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List of Q&A's

C 09.02 - validation rules v4776_m, v4777_m, v4778_m, v4780_m and v4781_m

According to validation rule v4776_m, the value in row r060 of C 09.02 should be >= the value in row r070 and this for columns (010-070;100-130). We think this rule is only relevant for columns which report amounts and not for columns which report percentages. Hence, we think this rule cannot be applied to column c100 as this column is used to report an average LGD in %. The same remark applies for validation rules v4777_m; v4778_m; v4780_m; v4781_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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_3351
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 08/12/2017

Transactions with maturities longer than 10 years

We reference to the Q&A 2015_1802: Transactions with maturities longer than 10 years are excluded in the form C 69.00. Does the excluding of transactions with maturities longer than 10 years also apply for the form C 70.00?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_2885
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 01/12/2017

Scope of bail-in tool: Clarification on Article 44(2)(f)

Is the purchase or sale by an EU bank (falling within the EU Single Supervisory Mechanism) from/to a EU bank (also subjected to the EU Single Supervisory Mechanism) of a listed security (bond of equity) with settlement T+2 (up to T+6) through a clearer such as (but not limited to) Euroclear, Iberclear, Clearstream, Monte Titoli, Sicovam, etc... excluded from bail-in in force of Article 44(2)(f) of the Directive 2014/59/EU?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3219
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 01/12/2017

C 17.01 – Total gross losses and loss adjustments (v6127_h and v6128_h)

In the new version of the ITS available on the EBA website which explains the functional requirements regarding the DPM 2.7, it's stated in the presentation of rows 010-880: ‘Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.’In the definition of row 910, the ITS clearly states: ‘It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. [...]'.This definition make sense for us, as it pastes with the requirement defined above mentioning that BIA losses may in certain cases only affect rows 910-980.But in the same case the definition of row 920-924 and the validation rules v6127_h and v6128_h seem to indicate that row 920 and 940 must be calculated as simple aggregation of the previous rows: ‘the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line.’ Such indications for us are not consistent with the previous one indicating that for BIA only the total section may be fed.Please can you tell us in case of losses calculated under BIA with no business line attached how we should feed them in the C 17.01?

  • 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_3522
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 24/11/2017

Classification as off-balance sheet items of a committed reverse repo facility or other committed credit facilities where drawing under the facility is conditional upon purchasing or receiving eligible collateral

Would it be possible for an institution to assign a committed reverse repo facility, or other committed credit facility where drawing by the client is conditional to purchasing or receiving eligible collateral by the institution, to one of the risk categories as “other items also carrying [low], [medium/low], [medium] risk and as communicated by EBA”, in accordance with Article 111(1) CRR or Article 166(10) CRR and Annex I?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3332
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/11/2017

CCF for uncommitted lines

Can uncommitted guarantee/letter of credit lines be classified as low risk under Annex I, point 4 letter (c) CRR? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3246
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/11/2017

Presentation of IRB floor (Article 500 CRR) in COREP templates

How should an IRB institution present Basel I floor as defined in Art. 500 CRR (an additional IRB floor requirement) in COREP reports?

  • 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_3228
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 24/11/2017

Reporting of credit risk adjustments according to Article 110 of CRR

In relation to SA General credit risk adjustments, as per template C 01.00, row 920, column 010, is an institution also required to report the respective values in column 050 in template C 09.01?Furthermore, should this credit risk adjustment apply for a bank and the bank is not including it in its Tier 2 capital, is the NCA obliged to inform the bank accordingly?

  • 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_3343
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 24/11/2017

LRCalc – Reporting of SFT Exposures according to Article 429 (5) (d), 429 (8) and 429b (1) CRR

Please clarify regarding securities included in Repo transactions. As per the guidelines for Row010 in LRCALC table, ‘cash received or security that is provided to a counterparty via the aforesaid mentioned transactions and is retained on the balance sheet...’ are to be reported in other assets in Row190.From the above, as cash received or security provided on balance are to be reported in Row190, these are not reported in Row 010.[1] However, for purpose of cash receivable and cash payable netting, cash received which is reported in Row190 is included for the purpose of netting which is reported in Row 010. Is there no contradiction in guidelines?As an example if an institution has done a repo transaction of own security (on balance sheet) of value 1025 and receives a cash of 1000, in Row190, 2025 is to be reported.In Row010, for purpose of cash receivable and payable netting, cash received 1000 is included in netting.Is this not double reporting?[2] In Row 020, ADD-ON for SFT transactions is to be reported as per Article 429b (1).As securities which are included in repo transactions and which are on balance sheet, full value of security is reported in Row190 as other asset, whether ADD-ON is to be calculated and reported for such securities?

