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Draft Implementing Technical Standards (ITS) on supervisory reporting under the CRR, CR IP Losses (C 15.00)

Should increase of credit risk adjustment (specific loan loss provision for credit risks) during reporting period be reflected in the reported data? Should estimated loss be reported (reporting date 30.06.2013) as 250 000 EUR or as 290 000 EUR?

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_703 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 03/01/2014 | Date of publication: 30/04/2014

LE1 template (C 27.00) - reporting of identification data on individual clients within groups of connected clients

In the case of exposure to the group of connected clients (with 5 clients forming a group): Does an institution have to report the identification data (LE1 template C 27.00) ) only for a group of connected clients (group data) or also for those 5 clients which form the group?

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_701 | Topic: Supervisory reporting - Large Exposures | Date of submission: 03/01/2014 | Date of publication: 30/04/2014

FINREP Table F 13.03 Collateral obtained by taking possession (tangible assets) accumulated

This question asks for a clarification of the content and the validation rules of Table F 13.03. According to the instructions in Table F 13.03 instituitions shall report the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as "property, plant and equipment." In Annex XV there is one validation rule which makes connection between F 13.03 and F 01.01 v1090_m {F 13.03, r010, c010}

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_684 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 20/12/2013 | Date of publication: 30/04/2014

Definition of collateral for Table F32.02 and clarification of table structure

Is it correct, that rows 140-230 of table F 32.02 refer to the type of collateral received (eg. Loans on demand received as a collateral, or equity instruments received as collateral) and not to the collateralized asset class? Does collateral include all kind of risk mitigation received (Guarantees, Mortgages, Securities, Equity Instruments)?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2013_675 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 19/12/2013 | Date of publication: 30/04/2014

Disclosure of certain information by large subsidiaries of EU parent institutions on an individual or sub-consolidated basis

The disclosure information of regulatory groups is according to Article 13(1)/(2) first paragraph (each) of Regulation (EU) No. 575/2013 (CRR) to be done on a consolidated basis in any case. However, Article 13(1)/(2) second paragraph (each) of the CRR requires the disclosure of certain information by significant subsidiaries etc. as well. In the past, the implementation of that rule in Article 72 of Directive 2006/48/EC led in practice to the disclosure of only one consolidated report disclosing the required information also for all individual institutions or sub-groups which are of material significance. To our understanding, there exists a factual possibility for the entity in charge of the disclosure obligation on a consolidated level to either separately disclose the required information within one disclosure report or to take care for the issuance of separated individual disclosure reports of the significant subsidiaries and/or those subsidiaries which are of material significance for their local market. Is it possible to disclose also under CRR only a consolidated disclosure report with – in case need be – individual information per institution when requested? Is this particularly the case, where that practice has been used in the past and accepted by the national competent authorities?

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

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

ID: 2014_759 | Topic: Transparency and Pillar 3 | Date of submission: 23/01/2014 | Date of publication: 30/04/2014

Capital deductions

The NSFR return (tab 60) requires us to report in row 1310 (ID 1.13) the "assets deducted from own funds not requiring stable funding" in 'age' buckets. How do we age capital deductions?

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_673 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 18/12/2013 | Date of publication: 30/04/2014

Own funds requirements for commodities risk

Article 359(2) of Regulation (EU) No. 575/2013 states: “Positions in the same commodity may be offset and assigned to the appropriate maturity bands on a net basis for the following: (a) positions in contracts maturing on the same date; (b) positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.” A Fair Value Option is applied to the positions in the Banking Book. The positions are hedged “back-to-back” in terms of cash flows that are exactly offsetting each other and represent thus a perfect economic hedge. Due to discounting effects positions are not however perfectly netted in terms of market values, and thus in terms of net delta weighted equivalents. Does that still mean that the institution shall assign zero values to all the maturity bands in the Table 1 referring to the Maturity ladder approach, or must the netted cash deltas be assigned to each the maturity band instead?

