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)?

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?

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}

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)?

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?

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)

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?

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)

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?