List of Q&As

F 15 Amounts derecognised for capital purposes

We would please like to know in more detail than provided through legal references what information is required in F 15 col. 110 "Amounts derecognised for capital purposes". Should the column comprise the assets treated as securitisation positions that have been deducted from Common Equity Tier 1? In other words, is it referred to those assets that receive the above-mentioned treatment based on CRR articles 243(1.b) and 244(1.b), which allow deduction of the 1250% risk weighted securitisation positions? Thanks in advance.

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 (as amended)

ID: 2013_320| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 03/10/2013

Reporting of notional amount for the derivatives hedging different risks (table 11.1 FINREP)

If the same hedge derivative contract is used in different transactions (i.e. to hedge multiple risks), shall the nominal amounts be reported gross and multiple times (column 030, table 11.1)?

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 (as amended)

ID: 2013_316| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 01/10/2013

Definition of Custody assets 'entrusted to other entities' (Table 22.2)

Definition of ‘Of which: entrusted to other entities’ (row 090) in Table 22.2. Are only assets held with sub-custodians of the reporting entity reported in row 090?

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 (as amended)

ID: 2013_313| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 01/10/2013

Reporting of Off Balance Sheet Activities (Table 22.2)

If the reporting entity has the same assets under asset management and also under its custody, can the assets reported in sub-sections of table 22.2 (e.g. ‘Custody assets’, ‘Asset Management’, and ‘Central administrative services for collective investment’) be duplicated?

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 (as amended)

ID: 2013_312| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 01/10/2013

Reporting currency - Table 40.1

Which reporting currency should be used in table 40.1 Group Structure 'entity-by-entity'? Shall the reporting currency of the each investee (consolidated entities) or the investor (parent) be used?

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 (as amended)

ID: 2013_311| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 01/10/2013

Validation Rules (SEC) - Rule v531_m does not take into account value adjustments on deductions from own funds

Validation rule v531_m does not seem to take into account that as stated in CRR 266(1) deductions from own funds can be reduced by the specific credit risk adjustments made in respect of the exposure leading to the deduction. Column 180 of C 13.00 (CR SEC IRB) reports these deductions as specified in CRR 266(3). Crr 266(3a) in turn refers to CRR 266(1) and (2) for the calculation of the deduction amounts. When there are such specific credit risk adjustments on deductions from own funds, the value in column 180 is reduced accordingly and the sum of columns 170 and columns 180 does not add up to the value of column 190. Should therefore this validation rule not be weakend to {c190}

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 (as amended)

ID: 2013_227| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 10/09/2013

COREP securitisations (crsecirb, crsecsa and crsecdetails)

It is unlcear from the instructions for the COREP which securtisations exposures should be filled in, in which tab (crsecirb, crsecsa and secdetails).

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 (as amended)

ID: 2013_204| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 02/09/2013

Financial assets impairment

Do impaired financial assets also include the ones that are found to be impaired at the group level or only those individually impaired? More specific, in the financial reporting form F 04.04, the column 020 “Impaired assets [gross carrying amount]” includes only the financial assets impaired on individual basis (with specific allowances for individually assessed financial assets or specific allowances for collectively assessed financial assets)?

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 (as amended)

ID: 2013_198| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 02/09/2013

FINREP: Multilateral banks

Is there any list of multilateral banks for FINREP purposes available?

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 (as amended)

ID: 2013_138| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 07/08/2013

Calculation of own funds requirements for CVA risk on a consolidated basis

How shall the own funds requirement for CVA risk be calculated for consolidated group of institutions?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_471| Topic: Market risk| Date of submission: 01/11/2013

Eligibility of index CDS hedges in Advanced CVA charge

Please can you confirm whether Basel FAQ 2c7 published in December 2012 on page 19 of BCBS's FAQ (http://www.bis.org/publ/bcbs237.pdf) is applicable under CRR?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_360| Topic: Market risk| Date of submission: 08/10/2013

LCR outflow to report for shorts under Article 423(4) of Regulation (EU) No. 575/2013 (CRR)

We assume we should be symmetrical in terms of the outflow reported for shorts (to be delivered within 30 days) and the inflows reported for the corresponding short covering trades (reverse repo/stock borrow) that mature within 30 days, since the two transactions are reported gross and independently of each other, and it is the maturity of the reverse repo/stock borrow that gives rise to the need to deliver within 30 days. We believe that the outflow to report under Article 423(4) of the CRR should be weighted consistently in line with reverse repo inflows per Article 425(2)(d): 0% for assets listed under Article 416(1)(a), (1)(b) and (1)(c) At least 15% for assets listed reported under Article 416(1)(d) 100% for any other asset not qualifying under Article 416(1)

