List of Q&As

Reporting LE in accordance with Art 392, 20 largest exposures according to last sentence of Art 394(1), 10 largest exposures to institutions and 10 largest to UFE according to Art 394(2)

Do we have to report 4 separate lists? i.e. List 1: LE1, LE2 and LE3 for large exposures defined in accordance with Art 392 (ref. Art 394(1)), including LE exempted from the application of Art 395(1) List 2: LE1, LE2 and LE3 for 20 largest exposures according to the last senctence of Art 394(1), excluding those exempted from the application of Art 395(1) List 3: LE1, LE2, LE3, LE4 and LE5 for 10 largest exposures to institutions according to Art 394(2), including LE exempted from the application of Art 395(1) List 4: LE1, LE2, LE3, LE4 and LE5 for 10 largest exposures to unregulated financial entities according to Art 394(2), including LE exempted from Art 395(1) In which case a particular group of connected clients may show up in several lists (e.g. group XXX shows up in list 1 and in list 2) OR do we have to provide one instance of LE1, LE2, L3, LE4, LE5 such that a particular group of connected clients shows up only once in LE1, LE2 etc.?

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_441 | Topic: Supervisory reporting - Large Exposures | Date of submission: 30/10/2013 | Date of publication: 21/03/2014

Reporting of liquid assets as per annex III CRR

In the C51.00 liquid assets template, should columns 030 and 040 be greyed out for rows 340 to 360 and columns 010 and 020 be greyed out for rows 370 to 390?

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_439 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 28/10/2013 | Date of publication: 21/03/2014

Reporting of liquid assets as per annex III CRR

Should items under lines 3.1, 3.2, 3.9 and 3.10 in section 3 of the C51.00 template be reported up to their amount, as items under 1.1, 1.2, 1.5 and 1.6 lines, or at their market value as specified in the 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: 2013_438 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 28/10/2013 | Date of publication: 21/03/2014

Validation Rules

Can the validation rules (in Annex XV, from row 1160 till 1178) for the template C61.00 "Stable funding - items providing stable funding' be deleted?

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_431 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 24/10/2013 | Date of publication: 21/03/2014

Gross amount of intangible assets

Should the institution report in COREP other intangible assets in gross amount not net as today it's reported?

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_423 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 23/10/2013 | Date of publication: 21/03/2014

COREP LE template

1.On the LE template what is “Code” – the guidance notes seem to suggest that the code will depend upon the national reporting system, unless a uniform codification is available in the EU. We dont believe there is a uniform codification - What should firms do with this box? 2.On LE what is sector of counterparty – It refers to FINREP economic sector but as we do not implement FINREP we are not sure what this is? And how should non FINREP firms report? 3.On LE what exposure should advanced firms be reporting? sEEPE or EEPE. This could vary from submission so do PRA want LE exposure reported in line with capital requirements or just in one way? 4.On LE what does expected maturity mean? Is it the residual maturity? 5.On LE where do we report other receivables and cash at bank? 6. How are firms that have core Uk group and non core LE groups supposed to report on the COREP LE template – do we report as if we have the waivers under the LE COREP template or not?

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_412 | Topic: Supervisory reporting - Large Exposures | Date of submission: 21/10/2013 | Date of publication: 21/03/2014

Doubt about Annex XV - Validation Rules

The validation rules test if the sum of NSFR ({C 61.00.b, r040, (c010-050)}) is equal to the sum of LCR ({C 52.00.a, c010, (r020-030)}. In my opinion this condition is NOT always valid. In LCR ({C 52.00.a, c010, (r020-030)} I have understood to report the AMOUNT of retail deposits which have open maturity OR maturity within 30 days (considering all possible prepayment clauses). This is the amount which has to be multiplied by "at least" 5% in order to calculate the corresponding OUTFLOW. At the same time in LCR ({C 52.00.a, c010, (r020-030)} we do NOT report the AMOUNT of retail deposits having maturity beyond 30 days without any prepayment clause. Consequently in LCR ({C 52.00.a, c010, (r020-030)} there is NOT the FULL perimeter of retail deposits. Then it is NOT possible to compare the LCR amount with the NSFR ({C 61.00.b, r040, (c010-050)}), where the FULL perimeter is actually reported (FULL maturity profile). So, have you considered the possibility to have retail deposits with maturity beyond 30 days without any prepayment clause?

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_407 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 18/10/2013 | Date of publication: 21/03/2014

Breakdown of leverage ratio exposure measure components: other assets belonging to the trading book

In Column 1 -exposure value, we report the accounting positions of the balance sheet (e.g. shares and bonds of the trading book), but the positions in the MRM model to calculate RWA do not provide from accounting. Moreover the scope of column 2- RWA is brider than other assets of the trading book as it includes also FX positions, index, derivatives,... How should we report?

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_399 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 16/10/2013 | Date of publication: 21/03/2014

Alternative treatment of the exposure measure: Credit derivatives (protection bought)

How do we have to report the CDS of the banking book?

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_398 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 16/10/2013 | Date of publication: 21/03/2014

Reporting of the net DTA that are dependent on future profitability and arise from temporary differences that are not deducted and will be risk weighted at 250%

For the net DTA that are dependent on future profitability and arise from temporary differences that are not deducted and will be risk weighted at 250%, where should we report the RWA?

