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List of Q&A's

Liechtenstein is menber of EEA and uses Swiss Francs (CHF).

Liechtenstein is a member of the EEA, but uses Swiss Francs as a domestic currency. Switzerland is not a member of the EEA. Are Swiss Francs to be regarded as a domestic currency like the Euro for the purpose of paragraph 5.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_323
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Reporting of credit & liquidity facilities art 424.(5)

What amount should be included in the column 'outflow', rows 1260-1330 of template C.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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_322
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 28/03/2014

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_321
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 21/03/2014

F 15 Amounts derecognised for capital purposes

We would please like to know in more detail than provided through legal references what information is required in F 15 col. 110 "Amounts derecognised for capital purposes". Should the column comprise the assets treated as securitisation positions that have been deducted from Common Equity Tier 1? In other words, is it referred to those assets that receive the above-mentioned treatment based on CRR articles 243(1.b) and 244(1.b), which allow deduction of the 1250% risk weighted securitisation positions? Thanks in advance.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_320
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

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 (repealed)
  • ID: 2013_318
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/03/2014

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)?

  • 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 (repealed)
  • ID: 2013_316
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

Calculation of outstanding Tier 2 capital, following pre-payment of amounts that have been amortised or phased-out

This question, background information and proposed answer are posed on behalf of an institution we supervise. In accordance with Regulation (EU) No 575/2013 (CRR), subordinated debt with defined maturity is gradually deducted from Tier 2 in each of the last five years. Amortization shall occur on the basis of the number of days that have passed in the last five years (Article 64). The institution considers the possibility to repay subordinated debt in the portion corresponding to the amortized amount, assuming that this will have no impact on the basis for the calculation on the amount classified as Tier 2. Is this interpretation correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_314
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 20/06/2014

Definition of Custody assets 'entrusted to other entities' (Table 22.2)

Definition of ‘Of which: entrusted to other entities’ (row 090) in Table 22.2. Are only assets held with sub-custodians of the reporting entity reported in row 090?

  • 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 (repealed)
  • ID: 2013_313
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

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?

  • 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 (repealed)
  • ID: 2013_312
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

Reporting currency - Table 40.1

Which reporting currency should be used in table 40.1 Group Structure 'entity-by-entity'? Shall the reporting currency of the each investee (consolidated entities) or the investor (parent) be used?

  • 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 (repealed)
  • ID: 2013_311
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/03/2014

Prudential Consolidation of Financial Institutions

'Financial Institution' means an undertaking other than an institution, the principle activity of which is to acquire holdings or to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex 1 to Directive 2013/36/EU, including a financial holding company, a mixed financial holding company, a payment institution within the meaning of Directive 2007/64/EC of the European Parliament and of the Council of 13 November 2007 on payment services in the internal market (1), and an asset management company, but excluding insurance holding companies and mixed-activity insurance holding companies as defined in point (g) of Article 212(1) of Directive 2009/138/E. The definition in Article 4(1)(26) Regulation 575/2013 is in line with the definition of financial institution under Article 4(5) of Directive 2006/48/EC in that it encompasses firms whose principle activity is to acquire holdings or to perform the activities under Annex 1 of Directive 2013/36/EU. The EU had issued guidance on its Your Question on Legislation ('YQOL') site that indicated that, for Article 4(5) of 2006/48/EC it was correct to consider holding companies as financial institutions. We understand that t his has been interpreted differently by different regulators in the EU, in particular, where a bank owns shares in a holding company that owns a non-financial group (i.e. a group that does not undertake an Annex 1 activity), certain regulators have taken the view that the holding company as a legal entity should be consolidated for regulatory capital purposes whilst the non-financial subsidiaries are deconsolidated. However, other regulators have considered the nature of the activities of the group (holding company plus non-financial subsidiaries) and determined that the holding company need not be consolidated. Could the EBA please clarify which interpretation is correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_310
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 15/11/2013

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 <250 person criteria and the SME-supporting factor doesn't how is this 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 (repealed)
  • ID: 2013_309
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/03/2014

20% inflow on assets with an undefined contractual end date

What is the practical interpretation of 20% inflow on assets with an undefined contractual end date?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_306
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 21/02/2014

Outflows on other liabilities for Operational Accounts (Basel para 93 -104)

a. CRR in addition to clearing, custody and cash management CRR considers “other comparable services” eligible for a 5% run off. Are correspondent banking and prime brokerage services included in the definition? b. How does one prove that the client is unable to withdraw without compromising client’s operational functioning over a 30 day horizon? c. How often do you need to check if an account is meeting the criteria for operational accounts?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_305
  • Topic: Liquidity risk
  • Date of submission:

Reporting of collateral swaps

We do not understand how collateral swaps should be integrated in the reporting template. o Indeed, to calculate the inflows / outflows concerning reverse repos and repos, there should theoretically be a cap on the difference between the cash value of the operation and the market value of underlying security. To calculate the inflows / outflows generated by collateral swaps, the same kind of calculation should be done, but without the cap. o Since operationally the same cells should be used to integrate repos / reverse repos and collateral swaps in the EBA template, we do not understand how this can give adequate results in terms of LCR ratio calculation.

  • 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 (repealed)
  • ID: 2013_303
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Treatment of cash collateral

What is the treatment in LCR and NSFR of cash collateral given or received in derivative transactions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_302
  • Topic: Liquidity risk
  • Date of submission:

Definition of a "material penalty" and "individually justified circumstances"

What is the definition of a "material penalty" and "individually justified circumstances"? Who will be the final arbiter in determining the “materiality” of the penalty for early withdrawal within 30 days?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_301
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 24/10/2014

Member States government bonds

Can the EBA confirm that all Member States government bonds are defined as liquid assets and not excluded if their credit quality is low e.g. would Greek government debt be eligible currently? It is our understanding where you have foreign currency liabilities they can be matched with sovereign bonds in that currency. But in the EU are all Euro sovereign bonds equally eligible as liquid assets or do they need to fulfil also the eligibility criteria in Art 416 (1) (b)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_294
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 08/01/2016

Minimum reserve requirement

What is the requirement to maintain the minimum reserve requirement within the LCR period, i.e. does the LCR have to be met for each of the 30 days in the stress horizon?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_293
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 04/07/2014

CIUs

Where an institution consists of a parent bank and two subsidiaries does the EUR 500 million cap on CIUs apply to consolidated group or can it apply to each of the legal entities? In the latter case this would imply the consolidated group could count up to EUR 1500 million CIU.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_292
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015