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_355| Topic: Liquidity risk| Date of submission: 08/10/2013

20% inflow on assets with an undefined contractual end date

What is the practical interpretation of 20% inflow on assets with an undefined contractual end date?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_306| Topic: Liquidity risk| Date of submission: 30/09/2013

Reporting of amounts 'representing claims or guaranteed by multilateral development banks'

There appears a possible inconsistency in relation to the reporting of Row 610 on the outflows template 'representing claims on or guaranteed by multilateral development banks' and the corresponding instructions. In particular, the instructions make reference to 'representing claims on, or claims guaranteed by, the Bank of International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bank' and not therefore only multilateral development banks. Can the EBA advise whether there is an error in the reporting template or instructions or whether this is indeed intended to be the case?

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 (as amended)

ID: 2013_373| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 10/10/2013

Derivatives reporting in stable funding

On page 9 (2.1 - 6) it is stated that the derivatives payables and receivables is to be reported according to regulatory netting rules, not accounting rules, (applicable for both categories), which means that the summation of the categories are not going to be neither the same, nor add up to the total assets. Please clarify the amount to be reported for derivatives, and how the control for templates 60 and 61 will work.

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 (as amended)

ID: 2013_348| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 07/10/2013

Reporting frequency for template C17.00 Op risk details

Please elaborate which reporting period that should be included in the semi-annual reporting of template C017.00. According to the Annex II, part 4.2 paragraph 119 this template summarises the information by an institution in the last year. If it should be reported with a semi-annual report, which reporting period should then be included in the reporting as per end Dec resp. end June? Possible way to read this: - The same figures should be reported twice a year (just as template C16.00 contains the same figure for four quarters in row). - Rolling 12 month reporting (i.e. as per end June is 1/7 the previous year until 30/6 the reporting year)

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 (as amended)

ID: 2013_285| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 27/09/2013

January and February 2014 figures for the Q1 2014 leverage ratio reporting

Does the leverage ratio Q1 2014 reporting should include January 2014 and February 2014 data

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 (as amended)

ID: 2013_266| Topic: Supervisory reporting - Leverage ratio| Date of submission: 19/09/2013

Group solvency template - columns 300 until 340

In order to determine the qualifying own funds for the different own funds elements (Common Equity Tier 1, Additional Tier 1 and Tier 2 capital), according to sub 1 of Articles 84, 85, 86, 87, 89, capital requirements should be taken into account. Suppose, the qualifying own funds of a non-regulated entity within the CRR scope of consolidation should be determined. Is our interpretation correct that, given the fact that no capital requirements exists for a non-regulated entity, the outcome of the calculation of the qualifying own funds of a non-regulated entity according to Articles 84, 85, 86, 87, 89 always equal zero?

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 (as amended)

ID: 2013_263| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 18/09/2013

Group solvency template - columns 120, 130 and 140

Annex I of the ITS on reporting (Own funds templates) states that the figures to be reported in column 120 (Own funds) of the Group Solvency template should be equal or equivalent to the own funds reported in row 0010 of the template CA1. We conclude from that, that column 120 of the Group Solvency template should comprise all Tier 1 and Tier 2 capital of the entity the respective row refers to. From Annex I of the ITS on reporting (Own funds templates) we understand that column 130 of the Group Solvency template should reflect instruments (including related retained earnings, share premium accounts and other reserves) that are owned by persons other than the undertakings included in the CRR consolidation. From the same ITS and its reference to Article 87 (i)(b) of CRR we assume that column 140 relates to all own funds instruments of the subsidiary that are included in Common Equity Tier 1, Additional Tier1 and Tier 2 items and the related share premium accounts, the retained earnings and other reserves. We assume that the difference between the figures to be reported in column 120 and 140 of the Group Solvency template is that column 120 reflects all Tier 1 and Tier 2 capital of the entity the respective row refers to, whereas in column 140 only the part of Tier 1 and Tier 2 capital that is included in the consolidated own funds of the reporting entity, should be reported. Could EBA confirm that this assumption is 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 (as amended)

ID: 2013_262| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 18/09/2013

Does the "Excess of deduction from AT1 items over AT1 Capital" used for the calculation of the 17.65% threshold include the transitional additions for grandfathered instruments and instruments issued by subsidiaries

When calculating the applicable 17.65% threshold, is the "Excess of deduction from Additional Tier 1 (AT1) items over AT1 Capital" (Article 36(1)(j)of Regulation (EU) No 575/2013 (CRR)) supposed to be adjusted for the transitional adjustments made earlier in the process for grandfathered instruments and instruments issued by subsidiaries?

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 (as amended)

ID: 2013_256| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 17/09/2013