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Stock financing

Could you please clarify if the positions that are purely ‘stock financing’, as defined in Article 3(1)(l) of Directive 2006/49/EC, but not defined in Regulation (EU) No. 575/2013 (CRR), may be excluded from the calculation of own funds requirements for commodities risk under Part three, Title IV, Chapter 4 of the CRR, as was allowed under Directive 2006/49/EC.

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

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

ID: 2013_422 | Topic: Market risk | Date of submission: 23/10/2013 | Date of publication: 28/03/2014

Inconsistent wording/references between reporting templates and ITS

There are several inconsistencies between the reporting templates and ITS (examples given below) and it would be useful to understand whether the EBA intends to review and update the documents where needed.

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_406 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 18/10/2013 | Date of publication: 28/03/2014

Exclusion of eligible CVA hedges from the specific risk capital requirements (market risk)

When an institution enters into a transaction to hedge the credit valuation adjustment ("CVA") risk on a portfolio of trades with a non-financial counterparty ("NFC") own funds requirements for specific risk, which falls within the scope of the exemption provided under article 382.4.a (i.e., a NFC that is under the EMIR thresholds), can the institution take advantage of the provision of article 386.3 whereby the hedge is exempt from own funds requirements for specific risk?

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

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

ID: 2013_402 | Topic: Market risk | Date of submission: 17/10/2013 | Date of publication: 28/03/2014

Alternative treatment of the exposure measure: Notional amount

Is the scope of products limited to the scope for calculation of credit equivalent (without FX contracts < 14 days, without future, written options,… ) 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_397 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 16/10/2013 | Date of publication: 28/03/2014

Reporting treatment of forward starting trades

Further clarification on the reporting treatment of forward starting trades would be appreciated. A forward starting trade will have two cash flows, one at the start and one at the maturity of the trade. For example, a forward starting deposit will have an inflow at the start to reflect the deposit being received, while an outflow at maturity to reflect the repayment of the deposit. It is not clear, however, how the flows should be 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_380 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 10/10/2013 | Date of publication: 28/03/2014

Treatment of clients' exposures

Is it a requirement for the criteria in Article 305, paragraph 2, subparagraph (b) to be fulfilled that the client has an agreement with a clearing member in place, which, while not guaranteeing porting, has been identified to the relevant CCP as a back-up clearing broker for that client?

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

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

ID: 2013_366 | Topic: Market infrastructures | Date of submission: 09/10/2013 | Date of publication: 28/03/2014

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 (as amended)

ID: 2013_322 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 03/10/2013 | Date of publication: 28/03/2014

Counterparty Credit Risk

Article 273(6) outlines that "For a given counterparty, the exposure value for a given netting set of OTC derivative instruments listed in Annex II calculated in accordance with this Chapter shall be the greater of zero and the difference between the sum of exposure values across all netting sets with the counterparty and the sum of CVA for that counterparty being recognised by the institution as an incurred write-down" In the event that an institution does not fulfil the conditions outlined in Article 296 & Article 297 and as a result does not benefit from the recognition of contractual netting agreements, can this institution then reduce the exposure value by the amount of the CVA for that counterparty that has been recognised as an incurred write down when calculating exposure value?

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

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

ID: 2013_134 | Topic: Market risk | Date of submission: 07/08/2013 | Date of publication: 28/03/2014

Reporting of repos and reverse repos with underlying liquid asset collateral

Clarification on the reporting of repos and reverse repos with underlying collateral which is eligible for inclusion in the liquid asset buffer is needed. In particular, CRR Article 416 allows for unencumbered assets obtained through reverse repo transactions to be included within the pool of liquid assets and greater clarity is needed therefore on how these should be reported on C51.00 and C53.00.

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 (as amended)

ID: 2013_274 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 24/09/2013 | Date of publication: 28/03/2014

Subordinated Debt holdings

The definition of subordinated assets appears very broad - it seems to include any asset which is not highest in the order of priority. [Para 45 refers to a detailed definition in para 54: “Subordinated debt” instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied”] Can the definition be interepreted as being any asset which has specific element of subordination according to its own terms and conditions rather than being a requirement to relate to all other assets?

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_547 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 21/11/2013 | Date of publication: 21/03/2014

Template C18.00 - Market Risk: Standardised Approach for Position Risks in Traded Debt Instruments (MKR SA TDI)

COREP: With regards to MKR SA TDI: All Positions, the instructions state that columns c010 [Long] and c020 [Short] should exclude underwritten positions subscribed or sub-underwritten by third parties. Can the EBA confirm whether this exclusion applies across the whole 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_530 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 15/11/2013 | Date of publication: 21/03/2014

Add precisions about (CA4) rows 660 and 670

Instructions about row 660 (ID19 - Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital) refered to article 60 of CRR 575/2013. Instructions about row 670 (ID20 - Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital) refered to article 70 of CRR 575/2013. The reference to the paragraph is missing. These instructions should refered respectively to articles 60 (4) and 70 (4), as done for row 650 - ID 18 (which refers to article 46, paragraph 4).

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_522 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 12/11/2013 | Date of publication: 21/03/2014

Accumulated Changes in Fair Value due to Credit Risk

Tables 4.1, 4.2, 6, 8, 20.4, 20.7 and 45.1 all require information pertaining to accumulated changes in fair value due to credit risk, and point the respondent to Annex V.46 and IFRS 7.9 as technical references. Annex V.46 requires that “accumulated changes in fair value due to credit risk” figures shall be reported for financial assets at fair value through profit or loss”. The related IFRS guidance (IFRS 7.9) under the heading “Financial assets or financial liabilities at fair value through profit or loss” requires that if the entity has designated as measured at fair value a financial asset (or group of financial assets) that would otherwise be measured at amortised cost, it shall disclose . . . the amount of change, during the period and cumulatively in the fair value of the financial asset (or group of financial assets) that is attributable to changes in the credit risk of the financial asset”. Could the EBA confirm that this request relates only to financial assets that would otherwise be measured at amortised cost, and that it does not relate to trading assets?

