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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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

LE1 column 030 ('LEI code')

What does the legal entity identifier exactly mean? Does it mean LEI applicable in the reporting country?

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_582 | Topic: Supervisory reporting - Large Exposures | Date of submission: 29/11/2013

Inclusion of indirect holdings in the large exposures regime

Do indirect holdings have to be included in the large exposure regime based on Article 389 of Regulation (EU) No. 575/2013 (CRR) if they are held against a financial sector entity (that is fulfil the definition in Article 36 (1)(h) or (i) of the CRR), but are not deducted from own funds and instead risk weighted according to Articles 48(4), 46(4) or 49(4) of the CRR? If the answer is yes, can the financial sector entity being regarded as the relevant client for large exposure purposes?

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

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

ID: 2013_624 | Topic: Large exposures | Date of submission: 06/12/2013

Determination of clearing threshold of non-financial counterparties

Who decides if a non-financial counterparty exceeds a clearing threshold and therefore has to be included in the CVA calculation? Is this the responsibility of the counterparty? Is this only relevant for counterparties in third countries or also for counterparties in member states?

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

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

ID: 2013_472 | Topic: Market risk | Date of submission: 01/11/2013

Discounts on balance sheet exposures purchased when not in default

In Regulation (EU) No 575/2013 (CRR) Article 159 it states: "......Discounts on balance sheet exposures purchased when in default in accordance with Article 166(1) shall be treated in the same manner as specific credit risk adjustments." In respect of this how should one treat discounts on purchased exposures that were not in default at the time of purchase and discounts that were not calculated on single exposure level, but instead calculated on a whole portfolio of exposures which are not in default.

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

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

ID: 2013_354 | Topic: Credit risk | Date of submission: 08/10/2013