  • 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_2233
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 24/11/2017

Connected Clients and Control Relationship

Is the relation between a company and its directors as they are indicated in the company’s structure (irrespective of their number and irrespective if they are executive or non-executive directors) an indicator of control? Would it thus lead to identify a "single risk" and therefore to the creation of a group of connected clients? ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2923
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 24/11/2017

Groups of connected clients when a client is connected through various criteria (interconnection through control and / or economic interconnection)

As defined in Article 4(1)(39) of Regulation (EU) No 575/2013 (CRR), clients can be included into ‘groups of connected clients’ through criteria of control (Article 4(1)(39)(a)) or economic interconnection (Article 4(1)(39)(b)).What is the correct treatment of exposure to a client in case when the client is connected with other natural or legal persons through criteria of control and / or economic interconnection?Should the institution include and report all those clients connected with particular client as one ‘group of connected clients’ regardless of criteria of connection (control vs. economic interconnection) or should the institution include and report particular client in two (or more) groups where one group includes clients that are connected with particular client through criteria of control and the other separate group (or more groups) is formed of clients that are connected with particular client through criteria of economic interconnection?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1443
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 24/11/2017

O-SII Buffer on individual and consolidated level

Article 131(5) of the CRD (Directive 2013/36/EU) states that “the competent authority or designated authority may require each O-SII, on a consolidated or sub-consolidated or individual basis, as applicable, to maintain an O-SII buffer..”. May the competent authority or designated authority also require a single O-SII to maintain an O-SII buffer both on a consolidated AND individual basis?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/10 - Guidelines on criteria to identify other systemically important institutions (O-SIIs)
  • ID: 2017_3342
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 17/11/2017

Inconsistency in validation rule v5016_s for C 05.01

Is validation rule v5016_s consistent for rows 130 and 136 of the C 05.01?

  • 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: 2017_3516
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

International Organisations allocated to the 'Institutions' exposure class

Could you please advise based on which criteria are International Organizations allocated to the “Institutions” exposure class under IRB Approach.

  • 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_3479
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

Validation rule e4901_n

Validation rule e4901_n (active as from DPM 2.6.0) states the following: [C 07.00.a (r140-170;190;210;220;250-280, c010-040;150-240, s014)] {C 07.00.a} = empty.We have values reported in C 07.00, s014, r140 relating to unsettled securities trades for which the contractual settlement date has not yet passed. As far as we are aware these trades do not attract a capital charge and we are reporting in on this line so as to show the exposure. Should these fields be left empty?

  • 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_3466
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

Foreign Exchange Risk– Off-balance sheet items in C 22.00

What should be included in row 110 “Off-balance sheet items” of template C 22.00 (MKR SA FX)?

  • 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_3437
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

Reporting requirements for template C 33.00

How shall exposures to entities that are classified differently between different reporting frameworks (i.e. FINREP and COREP) be assigned to an exposure class in Template C33?

  • 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_3424
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

Validations between F 13.01 and F 05.00

Are validation rules v1076_m, v1079_m, v1082_m and v1085_m correct and applicable in all cases?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
  • ID: 2017_3379
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

EBA validations rules for 2.5 with reference v2708_m and v3091_ m

In accordance with Annex V.Part 2, paragraph 162 the sum of the amounts reported for both collateral and financial guarantees shall be capped at the carrying amount of the related exposure. Does the carrying amount of the related exposure refer to the gross carrying amount of the related exposure (before accumulated provisions) or to the net carrying amount (after provisions).

  • 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_3377
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 17/11/2017

FINREP IFRS 9, F 16.01 - Interest income and expenses by instrument and counterparty sector

Under national GAAP based on BAD, do ‘impaired assets’ consist of assets subject to specific and general impairment allowances or only those subject to specific impairment allowances? What scope of ‘impaired assets’ shall be considered for row 280 (‘of which: interest-income on credit impaired financial assets’) of template F 16.01?

  • 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_3369
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 17/11/2017