List of Q&As

FINREP Reporting - Cumulative from ARD or period-on-period

Can the EBA please confirm whether data in the FINREP templates should be reported on a cumulative basis (from the start of the accounting reference date), or period-on-period?

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_619 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/12/2013 | Date of publication: 30/04/2014

Validation Rules FINREP - COREP

CRR states that certain balance sheet items shall be used for COREP reporting only, if they have been reviewed by an auditor. The last reviewed or audited values have to be used for COREP purposes until auditor’s review or audit of the current values have been carried out (so called "static principle"). For example some interim financial statements are not published and/or not reviewed by auditors (e.g. as of March 31st). In this case the last audited deferred tax assets or liabilities - i.e. as of December 31st of the preceding year- have to be used for all COREP reporting (e.g. March 31st, June, 30th, etc) until the next financial statement is reviewed or audited by the auditor. For FINREP reporting the most recent accounting values would be used for preparation of the quarterly reporting- e.g. even if no auditor’s review is conducted as of March 31st, 2014 current accounting values would be submitted for FINREP reporting. Because of this static principle for COREP reporting, COREP values may not equal FINREP accounting values for specific positions and specific reporting dates. However, according to EBA validation rules specific balance sheet positions (e.g. deferred tax assets or liabilities) shall equal in the FINREP and COREP templates. These validations do not appear to be valid because of the difference in principles in preparing COREP and FINREP numbers. For example validation rule v1780_h states that {F 01.01 , r330} = +{F 01.01 , r340} +{C 04.00 , r010}). COREP- FINREP validation rules are applicable for share premium and accumluated other comprehsensvie income too. These validations do not appear to be valid for all reporting dates. Which numbers are required for deferred tax assets and liability reporting in the COREP and FINREP tables respectively?

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_612 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 03/12/2013 | Date of publication: 30/04/2014

Validation Rule

German Question (Deutsche Frage): Die validation rule mit der ID-Nr v1927_h sieht eine Abstimmbarkeit der Zeile 520 in Tabelle F 02.00 mit der Zeile 100 in Tabelle F 16.07 vor. In Tabelle F 02.00 ist Zeile 520 aber die Summe der Zeilen 530 bis 570, (fünf Zeilen) während in Tabelle F 16.07 Zeile 100 die Summe der Zeilen 110 bis 140 (vier Zeilen)ist. Da außerdem die Zeilen 530 bis 560 der Tabelle F 02.00 abstimmbar sein sollen zu den Zeilen 110 bis 140 der Tabelle F 16.07 (siehe validation rules ID Nr. v1333_m, v1334_m, v1335_m, v1928_h) gibt es hier einen Widerspruch: Entweder ist Zeile 570 in Tabelle F 02.00 obsolet und ist entsprechend zu streichen, oder die validation rule v1928_h ist insoweit zu erweitern, dass Zeile 140 in Tabelle F 16.07 abstimmbar sein muss mit der Summe der Zeilen 560 und 570 aus Tabelle F 02.00. Die EBA ist zu fragen, wie dieser Widerspruch gelöst werden soll. English Question: The validation rule with the ID No v1927_h provides for reconciliation of row 520 in table F 02.00 to row 100 in table F 16.07. In table F 02.00, however, row 520 is the sum of rows 530 to 570 (five rows), whereas in table F 16.07, row 100 is the sum of rows 110 to 140 (four rows). Furthermore, as rows 530 to 560 of table F 02.00 should be reconciled to rows 110 to 140 of table F 16.07 (see validation rules ID Nos v1333_m, v1334_m, v1335_m, v1928_h), there is a contradiction here. Either row 570 in table F 02.00 is obsolete and must therefore be deleted, or validation rule v1928_h must be expanded accordingly so that row 140 in table F 16.07 is reconciled to the sum of rows 560 and 570 from table F 02.00. The EBA must be asked how this contradiction should be resolved.

