List of Q&As

Geographical Breakdown

We have found differences between the package provided by our XBRL suppliers and those supplied by EBA mainly with regards to geographical breakdown.The problem is regarding total sheets whether these should be included or not and the list of countries that should be reported in the respective sheets. Our XBRL suppliers suggested we contact EBA for further clarification as the instructions and the reference ( please see link below) made in the instructions to Article 96 of the CRR are not clear. The EBA Q&A questions already submitted which refer to geographical breakdown deal mainly with threshold issue, while we need clarifications regarding the list of countries and total sheets. http://www.eba.europa.eu/documents/10180/603236/Draft---ITS-on-reporting_Annexes_Templates.zip For example for table C 15.00 : Extract from Annex IV found in the above link states: “3. Geographical breakdown 9.11. According to Article 96 paragraph 1 second sentence of CRR this template is reported for separately for each property market within the EEA to which the relevant institution is exposed 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 (as amended)

ID: 2014_1019 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/03/2014 | Date of publication: 26/09/2014

CR GB 2 - Row 140 – Total exposures

Does the ‘Total exposures’ row in the CR GB 2 template include or exclude ‘Equity’ exposures (row 140)?

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_959 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 18/03/2014 | Date of publication: 26/09/2014

Publication of administrative penalties

Does the requirement to publish the administrative penalties (Article 68 of Directive 2013/36/EU (CRD)) include publishing supervisory powers listed in Article 104?

Legal act: Directive 2013/36/EU (CRD)

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

ID: 2013_411 | Topic: Other issues | Date of submission: 21/10/2013 | Date of publication: 26/09/2014

Annex XV - Validation formulae and FINREP F 02.00

Validation rule v1699_m {r355} = {r010} - {r090} - {r150} + {r160} + {r200} - {r210} + {r220} + {r280} + {r285} + {r290} + {r295} + {r300} + {r310} + {r320} + {r330} + {r340} - {r350}{r300} is accounting hedge. Moreover the formula includes {r310} which is 'exchange differences net' as well as {r340} which is 'other operating income'. This makes sense as typically 'net operating income= all operating income - all operating expenses' but the dimension hierarchy does not capture this. Accounting hedge [dim:MCY|x4] {r300} and Exchange differences [dim:MCY|x150] {r310} should be under [dim:MCY|x501] in the MCY hierarchy. Secondly even though expenses are reduced from total, they should still be under x501 in our opinion. It looks incorrect to put expenses at the same level as x501.

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_947 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 14/03/2014 | Date of publication: 26/09/2014

Definition of term "member state"

Within Regulation (EU) No 575/2013 (CRR) there are several Articles using the term "member state" (e.g. Article 4 Paragraph 1 Subparagraph 28, 29, 30, 31, 32, 33, 40, 43, 44, 127 - Article 6 Paragraph 2 - Article 7 Paragraph 1 - ...). Unfortunately neither CRR nor Directive 2013/36/EU (CRD) contain a definition of the term "member state". Can you therefore please provide a definition of the term "member state" especially stressing whether this refers to the states of the European Union or to the states of the European Economic Area?

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

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

ID: 2013_233 | Topic: Other issues | Date of submission: 11/09/2013 | Date of publication: 26/09/2014

Exemptions from deduction for CET1 items

In Article 48(1)(b) of Regulation (EU) No 575/2013 (CRR) it states: 'where an institution has a significant investment in a financial sector entity, the direct, indirect and synthetic holdings of that institution of the CET1 instruments of those entities that in aggregate are equal to or less than 10% of the CET1 items of the instritution calculated after applying the following:' Question: When making the comparison between the amount of investment and CET1 of the reporting institution, does that comparison refer to the aggregate amount of all significant investments in all financial sector entities OR the comparison should be made on an individual entity basis?

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

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

ID: 2013_221 | Topic: Own funds | Date of submission: 09/09/2013 | Date of publication: 26/09/2014

Annex XV Validation rule v0559m does not match the Taxonomy 2.0.1 validation being excuted

Rules Annex XV Rules v0559_m Annex XV The annex lists T1 = C 16.00 a & T2 = C 02.00 What the taxonomy validation is doing Actual validation is taxonomy is referring only to C 02..00 and then checking if same value is same. Issue Validation is not working as it is checking same number

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_927 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/03/2014 | Date of publication: 26/09/2014

Definition of the words "on group basis"

What is the definition of the words “on a group basis” in Article 411 (2) of Regulation (EU) No 575/2013 (CRR)

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

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

ID: 2013_192 | Topic: Liquidity risk | Date of submission: 29/08/2013 | Date of publication: 26/09/2014

Interaction between Qualified CCPs and Reporting

Institutions must meet higher capital requirements as long as CCPs are not qualified. Most of the Clearing organisations are working for many years on the derivative market. Will EBA (or national competent authorities) create an interim agreement for that special issue? CCPs are already supervised by their national financial authorities.

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

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

ID: 2013_177 | Topic: Market infrastructures | Date of submission: 22/08/2013 | Date of publication: 26/09/2014

Annex XV - Validation formulae and FINREP F 05.00

In Report F05.00 - Breakdowns of Loans and Advances by Product, there is validation rule the following validation rule: ID: v0875_m {r080} = sum(r010-070) R080 is using MCY dimension's x469, and R010-070 are using x469's children in MC1 hierarchy, except for R070. R070 is using x226, which is not part of the hierarchy but standalone member in MCY dimension. In addition, x469 has x8 as its children which has nothing to do with it.