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_390 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 16/10/2013 | Date of publication: 21/03/2014

Movements in allowances

Assume that we have an opening balance with a collective allowance of 25 (25 % x 100) for an unimpaired loan. The loan becomes impaired and therefore we make a specific allowance of 100 (100 % x 100) during the period. The collective allowance is re-calculated to 0 CU (25% x 0) at end of period. How shall it be reported: · Specific allowance on row 090/column 020 of 100? · Collective allowance on row 320/column ??? of -25? · Giving a net on row 530/column 060 of 75, or ?

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_326 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/10/2013 | Date of publication: 21/03/2014

Counterparty breakdown

To be able to report the counterparty breakdown in the FINREP tables in Annex III (e.g. F 04.01 - F 04.04) the Swedish sector-/counterparty codes has to be sorted into the FINREP counterparty breakdown according to the instructions in in Annex V, Part 1.35. However, the instructions are not always clear enough. E.g.: Definition of credit institutions: EBA instructions (published 26th July 2013) do not provide complete information on the definition of credit institutions. The definition of credit institutions comprises only banks and multilateral banks. Other types of credit institutions are not mentioned at all in counterparty sector definitions. In March 2012, EBA and ECB developed a joint document bridging between FINREP and BSI (“Bridging the reporting requirements regarding ESCB Balance Sheet and Interest rate statistics with EBA Guidelines on FINREP, COREP and Large exposures”) In this document, all MFIs that are credit institutions (i.e. excluding central banks and money market funds) shall be regarded as credit institutions in FINREP. As referenced by ECB to Directive 2000/28, an MFI Credit institution is either: “an undertaking whose business is to receive deposits or other repayable funds from the public and to grant credits for its own account” “an electronic money institution… on the taking up, pursuit and prudential supervision of the business of electronic money institutions”. Question: Which definition should be used in FINREP? Are credit institutions only banks and multilateral banks or all MFI satisfying the ECB to Directive 2000/28? There is a obvious risk that institutions will make different interpretations with unclear guidance.

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_325 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/10/2013 | Date of publication: 21/03/2014

Changes in fair value due to credit risk

What methodology should be used to calculate “Accumulated changes in fair value due to credit risk” required in EBA-ITS-2013-02, Annex III, Table 4.1 “Financial assets held for trading”?

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_321 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 03/10/2013 | Date of publication: 21/03/2014

How should IRB-institutions exclude exposures according to art 140.4?

Institutions should exclude the exposure classes in art 112 (a) to (f) when calculating the institution-specific countercyclical capital buffer rates. How should this be applied for Institutions that are not using the Standardised approach but IRB approach? It in addition not not clear in the instruction if C0903 should be filled in even though the directive not yet has been implemented in the country. I.e. should C0903 be filled in as per end March 2014, even though an Institution not should report any buffer as per that date?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2013_318 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 02/10/2013 | Date of publication: 21/03/2014

Reporting SME-supporting factor as an 'of which' of SMEs

Within the COREP templates, the SME supporting factor (Article 501) is shown as a subset of the SMEs (general). This is reinforced by the validation rules within the DPM. Given SME(general) has a

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_309 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 30/09/2013 | Date of publication: 21/03/2014

Financial assets impairment

Where should be reported in the financial reporting forms F 04.04 and F 07.00 the allowances related to individually insignificant financial assets which were not assessed for impairment on individual basis (following the option of IAS 39.64), but were found collectively impaired?

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_200 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/09/2013 | Date of publication: 21/03/2014

Financial assets impairment

Considering the provisions of para.37 from Part 2 of Annex V to the ITS (FINREP instructions), are there any IFRS provisions allowing entities to perform the computation of the impairment losses at the portfolio level for individually insignificant financial assets found to be impaired on individual basis?

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_199 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/09/2013 | Date of publication: 21/03/2014

FINREP: F8.1 Breakdown of financial liabilities by product and by counterparty sector

This question ask for a clarification of the Table 8.1 Breakdown of financial liabilities by product and by counterparty sector foreseen by EBA FINAL draft implementing Technical Standards 2013-02, Anex III – reporting financial information according to IFRS. It is not clear which accounting portfolios based on IFRS (Held for trading, Designated at fair value through profit or loss, Amortised cost) are required to be included in an column 050 “Amount required to pay at maturity”.

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_140 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 07/08/2013 | Date of publication: 21/03/2014

Reporting of "instrument-by-instrument"

In table F 40.2, Annex III, the group structure should be reported instrument-by-instrument. Clarifications are needed in relation to the definition of "instrument" in the contest of Group Structure (i.e. tabel 40). Is FINREP requiring information related to each security (independently on whether the security is trading) which is held by the reporting entity at reference date?

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_344 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 07/10/2013 | Date of publication: 14/03/2014

FinRep table 5 row 010 column 030 - On demand [call] and short notice [current account]

Annex V indicates that balances receivable on demand classified as "cash and cash balances at central banks" shall also be reported in this template. This statement is supported by the validation rules stating that {F 01.01, r040, c010} = {F 5.00, r010, c030} (though only relating to other demand deposits). However, amounts in table 5 should be equal to tables 4.1 through 4.4 regarding loans and advances. This reasoning is indirectly supported by the following logical reasoning: If {F 01.01, r040, c010} = {F 5.00, r010, c030} AND if {F 01.01, r040, c010} has a detailed breakdown in table 4 as stated in Annex III, then there should be a link between table 4 and { F 5.00, r010, c030}. In which table (4.1, 4.2, 4.3, 4.4) should cash and cash balances be included? Validation rules regarding these templates don't seem to include cash and cash balances at central banks.

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_341 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/10/2013 | Date of publication: 14/03/2014