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_609 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 30/04/2014

Cash and cash balances at central banks’

German Question (Deutsche Frage): In dem ITS-Update vom 26.7.2013 wird in dem Dokument “EBA FINAL draft Implementing Technical Standards.pdf” auf Seite 51 folgende Aussage getroffen: “On the basis of the feedback on the definition and use of ‘cash and cash equivalents’, the EBA decided to change the item to ‘cash and cash balances at central banks’, in line with the practice followed by banks. In addition to the instructions provided in the ITS examples will be provided in additional implementation guidance on the EBA website.“ Diese Aussage scheint inkonsistent zu der vorgenommen Zuordnung des Postens “other demand deposits” in Tabelle F 05.00 (alt F 09.00) zu sein und insofern gerade nicht der Praxis der Bilanzierung der Barreserve bei Kreditinstituten zu entsprechen. Wie ist hiermit umzugehen? Daneben ist eine „additional implementation guidance on the EBA website” nicht zu finden. Der letzte Stand datiert diesbezüglich aus 2009. Wann ist mit einem entsprechenden Dokument zu rechnen? English Question: In the ITS Update of 26.7.2013, the following statement appears in the document ‘EBA FINAL draft Implementing Technical Standards.pdf’ on page 51: ‘On the basis of the feedback on the definition and use of “cash and cash equivalents”, the EBA decided to change the item to “cash and cash balances at central banks”, in line with the practice followed by banks. In addition to the instructions provided in the ITS, examples will be provided in additional implementation guidance on the EBA website.’ This statement seems to be inconsistent with the assignment that was already carried out of the item ‘other demand deposits’ in table F 05.00 (prev. F 09.00), and is therefore not in line with the practice of balancing the cash reserve in credit institutions. How should this be dealt with? Moreover, the ‘additional implementation guidance on the EBA website’ cannot be found. The last update on this is from 2009. When can the relevant document be expected?

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_608 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 30/04/2014

Table 7 Validation

German Question (Deutsche Frage): Tabelle F 07.00 Spalte 080 sollte allein schon aufgrund der Benennung und der angegebenen Referenzen abstimmbar sein zu Tabelle F 04.04 Spalte 030. Problematisch ist hierbei jedoch, dass es in Tabelle 7 auch noch eine Spalte 110 gibt, in der beispielsweise der Verbrauch von Einzelwertberichtigungen für noch nicht abgegangene Forderungen zu zeigen wären. Eine solche Spalte gibt es in Tabelle F 04.04 jedoch nicht. Es könnte daher argumentiert werden, dass in Tabelle F 04.04 Spalte 030 der Bestand der Einzelwertberichtigungen um diesen Verbrauch zu erhöhen wäre (dann wäre aber keine Abstimmbarkeit zu Tabelle F 07.00 Spalte 080 oder zu der entsprechenden IFRS-Abschluss-Position mehr möglich) oder dass in Tabelle F 04.04 Spalte 020 der gross carrying amount für abgeschriebene Forderungen den Betrag nach Direktabschreibungen darstellt (dann wäre die Bezeichnung gross carrying amount aber inhaltlich fragwürdig. Aufgrund dieser Konsistenzprobleme sollte der EBA vorgeschlagen werden, dass die Tabelle F 04.04 um eine Spalte 060 „Accumulated write-offs“ zu erweitern ist und die bisherige Spalte 060 in Tabelle F 04.04 zur Spalte 070 wird. Ferner wären für Tabelle F 04.04 die entsprechenden über die Spalten summierenden validation rules anzupassen. English Question: Table F 07.00 column 080 should be reconciled from its name alone, and the references given therein, to table F 04.04 column 030. However, the problem here lies in the fact that in table F 07.00, there is another column 110, in which would be shown, for example, expenditure of specific allowances for debts not yet disposed of. However, no such column exists in table F 04.04. It could thus be argued that in table F 04.04 column 030, the amount for specific allowances should be increased by this expenditure (although reconciliation to table F 07.00 column 080 or to the corresponding IFRS final position would then no longer be possible), or that in table F 04.04 column 020, the gross carrying amount for written-off receivables represents the amount after direct write-offs (although this would then make the accuracy of the term gross carrying amount questionable). Because of this problem of consistency, it should be suggested to the EBA that a column 060 ‘Accumulated write-offs’ be added to table F 04.04, and that the column which was previously 060 in table F 04.04 become column 070. Furthermore, for table F 04.04, the corresponding validation rules for totalling up the columns would need to be adjusted.

