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List of Q&A's

Definition of retail deposits with higher outflow rate

What is the definition of the condition for retail deposit with higher outflow rate: "the rate significantly exceeds the average rate for similar retail products"? Bucketing our retail deposits we have a two-fold problem with defining when deposit rate on our product significantly exceeds or does not exceed the average rate for similar retail product.

  • 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_2303
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 27/04/2018

Reporting of impact of adoption of IFRS 9 in F 12.01

How shall the impact of the adoption of IFRS 9 be reported in template F 12.01 “Movements in allowances and provisions for credit losses”?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3624
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/04/2018

Credit claims in liquidity stress test buffer

Are credit claims eligible for the liquidity buffer (counterbalancing capacity) if they are not already pledged with the central bank? In particular, would the credit claims originally intended for covered bonds form part of the bank’s pool of collateral for monetary policy credit operations before they become eligible for the counterbalancing capacity (CBC)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2003
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as final Q&A: 13/04/2018

Transposition of Article 96

Should the national provisions which are going to transpose Article 96 only provide for the resolution of branches of a third-country institution located in the same Member State?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3757
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Validation Error arising from Guidance Notes for C 18.00 report

Which one should take precedence:(1) the general remarks for template C 18.00 in the ITS on Supervisory Reporting (Annex II), or(2) the existing formatting for the currency sheets of template C 18.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2018_3718
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Validation rule v_1044_m (FINREP template 16.3 IFRS9)

The validation rule v1044_m requires that for template F 16.03 the following condition is fulfilled: {r090} = sum(r010-080).However, in taxonomy v2.7 template F 16.03 has been amended: row 015 (of which: Economic hedges with use of the fair value option) has been added. Is the validation rule v1044_m still valid?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3692
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Reporting reference dates for template C 33.00

Could you please confirm what the first reporting reference date for the sovereign exposures template (C 33.00) for institutionsi. who report on a calendar year basis (i.e. accounting reference date 31 Dec)ii. whose accounting reference date deviates from the calendar year (say 31 March) and are permitted to apply Article 2(3) of Regulation (EU) No 680/2014is?

  • 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: 2018_3691
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Validation rule v5053_m in DPM 2.7.0.1

For all rows in template F12.01a the validation v5053_m states: {c100} = sum(c010-090). Is it correct that including row 350 (of which: non-performing) is an error in validation v5053_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: 2018_3680
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Taxonomy 2.7.0.1 Validation Rules on FINREP 12.01

According to rule v5054_m, the total of the stage one allowance is limited to the provision for expected losses on household exposures only. Should this rule be superseded by v5554_h? Using the former rule will understate the true amount of the allowance.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2018_3673
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Template CRGB sheet 01 and 02

In Regulation (EU) 2017/2114 amending Regulation (EU) No 680/2014, in Annex II paragraph 3.4, no sheet ‘Total’ is described for CRGB1 and CRGB 2. Only in paragraph 3.4.4.1 a sheet Total is described for CRGB 04.But a release note on taxonomy 2.7 seems to say that a total sheet is now mandatory for CRGB1 and 2. Is it true?There are 63 validation rules between templates C 09.01 and C 07.00 which have an expression similar to this ‘sum({C 09.01.a, r010, c010, (sNNN)}) = {C 07.00.a,  r010,  c010,  s002}’.Additionally, there are 76 new validation rules of type eQuivalence which have an expression similar to this ‘{C 09.01.a,  r010,  c010,  [CEG=eba_GA:x1]} = {C 07.00.a,  r010,  c010,  s002}’.There are also 39 validation rules between templates C 09.02 and C 08.01 which have an expression similar to this ‘sum({C 09.02, r130, c010, (sNNN)}) = {C 08.01.a, r010, c020, s017}’.Which of these rules and how shall these rules be applied successfully?

  • 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: 2018_3672
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Inconsistency between CRR article 379 and validation rule V4894 (C 07.00)

Where should the free delivery exposures meeting the eligibility as per Article 379 CRR, table 2, column 4 (i.e. getting a 1250% risk weight) be reported in template C 07.00? 

  • 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: 2018_3669
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Validointisääntö v4821_m, C 08.02 (Validation rule v4821_m, C 08.02)

Original questionMistä sääntelystä tai asetuksesta nousee ylärajoite LGD-osuudelle (omia LGD-estimaatteja käytettäessä)? Mitä arvoja sarakkeessa 230 tulisi raportoida lomakkeella C 08.02 tilanteessa, jossa vastapuoliluokan painotettu keskimääräinen LGD > 100 %?Translated questionWhat rules or regulations raise the upper limits of the LGD amount (when using own LGD estimates)? What values in column 230 should be reported in template C 08.02, when the weighted average LGD of the obligor grade is > 100%?

  • 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: 2018_3661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Reporting C67 - "Concentration of funding by counterparty ", why the product coding has not evolved compared to the new EBA text ?

