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List of Q&A's

Definition of Special Purpose Vehicle (SPV) as Financial Institution

Are Special Purpose Vehicles (SPV) which are used for of Asset Backed Securities (ABS) transactions "Financial Institutions" according to Art. 4 (27) CRR?If so, shall the Special Purpose Vehicles Reported as the 10 largest exposures on a consolidated basis to unregulated financial entities according to Art. 394 (2) CRR?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_1530
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Validation rule v1384_m

With reference to Question ID 2013_345. Here you defined that the accounting of the impact of foreign currency translation (gain or loss) is included in row 190 ("Other Increase or Decrease in equity") and in column 050 ("Accumulated other comprehensive income"). Validation rule v1384_m defines that: sum({F 46.00, r200, ({c050}, {c100})}) is on par with {F 03.00, r360,c010}. One part of F 03.00, r360, c010 is the position: F 03.00, r150, c010 "Foreign currency translation" (Sum of r160 & r170). So, if we see that correctly, the impact of foreign currency translation would be part of {F 03.00, r360,c010} but not part of sum({F 46.00, r200, ({c050}, {c100})}). Consequence is that is not possible that validation rule v1384_m succeeds.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_1529
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/03/2015

Definition of "location"

Does the definition of "locations" pertains to the location of the reporting institution itself or to location of its customers, eg. debtors?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_1528
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Validation rule v0786_m

Validation v0786_m seems to be incorrect.The rule compares profit or loss for the year attributable to owners in P&L with the corresponding position in equity: {F 01.03, r250,c010} = {F 02.00, r690,c010}.Despite the comparable wording and reference the comprehension is different. The P&L contains the profit or loss for the reporting year while the Equity position contains the profit or loss available for distribution.This could be illustrated by three examples:1.)profit or loss for the year attributable to owners of the parent (template F 02.00, row 690): 500 €transfer to legal reserve (according legal standards): – 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 300 €results in other reserves - other (template F 01.03, row 230): 200 €2.)profit or loss for the year attributable to owners of the parent (template F 02.00, row690): 500 €retained profit from previous periods (no decision of distribution or transfer until now): 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 700 €3.)profit or loss for the year attributable to owners of the parent (template F 02.00, row690): 500 €effects from distribution obligation for equity-similar obligations transfer to other liabilities (according legal standards): – 200 €results in profit or loss attributable to owners of the parent (template F 01.03, row 250): 300 €results in other liabilities (template F 01.02, row 280): 200 €The effects of the above mentioned examples will be published accordingly in the audited financial statements. Therefore it is not possible to reference these two positions from the 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 (repealed)
  • ID: 2014_1523
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/09/2017

Funding Plans : Table 2C (P 02.06) - Gradation of currencies in the taxonomy

In Table 2C (P 02.06), there is a notion of gradation on currencies' breakdown (1st, 2nd, and 3rd Largest material currency). But for now, the taxonomy don't handle this gradation. Does that mean that we can report the three most significant currencies regardless of their rank of importance?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2014_1521
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Treatment of Hedges for Equity-Linked Employee Compensation Schemes and Impact on FSE Capital Deductions

As part of their Corporate Equity Derivatives businesses, European banks are often asked to provide Financial Sector Entity (“FSE”) and non-FSE clients with hedges to their equity-linked employee compensation schemes or share savings plans. Typically in these circumstances the client goes long its own equity price risk synthetically, via purchasing call options or buying a total return swap (“TRS”). The TRS is an ISDA-based derivative contract under which the purchaser (in this case the client) receives the dividend and any price appreciation on the underlying equity security, and the seller (in this case the bank) receives a LIBOR / EURIBOR return plus a spread, along with any price depreciation on the underlying equity security. As the bank is short the client’s equity price risk under the TRS contract, it will typically purchase the client’s physical shares in the market in order to hedge the delta exposure under the sold TRS position. These positions are allocated to the regulatory trading book subject to the applicable requirements, and for the purposes of this discussion it is assumed the short position satisfies either the CRR Art 45 maturity matching criteria or the CRR Art 75 exemption. Where the bank has credit risk to the client (under the TRS), the client will, in most circumstances, be asked to provide cash margin on a daily basis to cover any mark-to-market movements in the bank’s favour. The TRS will be documented using standard ISDA documentation, with the cash collateralisation taking place under a CSA or similar arrangement. Would the TRS be considered an eligible hedge for the purposes of Article 45 under those circumstances?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1509
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 19/12/2014

On-balance sheet netting and exemption from the Large Exposures limits

Are on-balance sheet (OBS) netting agreements, where there are maturity mismatches between loans and deposits, eligible the exemption from the large exposures regime as laid down in Article 400 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: 2014_1508
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 06/02/2015

Classification of credit unions

Should the loans to credit unions (eg. Spoldzielcze Kasy Oszczednosciowo Kredytowe in Poland) be presented under category "Credit institutions" or as "Other financial corporations"?

