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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

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List of Q&A's

Identifying the forborne exposures

What are the approaches, which are being considered in identifying the forborne exposures, as well as exposures under probation? (i.e. IT, manual). How will the 2 year probation period for the forborne exposures be managed for the exposures which are classified as forborne, and which are no longer non-performing? Are they required to be reported separately within table 18?

  • 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_562
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

COREP CR IRB - Calculation of column 10

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_558
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

COREP template C43.00 - Breakdown of leverage ratio exposure measure components

On which row of template C43 (LR4) should institutions report 'cash received or securities provided to a counterparty' as referred to in the reporting instructions of C45.00 (LRCalc) - rows 010/020

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_551
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Change in Fair Value

Regarding FinRep table 14 (analysis of financial intruments at fair value) and related guidance in annex V part 2 para 86 - Do columns 40 & 50 [ Changes in fair value for the period: Level 2 & Level 3] : (a) relate only to transactions that continue to exist at the reporting date or (b) do they include movements for all transactions during the reporting 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_549
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Article 415 and the treatment of forward starting collateral swaps.

Article 415 states "The reporting formats shall include all the necessary information and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound." I assume "collateral swaps" referred to above does not include forward starting collateral swaps. I.e. collateral swaps that have not yet had an initial exchange of paper.

  • 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_548
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Inconsistency in validation rules v0532_m.

Between v0532_m and v0533_m. The validation rule is different but they impact the same range of rows (040-090). We believe this range should be removed from rule v0532_m.

  • 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_514
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Scope of LE5 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients

Is there a threshold foreseen to fill in this table? Or do we have to fill in all the exposures on individual clients, who belong to a group of connected clients (that need to be reported in template 'LE4'?

  • 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_395
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Reporting of investments in subsidiaries that are not included in the prudential scope consolidation.

Annex V states that dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of profit or (-) loss of investments in subsidiaries, joint ventures and associates". Based on this statement we need clarification regarding the line in which the investments in subsidiaries that are not included in the prudential scope of consolidated should be reported in the balance sheet. Annex V p1.12 states with regard to accounting portfolios that "these aggregations do not include investments in subsidiaries, joint ventures and associates [...]." Example: A subsidiary is not included in the prudential scope of consolidation and should therefore be included in the IAS category "Available for sale". Should the carrying amount of this investment be reported in line item F 01.01, r140, c010 or in line item F 01.01, r260, c010? If it needs to be included in line item F 01.01, r260, c010: How should those investments be measured according to IFRS at the reporting date (at cost vs. at fair value)?

  • 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_340
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Reporting of Collateral of Covered Bonds

In the template for the Covered Bonds Issuances, the collateral has to be reported separately for each CB. The respective bank, however, has one cover pool backing several issuances. Should this cover pool be broken down proportionally on each CB or is no breakdown 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: 2013_491
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/03/2014

Cash Inflows excluded from inflow cap

Article 425(1) reads: “Capped inflows shall be the liquidity inflows limited to 75% of liquidity outflows. Institutions may exempt liquidity inflows from deposits placed with other institutions and qualifying for the treatments set out in Article 113(6) or (7) from this limit. Institutions may exempt liquidity inflows from monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or by bonds as referred to in Article 52(4) of Directive 2009/65/EC from this limit…” Is the interpretation correct that mortgages that are used as a cover pool for credit enhancing a covered bonds transaction can be excluded from the inflow cap? In contrast to the original Basel III papers it is not possible to identify the definition of the general provision, capping inflows at 75% of cash outflows. Is the inflow cap applicable to every item in the template or at the calculation of the summed amounts?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_485
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 28/03/2014

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:
  • Published as final Q&A: 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 (repealed)
  • ID: 2013_406
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 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:
  • Published as final Q&A: 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 (repealed)
  • ID: 2013_397
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 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 (repealed)
  • ID: 2013_380
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 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:
  • Published as final Q&A: 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 (repealed)
  • ID: 2013_322
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 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:
  • Published as final Q&A: 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 (repealed)
  • ID: 2013_274
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 28/03/2014