fill in the LE3 template in this situation ?

  • 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_2286
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/08/2017

C 22.00 (Market Risk FX) - Scope of Memorandum Items

Please clarify whether the Memorandum Items on COREP template C 22.00 (Market Risk FX) which are to be reported on rows 130 and below should include all of an institution's gross and net FX positions, regardless of the approach used for capital requirements of these positions. Please also clarify whether these items should be reported by all institutions with the relevant COREP reporting requirement, or only by those institutions which meet (i.e. exceed) the 'de minimis' threshold defined in Article 351 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: 2015_2285
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Inconsistency between Annex II C 14.00, column 190 and DTS categorisation of COREP C 14.00, ei86 measure.

In return C 14.00, the Annex II states that ‘If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.’This would imply that ei86 must report ‘OT’ value.Measure ei86 has link to GA domain, GA4 hierarchy.The GA4 doesn't contain ‘OT’ member. It contains eba_x28 - Other Countries member.We believe there to be an inconsistency between the GA4 hierarchy and the Annex II.

  • 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_2131
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Consideration and representation within the LE templates in case of existing indirect exposure resulting out of credit risk mitigation (CRM) – here unfunded credit protection under a guarantee between two partners within a Group of connected clients (GCC).

In case of large exposures to a Central Government (SOV) which is part of a Group of Connected Clients (GCC) according to CRR Art. 4 para 1 (39) and reported as explained in the Q&A 2013_681 (separate aggregation of the SOV and each GCC), in which way would be a guarantee considered if the SOV is the guarantor of the entity A and they are both part of the same GCC?We see the following options:the indirect exposure towards the SOV is reported for each Group of connected clients (e.g. GCC1 consisting of SOV and entity A and GCC2 consisting of SOV and entity B) and the direct exposure and the effect from credit risk mitigation is reported only to entity A;in this case there is double counting of the exposure (SOV+A) when calculating the original exposure and the exposure before CRM and exemptions of the GCC;the indirect exposure towards the SOV is reported for each Group of connected clients (e.g. GCC1 consisting of SOV and entity A and GCC2 consisting of SOV and entity B) and the direct exposure to A is omitted (being part of the same GCC): in this case there is no double counting of the exposure (only exposure to SOV);the indirect exposure towards the SOV is not reported at all while the direct exposure to A is reported (out of the existing intragroup guarantee there is no effect from CRM): in this case there is no double counting of the exposure (only direct exposure to A).

  • 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_2116
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Definition of encumbrance relating to retained interest of the issuer of securitisations

Does the ‘underlying retained securities’ of a securitization position include retained interest of the issuer as defined in article 405 of CRR? Does the retained interest of the issuer shall be considered as encumbered?

  • 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_2019
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/08/2017

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