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_603 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 30/04/2014

Validation Rules

German Question (Deutsche Frage): Wie sind in den Validation Rules zu Tabelle F 20.05 die Ergänzungen der Tabellenbezeichnungen um die Buchstaben „a“ und „b“ zu interpretieren? Dies betrifft auch die Tabellen F 08.01, F 15.00, F 16.01 und F 16.07. English Question: In the validation rules for table F 20.05, how should the fact that the letters ‘a’ and ‘b’ have been added to the table names be interpreted? This applies also to tables F 08.01, F 15.00, F 16.01 and F 16.07.

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_601 | Topic: Supervisory reporting - Other | Date of submission: 02/12/2013 | Date of publication: 30/04/2014

Validation Rule

German Question (Deutsche Frage): In den Validation Rules wird angegeben, dass der Betrag in Zelle (F 20.04, r140, c030) mit dem Betrag in Zelle (F20.07, r190, c020) identisch sein soll. Während in Tabelle F 20.04 sämtliche loans and advances ausgewertet werden, handelt es sich in Tabelle 20.07 nur um solche loans and advances, die ggü. non-financial corporations bestehen. Eine Identität der Beträge kann deshalb nicht vorliegen. Insofern ist die EBA um eine diesbezügliche Untersuchung der Angabe zu bitten. English Question: The validation rules indicate that the amount in cell (F 20.04, r140, c030) should be identical to the amount in cell (F20.07, r190, c020). However, whereas in table F 20.04, all loans and advances are assessed, table 20.07 deals only with loans and advances to non-financial corporations. Identity of the amounts is therefore not possible. In view of this, the EBA is requested to investigate the details on this point.

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_600 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 30/04/2014

Clarification on cleared OTC derivatives

What type of market should cleared OTC derivatives (according to EMIR in EU and Dodd-Frank Act in the US) be classified as? OTC or Organized market?

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_560 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 26/11/2013 | Date of publication: 30/04/2014

Inclusion of transactions between trade and settlement dates

We would welcome clarification on the reporting of transactions between trade and settlement dates. Firms apply typically a contractual approach which results in inflows and outflows being grossed up and subject to the 75% inflow cap - this means that a liquid asset requirement of 25% applies to trades that settle to a zero position or have a net cash flow of zero. For example, a bank might enter a trade to purchase a $100m bond from counterparty A, settlement at t+3. The bank also enters into an addition trade to sell the same bond to counterparty B with settlement also occurring at t+3. Both cash flows will occur on day 3 and net to zero and the balance sheet position will also be zero. However, if the inflows and outflows were reported separately then the 75% inflow cap would apply.

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_378 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 10/10/2013 | Date of publication: 30/04/2014

Treatment of repos and reverse repos collateralised by commodities

The current guidance for Section 1.6 of the reporting template, Monies due from secured lending and capital market driven transactions as defined in Article 192, contains the following statement: 'Therefore, any transaction in which the institution has provided a collateralised loan in cash, such as reverse repurchase transactions as defined in Article 4(59) of Regulation (EU) No 575/2013, expiring within 30 days, shall be reported in this section'. The ITS guidance states that this section relates to rows 120-930, however we not believe that these rows contain categories that cover the treatment of repos and reverse repos collateralised by commodities stocks such as aluminium, nickel, carbon credits etc. Clarification is therefore needed on the reporting of such transactions.

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_277 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 24/09/2013 | Date of publication: 30/04/2014

Liquidity: Market value of assets and payments due on liquid assets not reflected in the market value of the asset

Which value is to be reported for liquid assets, the clean price or the dirty price? (CRR Articles 418(1) and 425(7))

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_154 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 13/08/2013 | Date of publication: 30/04/2014

Applicable mappings before entry into force of ITS on Articles 136(1) and 270

What mappings will be applicable between the first date of application of Regulation No. 575/2013 (i.e. 1 January 2014) and the entry into force of the ITS on Articles 136(1) and 270?