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

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

ID: 2013_589 | Topic: Market risk | Date of submission: 29/11/2013 | Date of publication: 30/04/2014

Defintion of "all positions" in the templates C 18.00 - C 23.00, Market risks

What is the definition of "all postions" in the columns in the market risk templates C 18.00 -C 23.00? "All positions" are not descibed or defined neither in CRR nor in the instructions.

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_649 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 13/12/2013 | Date of publication: 30/04/2014

Requirement to disclose each individual instrument in the disclosure of capital instruments' main features

For the requirement to disclose a description of the main features of the Common Equity Tier 1 and AT1 and T2 instruments issued by the institution under Article 437(1)(b) of Regulation (EU) No. 575/2013, does the disclosure template require each individual security to be disclosed in the main features template that entities are expected to produce on an external website (BCBS Composition of Capital disclosure requirements - June 2012 - Appendix III)? Would it possible to agree a "de minimis" threshold and allow small securities to be presented en masse given the same value date, maturity date and other terms and conditions?

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

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

ID: 2013_553 | Topic: Own funds | Date of submission: 22/11/2013 | Date of publication: 30/04/2014

Grandfathered Instruments and Deduction Threshold Exemptions

When calculating the amount of Common Equity Tier 1 (CET 1) that is multiplied by 10%/17.65% for the purposes of threshold exemptions for deductions, should grandfathered instruments be included in the amount of CET1 to the extent that they qualify as CET 1 during the grandfathering period?

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

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

ID: 2013_527 | Topic: Own funds | Date of submission: 13/11/2013 | Date of publication: 30/04/2014

Definition of exposure class "Exposures in default" under SA approach

Are all exposures of the defaulted obligor taken into account when assigning exposures into the exposure class "Exposures in default" or just individual exposure(s) of that obligor that is (are) in default, since the definition of "Exposures in default" has changed (default definition according to the IRB approach)?

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

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

ID: 2013_511 | Topic: Credit risk | Date of submission: 07/11/2013 | Date of publication: 30/04/2014

Supervisory permission for reducing own funds if the institution replaces the instruments with own funds instruments of equal or higher quality

Are replacements of capital instruments also possible with other own funds items (e.g. retained earnings)?

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

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

ID: 2013_467 | Topic: Own funds | Date of submission: 01/11/2013 | Date of publication: 30/04/2014

Reconciliation between accounting and CRR scope of consolidation when no accounting scope exists

In case a bank has to provide financial information according to FINREP on a subconsolidated level, but the institution has no accounting obligation on a subconsolidated level, what should be filled in Template 17 of the FINREP-Reporting?

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_636 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 11/12/2013 | Date of publication: 30/04/2014

Applicable basis for determining deferred tax assets to be deducted from CET1

Is the amount of deferred tax assets and liabilities relevant for the calculation of the amount to be deducted from Common Equity Tier 1 (CET1) according to Article 36(1)(c) of Regulation (EU) No. 575/2013 (CRR) to be determined based on the accounting values of deferred tax assets and liabilities as disclosed in the balance sheet?

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

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

ID: 2013_258 | Topic: Own funds | Date of submission: 17/09/2013 | Date of publication: 30/04/2014

Consideration of collateral in the current exposure method

We seek clarification regarding the consideration of collateral in the current exposure method (referred to as the Mark-to-market method in Regulation (EU) No 575/2013 (CRR) for the own capital requirements as well as for the large exposure regime. Is it possible to allow for collateral posted in calculating the current replacement according to Article 298(1)(c)(i) 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_206 | Topic: Market risk | Date of submission: 02/09/2013 | Date of publication: 30/04/2014

Table F 02.00 and Table F 43.00 - cross validation of Provisions charge

FINREP Table F 02.00 subtotal row 430 (Provisions or Reversals of Provisions) is identified on the template as cross referencing to Table F 43.00 (Provisions). The cross validations do not however identify what data should agree. Please confirm which columns (and for which rows ) on Table F 43.00 should agree back to Table F 02.00.

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_634 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 10/12/2013 | Date of publication: 30/04/2014

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 (repealed)

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 (repealed)

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 (repealed)

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 (repealed)

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