As part of the implementation of the new ITS on reporting on the ‘Additional Monitoring Tools’ to put into production by the end of March 2018, we found that in the specifications of new taxonomies for reporting C 67.00 – ‘Concentration of funding by counterparty’, the product coding has not evolved. The new EBA text mentions the renaming of the ‘REPO’ product category to ‘SFT’ and the addition of two new categories: ‘OSWF - Other secured wholesale funding’ and ‘OFP - Other funding products’.Why is the taxonomy not aligned with the new EBA text? 

  • 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: 2018_3653
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

DPM 2.7.0.1 has not been fully aligned with 2017/2114

There shouldn't be inconsistencies between total and significant currency templates regarding general metrics - the only difference should be that significant currency templates should include (CUS:CU) [Currency with significant liabilities] and (CCA:CA) [Currency conversion approach metrics].Currently there are the following inconsistencies:C 66.01.w/ C 66.01.x/ C 66.01.y is missing (CCA:CA) [Currency conversion approach] - (CA:x1) [Expressed in currency of denomination (not converted to reporting currency)] metricC 66.01.a vs C 66.01.w are inconsistent on (CAL:AP) [Calculation method] and (MCY:MC) [Main category] for certain rowsC 66.01.b vs C66.01.x are inconsistent on (LIQ:LQ) [General liquidity requirements], (CPC:CT) [Counterparty sector of the collateral] and (MCY:MC) [Main category] on certain rowsC 70.00.a vs C 70.00.w are inconsistent on (MCY:MC) [Main category] on all rowsC 70.00.a row 1080 is inconsistent with the rest of the report on (MCY:MC) [Main category] metric(ei359) Product type (funding) [ei:MC:MC26] is missing two possible values required by ITS - OSWF and OFP 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2017_3627
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Inconsistency in validation rules v4748_m, v4749_m and v4750_m

In taxonomy 2.7, validation rules v4748_m, v4749_m and v4750_m are introduced for template C 07.00.Validation rule v4748_m expects the ‘fully adjusted exposure value (E*)’ (c150) to be equal to the sum of ‘Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors’ (i.e. sum of c160, c170, c180, c190) across rows 010-060, 080 and 140-280 for all sheetsSimilarly, validation rule v4749_m expects (c150) to be equal to the sum of c160, c170, c180, c190 across rows 290 and 310 for all sheets and validation rule v4750_m expects c150 to be equal to the sum of c160, c170, c180 and c190 across rows 300 and 320 for all sheets.Column 150 includes off balance as well as on balance items and columns 160, 170, 180 and 190 is break down only off balance items by conversion factors. Hence, equality in this validations may not hold true always. So, are these validations correct?

  • 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_3623
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Reference date for determination of previous day’s values

To which day do Art. 364 1) a) i), Art. 364 1) b) i) and Art. 364 2) b) i) CRR refer to? To which days do Art. 364 1) a) ii) CRR, Art. 364 1) b) ii) and Art. 364 2) b) ii) of the CRR refer to?

  • 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_3559
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/04/2018

Traitement des dettes subordonnées dans l'état C 68.00 et C 67.00 (Treatment of subordinated debt in templates C 68.00 and C 67.00)

Original questionPouvez-vous nous préciser le traitement à suivre concernant les dettes subordonnées dans l’état C 68.00 (financement par produit)? Translated questionCould you please clarify the applicable treatment for subordinated debt in template C 68.00 (Concentration of funding by product type)?

  • 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_3139
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Eligible asset classification for counterbalancing capacity C 71.00 – Concentration of Counterbalancing capacity by issuer / counterparty

Should items such assenior bonds and deposits on current accounts with other credit institutions orshares of UCITS, which qualify as Liquid Assets for the LCR-Reportingbe reported in template C 71.00 – Concentration of Counterbalancing capacity by issuer/counterparty?

  • 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_2897
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Conditions for Early intervention

What are the conditions for Early intervention in Article 27(1) of Directive 2014/59/EU (BRRD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3696
  • Topic: Early intervention
  • Date of submission:
  • Published as final Q&A: 09/03/2018

Calculation of original and residual maturities in the context of ALMM (C 66.01) for puttable bonds

Assume the following data for a puttable bond:Origination date:                               30.08.2018First investors’ put optionality:          15.02.2019Second investors’ put optionality:     15.05.2019Final maturity:                                   30.10.2020From our point of view, the instructions of annex XXII (reference 1.1.4) and annex XXIII (paragraph 12) in combination with the answers to the question 2 in EBA/ITS/2017/01 suggest this bond should be assigned with original (OM) and residual maturities (RM), both in days, for illustrative reporting dates as shown below:Reporting date: 31.08.2018: OM 169; RM 168Reporting date: 30.09.2018: OM 169; RM 138Reporting date: 30.12.2018: OM 169; RM 47Reporting date: 31.03.2019: OM 169; RM 45Reporting date: 30.06.2019: OM 169; RM 488Reporting date: 30.09.2019: OM 169; RM 396

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2017_3287
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018