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

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

ID: 2014_737 | Topic: External Credit Assessment Institutions (ECAI) | Date of submission: 15/01/2014 | Date of publication: 25/04/2014

Continuation of current liquidity waivers

Clarification is needed as to the interim arrangements pending the introduction of the waiver/group treatments provided for under Article 8 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_270 | Topic: Liquidity risk | Date of submission: 24/09/2013 | Date of publication: 25/04/2014

Table 14 - Fair Value Hierarchy

Warum sind die Felder in Bezug auf AfS Instrumente bei den Accumulated change in fair value before taxes nicht ausgegraut ? Wenn kein change in fair value for the period angegeben werden kann, da sich dieser gem. ITS Part 2.86 lediglich auf die Gewinne und Verluste der Bank bezieht, ist entsprechend ein Ausweis des kumulierten change in fair value für AfS Positionen u.E. nicht sachgerecht.

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_595 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 25/04/2014

Alternative calculation of own funds requirement for exposures to a Qualifying Central Counterparty (QCCP)

In the formula given in Article 310 of Regulation (EU) No 575/2013 (CRR) the trade exposure is referenced. According to article 306(1)(c) CRR and Article 306(2) CRR exemptions for the calculation of trade exposure exist, e.g. trade exposure can be set to zero under certain circumstance given in Article 306 CRR. Do these exemptions also hold when using Article 310 CRR?

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

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

ID: 2013_69 | Topic: Credit risk | Date of submission: 19/07/2013 | Date of publication: 16/04/2014

Reporting of exposures lower than 300 million EUR

In the final draft ITS on reporting, chapter 3 articles 9.2 (g) and 11.2(g), it says that institutions shall submit the information as specified in Annex VIII according to the instructions in Annex IX related to exposures not considered large exposures in accordance with Article 392 of the CRR, which have an exposure value larger than 300 million EUR. We interpret this as (smaller) institutions shall report large exposures (10%), but not the 20 largest exposures and other exposures, if they do not exceed the exposure value of 300 million EUR. Have we interpreted the reporting rules for smaller institutions 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_585 | Topic: Supervisory reporting - Large Exposures | Date of submission: 29/11/2013 | Date of publication: 11/04/2014

Large Exposures – Disclosure of counterparty names

Where the credit institution does not have consent to disclose the clients names, what should it report here?

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

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

ID: 2013_672 | Topic: Large exposures | Date of submission: 18/12/2013 | Date of publication: 11/04/2014

Reporting of assets that are deducted from own funds but included in the exposure measure in LR calc (template 45.01) in the LR4 (template 43.00)

Where in the LR 4 (template 43.00) should the institution report assets, included in the exposure measure in the LR calc (template 45.01), which are deducted from own funds?

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_584 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 29/11/2013 | Date of publication: 11/04/2014

Application of Article 199(6)(c) and (d) in the event that the credit institution has not liquidated any such collateral in the past

In the event that a credit institution has not liquidated the collateral referred to in Article 199(6) in the past, is it sufficient to demonstrate the availability of processes and data collection/analyses tool which enables the institution to show that the realised proceeds from the collateral are not below 70% of the collateral value in more than 10% of all liquidations for a given type of collateral in case collateral is liquidated?

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

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

ID: 2013_669 | Topic: Credit risk | Date of submission: 17/12/2013 | Date of publication: 11/04/2014

Exposure for Large Exposure Reporting - Accrued interests

Article 389 of the CRR states that for Large Exposure Reporting, the exposure should be identical to those in the standardised approach (Part II, Title 2, Chapter II) just without applying risk weights. According to Standard Approach for assets the risk position is defined by the balance sheet value including accrued interest and impairments being deducted. Can you confirm that this is also the definition for Large Exposures?

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

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

ID: 2013_638 | Topic: Large exposures | Date of submission: 11/12/2013 | Date of publication: 11/04/2014