  • 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: 2014_1507
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

On-balance sheet netting and exemption from the Large Exposures limits - question 1

Are on-balance sheet (OBS) netting agreements, where both legs are denominated in different currencies, exempted from the application of Article 395(1) 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: 2014_1505
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 06/02/2015

Application of requirements on a consolidated basis to a stand-alone bank in a Member State owned by a financial holding institution in another Member State and by a third-country bank: submission of FINREP on a consolidated basis.

A stand-alone bank in a Member State that, according to Article 11 of CRR, has to respect prudential requirements on the basis of a consolidated perimeter including financial companies located in other States shall submit FINREP information on a consolidated basis, in addition to COREP information?

  • 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: 2014_1504
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Disclosure on the basis of consolidated situation of EU parent financial holding company

According to Article 13(2) of Regulation (EU) No 575/2013 (CRR), institutions controlled by an EU parent financial holding company shall comply with the obligations laid down in Part Eight on the basis of the consolidated situation of that financial holding company. In the case where a parent financial holding company has control over two separate institutions in different member states (without any equity holdings between these two institutions), are both of these institutions obliged to disclose information laid down in Part Eight on the basis of consolidated situation of the parent financial holding company? If yes, is there possibility that one of aforementioned institutions can “outsource” disclosure obligations on the basis of consolidated situation of the parent financial holding company to the other?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1502
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 24/04/2015

Financial Difficulties

A clearer definition of the phrase 'Financial Difficulties' is required.

  • 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_1493
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/11/2014

Asset Encumbrance - Default Fund pledges

On what line in the AE-SOU are cash pledges related to Exchange Default Fund minimum requirement 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: 2014_1492
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/07/2017

Asset Encumbrance - Treatment of Intraday

Where institutions hold surplus assets to manage intraday risk we would expect these assets should be reported as encumbered in AE-ASS and AE-COL (if security is held via reverse repo for example). In what line would the source encumbrance be reported on in the AE-SOU?

  • 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: 2014_1491
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Non-Renewable loans and receivables

NSFR: Should non-renewable loans and receivables be presented as gross (not affected by general and specific allowances) or as net (affected by general and specific allowances)?

  • 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: 2014_1489
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Conditions to benefit from the 4% risk weight in Article 305(3) and treatment in Article 306

Does the application of the 4% risk weight referred to in Article 305(3) presuppose that the omnibus model meets all requirements set out in Article 305(2) lit (a) to (d) CRR and article 305(3) CRR together? Or, is Article 305(3) CRR meant to replace the requirement in article 305(2)(a), which presupposes an individual style segregation model?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1485
  • Topic: Market infrastructures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Correct time bucket for unsecured master agreements for derivative transactions, secured master agreements for derivative transactions and cash collateral posted/received under a master agreement

According to the instructions ANNEX 13 of "Regulation (EU) No 680/2014 – ITS on supervisory reporting of institutions" Institutions shall calculate derivative assets and liabilities according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. “Required funding” and template 1.2 “Stable funding” accordingly. 1.) Regarding unsecured master agreements (i.e. no collateral posted/received) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 2.) Regarding secured master agreements (i.e. collateral posted/received and daily margining) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 3.) Regarding cash collateral which is posted under a derivative master agreement: in what time bucket (column) and row (i.e. duration of encumbrance) should the cash collateral be recorded?

  • 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_1479
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Exemption of purchased receivables from Aricle 405's retention requirement

Do the provisions in Article 405(1) of Regulation (EU) No 575/2013 apply to purchased receivables?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1474
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 20/02/2015

Validation of LCR Submission

Is validation rule v1512_m correct?v1512 m - C52.00, Row 1140 - 1210, Additional Outflows: As it is not explicitly clear from the rules or guidance as to how to treat cash assets (e.g. cash held at a bank) in this particular section, it has been interpreted that the columns to be populated are as follows: - {c030} Market Value: Represents the market value of non-cash assets (i.e. excludes cash balances) - {c040} Value according to Article 418: Represents (i) the market value of non-cash assets after the deduction of an appropriate haircut as per Article 418, plus (ii) the full value of cash balances, in line with Article 416(1)(a). - {c020} Outflow: Outflow calculated based on cash and non-cash assets as prescribed by Article 423. Based on the interpretation above, as cash balances are excluded from {c030} Market Value, validation v1512_m fails.

  • 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: 2014_1473
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021