List of Q&As

Substitution of ratings for CRMT purposes

For the instruments listed in Article 197 of Regulation (EU) No. 575/2013 (CRR), is it possible to use the issuer rating in order to derive eligibility (and haircuts) where no specific instrument rating exists (“substitution”)?

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

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

ID: 2013_679 | Topic: External Credit Assessment Institutions (ECAI) | Date of submission: 19/12/2013 | Date of publication: 03/10/2014

Relevance of Issuers Rating for Article 120 of Regulation (EU) No 575/2013 (CRR)

Does Article 120 of Regulation (EU) No 575/2013 (CRR) refer to claims only, where there is an issue-related rating existing, or does it also cover claims, where no rating exists for the issue, but for the issuer?

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

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

ID: 2013_652 | Topic: Credit risk | Date of submission: 13/12/2013 | Date of publication: 03/10/2014

Content of “accumulated changes in fair value due to credit risk” in template F 16.05

Column 020 of template F 16.05 is labeled as “Accumulated changes in fair value due to credit risk”, whereas the respective instructions (paragraph 100 of part 2 of Annex V of the ITS on supervisory reporting) reads “Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).”. We would like to get confirmation that the instructions shall be followed and that the use of the word “accumulated” in the second column of F 16.05 is a typo.

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: 2014_1109 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 25/04/2014 | Date of publication: 03/10/2014

Annex II and VIII of the ITS on supervisory reporting under the CRR

According to the Article 395 paragraph (5) point a) of CRR the limit to large exposure may be exceeded for the exposures on the institution's trading book – among others - if the exposures on the non-trading book do not exceed the limit laid down in paragraph (1). How shall the excess of limit to the large exposure on the non-trading book after CRM be reported in the CA2 template?

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: 2014_1085 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 18/04/2014 | Date of publication: 03/10/2014

Definition of non-financial corporate credit and liquidity facilities.

Please could you clarify the definition of facilities offered to non-financial corporates to be reported in rows 1230 and 1240 of template 52?

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: 2014_979 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 20/03/2014 | Date of publication: 03/10/2014

Missing activity in NACE code - for agiculure

Dear Sir/Madam! We found out that there is no NACE code in ITS for activity Agriculture. In NACE code are for eg. codes A - Agriculture, forestry and fishing, A2 - Forestry and logging and A3 - Fishing and aquaculture. But there is not code for Agriculture, which could be A1. That you for your answer. Best regards, Tjaša Češnovar BANKA SLOVENIJE Eurosystem Banking supervision Slovenska 35 1505 Ljubljana Phone: +386 1 47 19 341 Faks: +386 1 47 19 727 E-mail: Tjasa.Cesnovar@bsi.si Website: http://www.bsi.si

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: 2014_976 | Topic: Supervisory reporting - Other | Date of submission: 20/03/2014 | Date of publication: 03/10/2014

LCR Sign Convention

What sign convention has to be applied for outflows? Should they be reported as positive or negative figures?

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: 2014_971 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 19/03/2014 | Date of publication: 03/10/2014

F 31.01

Annex XV_Validation formulae with IDs v1030_m, v1031_m, v1032_m, v1034_m, and v1036_m define that the sum of outstanding balances in F31.01 should be equal or less than the balances reported in corresponding rows of other FINREP tables (F 07.00, F 43.00, F 08.01.a in F 09.00) less balances with counterparties from sectors »Central banks« and »General government«. Does that mean that these sectors cannot be reported as related parties? Taking into account the fact that all data in columns of template F31.01 refers to IAS 24.19, could it be assumed that also transactions with other counterparties related to the state (IAS 24.25 in 24.26) are not considered in the template? In case the bank is state-owned these validation rules would not hold out.

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: 2014_915 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 06/03/2014 | Date of publication: 03/10/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 290

Field 290 - First Foreseeable Termination Date. Firstly, if there is no call date and the clean-up date is not known (e.g. for an Investor position), what do we report here? Secondly, if there is a call date but this is now in the past (i.e. hasn't yet been called) what do we report here?