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_517 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 11/11/2013 | Date of publication: 21/03/2014

Application of definition of forborne items, described in the EBA final draft ITS on supervisory reporting on forbearance and non-performing expoures under article 99(4) of Regulation (EU) No 575/2013

When do the reporting institutions have to start utilizing and identifying the forborne exposures? In accordance with the EBA final draft ITS on supervisory reporting on forbearance and non-performing exposures under article 99(4) of Regulation (EU) No 575/2013, the definitions of forbearance and non-performing are expected to enter into force in September 2014 (reference date), with remittance date of 31 December 2014. Applying the statement above, starting September 30, 2014, the reporting institutions will begin tracking and identifying the forborne exposures. This will imply a prospective application of the requirement (after September 30, 2014). Would that interpretation be correct?

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_513 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 07/11/2013 | Date of publication: 21/03/2014

Validations

There are several validations that do not appear to work given the contents of the cells referenced. Can you please advise as to the appropriate treatment for these items? 1. v1074_m This validation requires the sum of the counterparty split of mortgage loans [Loans collateralized by immovable property] on Table 5 to equal the sum of Row 10 columns 10 and 20 on Table 13, which represents residential and commercial Mortgage loans [Loans collateralized by immovable property]. sum({F 13.01, r010, (c010-020)}) = sum({F 05.00, r090, (c020-060)}) However, the instructions to Table 5 indicate that the loan balances should be reported in this table. In Template 13.1, the “maximum amount of the collateral or guarantee that can be considered” shall be reported. The sum of the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan. Therefore, the validation does not seem to be appropriate given the loan balance may not be equal to the amount of the guarantee/collateral. 2. v1235_m This validation requires that the opening balance of Profit/loss Attributable to owners of the parent equal the closing balance from the prior year. {F 46.00, r010, c100} = {F 46.00, r210, c100} t-1 However, as this is a p&l column, the opening balance should always be 0 as the p&l is rolled into retained earnings every year. 3. v1350_m This validation formula references Table 2 row 320, however this row does not exist. sum({F 20.03, r120, (c010-020)}) = {F 02.00, r320,c010} 4. v1324_m This validation states the opening balance of Profit/loss Attributable to owners of the parent per the Statement of Changes in Equity should equal Profit/loss Attributable to owners of the parent on the balance sheet from the prior period. The FAQ's released by the EBA in March stated "Templates referring to a period shall be reported cumulatively from the first day of the accounting year to the reference date." {F 46.00, r010, c100} = {F 01.03, r250, c010} t-1. We do not understand the reference to IAS 27.28. The validation v0786_m states that Profit/loss Attributable to owners of the parent is an income statement measure as it validates to the Statement of Profit or Loss. As a p&l measure would get closed out into retained earnings at the end of each year, this validation does not appear to work. Is the EBA intending Table 1.3 row 250 to represent p&l for the year? The reference to IAS1.83(a)(ii) is invalid as it has been removed from the standard. Is the EBA intending Table 1.3 row 250 to represent p&l for the year? The reference to IAS1.83(a)(ii) is invalid as it has been removed from the standard. 5. v1236_m This validation requires that the opening balance of Interim Dividends equal the closing balance from the prior year {F 46.00, r010, c110} = {F 46.00, r210, c110} t-1 Is this supposed to represent the balance sheet value of accrued but not paid dividends? 6. v1325_m This validation states the opening balance of Interim Dividends per the Statement of Changes in Equity should equal Interim Dividends on the balance sheet from the prior year. Is this supposed to represent cumulative distributions or distributions for the year? If the latter, the validation does not work. {F 46.00, r010, c110} = {F 01.03, r260, c010} t-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 (as amended)

ID: 2013_512 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 07/11/2013 | Date of publication: 21/03/2014

Description definitions

Rows 090 and 120 are both subsets of Loans and Advances. Row 090 is "of which: mortgage loans [Loans collateralized by immovable property]" and row 120 is "of which: lending for house purchase". What is the difference between these two rows?

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_504 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 05/11/2013 | Date of publication: 21/03/2014

Format of NACE code to be reported (Annex IX, 5. LE1 template identification of the counterparty, instruction to column 060 NACE code)

Shall we report only the NACE code (e.g. F) or shall we report the NACE code together with the description (e.g. F - Construction)?

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_493 | Topic: Supervisory reporting - Large Exposures | Date of submission: 01/11/2013 | Date of publication: 21/03/2014

Definition of a group of connected clients as 'institution' or 'unregulated financial entity'

How shall a group of connected clients be defined as 'institution' or 'unregulated financial entity'?

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_492 | Topic: Supervisory reporting - Large Exposures | Date of submission: 01/11/2013 | Date of publication: 21/03/2014

Reporting of derivatives

In the Asset Encumbrance template derivatives with a negative market value should be reported. Have the value of the derivatives be reported after netting?

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_468 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 01/11/2013 | Date of publication: 21/03/2014

0% Risk Weight Exposure Public Sector Entities

In reference to the requirement under ID 3.3.4 transferable securities with a 0% risk weight... representing claims on or claims guaranteed by non-central government public sector entities (Annex XII – Liquidity ration template). Under Chapter 2, Title II of Part Three, Exposures to public sector entities shall be assigned a risk weight as per Art. 116 or as per Art. 116(2) shall treat in accordance with Art. 120. In any case, none of this guidance indicates a 0% Risk Weigh for public sector entities.

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_466 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 31/10/2013 | Date of publication: 21/03/2014