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_924 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 10/03/2014 | Date of publication: 26/09/2014

Own funds deduction (granted subordinated loan)

According to Directive 2006/48/EC regarding own funds deduction, a subordinated loan granted by institution ‘A’ to institution ‘B’ in which institution ‘A’ has a significant investments has to be deducted from institution ‘A’s own funds (in 50% from Tier1 and in 50% from Tier2). Simultaneously a received subordinated loan is treated as component of Tier2 of institution ‘B’. In Regulation (EU) No. 575/2013 (CRR) there is no clear information regarding deducting such an instrument from own funds. In the light of the above, should a granted subordinated loan be treated as Tier2 deduction - according to the Article 66 of CRR? If not, how should such an instrument be treated?

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

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

ID: 2013_182 | Topic: Own funds | Date of submission: 25/08/2013 | Date of publication: 26/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 030

Field 030 - Identifer of the Originator. How are multi-seller securitisations to be reported for Investor positions?

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_898 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/03/2014 | Date of publication: 26/09/2014

Definition of financial customers in Article 411 (1) of CRR regarding corporate trusts with a single fixed individual beneficiary

Please provide a definition for: 1) 'Investment Scheme' 2) 'Non-open ended' In the context of 411 (1)(e).

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

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

ID: 2013_164 | Topic: Liquidity risk | Date of submission: 15/08/2013 | Date of publication: 26/09/2014

Scope of the CR IRB template

Concerning the EBA reporting of the templates “C 08.01.c - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL (SMEs subject to supporting factor)” and “C 08.01.d - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet (SMEs subject to supporting factor)”, we think that the two sheets 22 and 23 of the last Data Point Model (2013/12/02) not have to be treated. Indeed sheet 022 is entitled “Retail - Secured by immovable property SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” and sheet 023, “Retail - Other SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” Whereas it is explained in ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template), that in any case, for the reporting of the retail portfolios, own estimates of LGD and credit conversion factors are used (Advanced IRB) Moreover those sheets would represent “of which” of non existing positions ? Extract of ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template) : Scope of the CR IRB template The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which:  Counterparty credit risk in the banking book;  Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities.. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates; iii. “Other non-obligation assets”, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template; iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: "NO" = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) "YES" = in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios "YES" has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported. Could you please confirm our opinion ?

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_894 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 04/03/2014 | Date of publication: 26/09/2014

Maturity Buckets for LE4 and LE5- Amount to be considered.

The Annex IX with reference to LE4 and LE5 reads .... For each exposure value before application of exemptions and CRM (column 210 of LE2 template), the expected amounts maturing shall be allocated to the respective bucket. Consequently, an exposure maybe spread across different columns. Instruments which do not have a fixed maturity, like equity, shall be included in the column “undefined maturity”. Does this mean that for each exposure which qualifies for this template we consider the actual cash flow spread across the tenure till the actual maturity of the exposure? Secondly, is it expected that the total amount of exposure should match in LE4 spread across maturity buckets should match with Exposure value in LE3?

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_769 | Topic: Supervisory reporting - Large Exposures | Date of submission: 28/01/2014 | Date of publication: 26/09/2014

Calculation of the own funds requirements for market risk for positions in specific instruments, e.g. weather derivatives, emission certificates and inflation-linked products

How should the own funds requirements for market risk be determined for positions in certain instruments whose main market risks are not covered by the own funds requirements pursuant to Part Three, Title IV of the Regulation (EU) No 575/2013 (CRR)?

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

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

ID: 2014_934 | Topic: Market risk | Date of submission: 11/03/2014 | Date of publication: 19/09/2014

Under the large exposure regime Article 390 (6)(e) of CRR provides an exemption for deduction of items according to article 36, 56 and 66. These deducted items must not be considered in the large exposure regime.

Is it correct that deducted equity exposures do not need to be reported in the solvency regime as well (=same procedure as in Large Exposure regime) or do they have to be reported in asset class “equity exposures” with a risk weight of 0%?

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

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

ID: 2013_482 | Topic: Credit risk | Date of submission: 01/11/2013 | Date of publication: 19/09/2014

Recognition of credit derivatives for protection buyer

An institution purchases protection through a credit derivative against an exposure. Is the exposure value for counterparty credit risk (CCR) for this derivative zero even if the derivative is either not eligible for credit risk mitigation or it is eligible but the institution abstains from using it for credit risk mitigation?

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

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

ID: 2014_990 | Topic: Market risk | Date of submission: 24/03/2014 | Date of publication: 12/09/2014

Choice of method for commodities risk when an entity has 2 different business lines

Is it possible for an entity to chose 2 different methods of calculating requirement for commodities risk whereby the entity has 2 individual business lines that are seperated from each other. 1 being Futures, Options and OTC derivatives and the other being a pure Stock Financing book?

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

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

ID: 2014_940 | Topic: Market risk | Date of submission: 13/03/2014 | Date of publication: 12/09/2014

Non Credit Obligation Assets

Paragraph 5 of article 148 of CRR, states "An institution that is permitted to use the IRB Approach for any exposure class shall use the IRB Approach for the equity exposure class laid down in point (e) of Article 147(2), except where that institution is permitted to apply the Standardised Approach for equity exposures pursuant to Article 150 and for the other non credit-obligation assets exposure class laid down in point (g) of Article 147(2)." It is not clear whether an institution with an IRB Approach permission should treat "non customer assets" e.g. fixed assets, cash etc under the IRB approach (reported as Non Credit Obligation) or under the standardised approach (reported as Other Assets)

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

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

ID: 2014_810 | Topic: Credit risk | Date of submission: 04/02/2014 | Date of publication: 12/09/2014