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: 2014_913 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/03/2014 | Date of publication: 03/10/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 080

Field 080 - Type of Retention Applied. How do we report for Investor positions? Information is not publicly 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: 2014_901 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/03/2014 | Date of publication: 03/10/2014

Exit criteria for performing exposure under probation that has been reclassifiied to non-performing because it has been re-forborne or is more than 30 days past-due

According to paragraph 180 non-performing exposures with forbearance measures comprise forborne exposures that meet the criteria to be considered as non-performing. These exposures are forborne exposures which have been reclassified from the performing category, including exposures under probation having been re-forborne or more than 30 days past-due. However, which exit criteria does apply to cease being non-performing for this specific non-performing exposure?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_886 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 27/02/2014 | Date of publication: 03/10/2014

Forbearance - Arrangement to Pay and Promise to Pay

The question concerns the identification of forbearance measures, namely the ‘Arrangement to Pay’ and the ‘Promise to Pay’. With this question I want to propose that an Arrangement to Pay will not be classified as forbearance. I would like to know whether you agree on my conclusion. Forbearance (EBA definition) Debts with forbearance measures are contracts / the terms (1) of which the debtor is considered unable to comply with (2) due to its financial difficulties so that the institution decides (3) either to modify the terms and conditions of the contract to enable the debtor to service the debt or to refinance, totally or partially, the contract. When determining whether a measure constitutes as forbearance the following aspects should be taken into account: A. Is the counterparty in financial difficulties? B. Is there a modification of the terms and conditions of the contract? C. Is the modification a concession? D. Is the classification of forbearance aligned with the objectives of the regulator?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2013_654 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 13/12/2013 | Date of publication: 03/10/2014

v0679_m: taxonomy is incorrect.

The validation rule for the RWA of the off-balance sheet items (C43.00 r010, c020) only considers the RWA of the off-balance sheet items subject to credit risk in Total-Standard approach (C 07.00a r080, c220, s001) and the RWA of the off-balance sheet items subject to credit risk in Total-IRB Approach to capital requirement with own estimates of LGD and/or conversion factors (C 08.01a r030, c260, s001). Should the RWA of the off-balance sheet items subject to credit risk in Total-IRB Approach to capital requirement without own estimates of LGD and/or conversion factors (C 08.01a r030, c260, s002) also be considered in this validation rule?

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: 2014_1251 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 28/05/2014 | Date of publication: 03/10/2014

What day count convention is to be used in Regulation (EU) No 575/2013 (CRR) Art.116 (3)

What day count convention is to be used in Regulation (EU) No 575/2013 (CRR) Article 116 (3) ?

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

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

ID: 2014_1103 | Topic: Credit risk | Date of submission: 24/04/2014 | Date of publication: 03/10/2014

Treatment of Croatian currency - Kuna (HRK) and Croatian national market in Market risk reporting templates

We have noticed that there is no code for Croatian currency (HRK) as pre-defined separate reporting currency in templates C18 and C22 and no code for Croatian market as pre-defined separate reporting market in template C21.

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: 2014_1370 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 16/07/2014 | Date of publication: 26/09/2014

Lines 290 to 320 of the CR SA’ state

1/ For lines 290 and 310, are the columns "215" and "220" matching the exposures’ weighted amounts if they were not secured by a mortgage or is it necessary to declare the same weighted amounts shown in line 010 classified according to the category of the exposure’s original counterpart. 2/ For lines 300 and 320, is the column "215" matching the exposures’ weighted amounts if they were not in default or is it necessary to declare the same weighted amounts shown in line 010 classified according to the category of the exposure’s original counterpart. 3/ Lines 300 and 320 of the CR SA’ state concern defaulted exposures for which categories before being in default were as such: - Central governments and central banks - Regional and local administrations - Public Sector Entities - Institutions that are not subjected to an evaluation of short-term credit - Businesses/Corporates that are not the subjected to an evaluation of short-term credit - Retail (customers ) Can you confirm that defaulted exposures secured by a mortgage are not affected by lines 300 and 320 of the CR SA state? However, they will be reported in the column "020" of the line 90 of the CR GB 1 state.

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: 2014_1163 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 07/05/2014 | Date of publication: 26/09/2014

Different ID

Why "Public sector entities" dimension in the table C 07.00 does not have same type of linking to the table C 02.00 as does have for example "Regional governments or local authorities" dimension?

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: 2014_1090 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 22/04/2014 | Date of publication: 26/09/2014

Validation rule v3995_u

Please check the appropriateness of validation rule (v3995_u) "{C 27.00, c010} is a row identifier, and must be unique for each row in the table"

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: 2014_1080 | Topic: Supervisory reporting - Large Exposures | Date of submission: 17/04/2014 | Date of publication: 26/09/2014

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

ITS instructions for Annex I, C04.00, r650, c010 refer to article 46.4 that only deals with non significant investments in financial sector entities. Heading of reporting line seem to indicate that all the holdings (be significant or not) in financial sector entities should be reported there if not deducted from own funds. Can you clarify?

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: 2014_1037 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 01/04/2014 | Date of publication: 26/09/2014

Header in Template C_09.02 has incorrect wording

The header for column 125 in Template C.09.02 reads: RISK WEIGHTED EXPOSURE AMOUNT PRE AFTER SME-SUPPORTING FACTOR The correct heading is: RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

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: 2014_1024 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/03/2014 | Date of publication: 26/09/2014