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List of Q&A's

COREP validation rule v3691

When the AT1 adjustment on Minority Interest (fully loaded) as reported in C05.01 c060; r091 is a positive figure, the transitional recognition hereon (C05.01 c020; r091) must then be negative. While the validation rules on columns 060 and 030 (resp. v3692 and v3693) have been de-activated on 23/03/14, we do not see why the validation formulae regarding column 020 (v3691) remains applicable.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1395
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Validation rule v3694_s - v0532_m

During the validation of the C13 and C05.02 (Corep own funds and leverage, consolidated on prudential basis we obtained a validation), performed by our regulator, we obtained a validation error that is incorrect, namely: v3694_s Sign C 05.02 (010;020;090) (020;030;040;060) {C 05.02} >= 0 do not run rule The correction in C05.02 does not only reflect the temporary inclusion of subordinated loans which don’t fulfill the requirements of CRR / CRD IV, but should also reflect the temporary transfer of old-style hybrids to AT1 in a phased approach. When the old-style hybrid instruments fulfill the conditions to be recognized as Tier 2 capital under CRR/CRD IV, these instruments are taken into account in the fully loaded reporting as reflected on line {C01.00,r760,c010). However in a phased-in calculation, which is reported under the transitional measures, these instruments can temporarily still be recognized as Additional Tier 1 instrument. Therefore, the transitional adjustment related to Tier 2 will imply a decrease of Tier 2 capital and recognition as Additional Tier 1 capital (in 2014 only 20% remain in T2 and 80% will be transferred to AT1, in 2015 40% will stay in T2 and 60% will receive recognition as AT1, …) and thus the correction to be made to Tier 2 is negative. v0532_m: (c190) = (c200) + (c210) + (c220) + (c230) + (c240) + (c250) + (c260) + (c270) + (c280) + (c290) + (c300) + (c310) + (c320) + (c330) + (c350) + (c370) [[C 13.00 (r010-150;170-540)]] (1 error(s)) We assume that validation check in table C13 on field W51 (Exposure value subject to risk weights) is erroneous. The value in this field should totalize all exposure values in the fields from X51 till AI51 (ratings based method) plus AJ51 (unrated), AK51 (supervisory formula), AM51 (look- through) and AO51 (internal assessment approach). It’s however impossible to meet this requirement, since the fields from AK51 till AQ51 are blocked.

  • 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_1388
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Off-Balance Sheet Exposures in Templates 18 and 19 with respect to Q&A 2013_214

What are the reporting requirements for FINREP table 18 column, column 210, rows 330 – 550 and table 19 column 180, row 340?

  • 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_1055
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Calculation of net positions under Article 327 (1)

Does a short (long) position on an over-the-counter derivative on a bond/ equity (single name/index/basket) underlying (such as a total return swap (TRS), equity swap, asset swap, etc) net off against a long (short) position in its bond/equity underlying as long as the bond/equity (single name/index/basket) underlying of the derivative contract is the same as the bond/equity in which the long (short) position exists?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4386
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 04/06/2021

F 33.00 - MATURITY DATA (AE-MAT) - Maturity of the encumbered asset

How to report initial margin (IM) and variable margin (VM) under F33 Maturity data report - 010-encumbered assets? Given there is no clear guidance on this particular maturity reporting therefore it is grateful if EBA could provide a clearer guidance or best practice on this issue.

  • 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: 2015_2060
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Reporting of 'Sources of encumbrance' in line with F32.04

As part of the reporting of asset encumbrance, institutions are required to report its 'Sources of encumbrance' within template F32.04. Our question relates to this template, and deals specifically with deposits. One of the sources of asset encumbrance are deposits that are eligible for the Depositor Compensation Scheme (DCS). The instructions of F32.04, for the reporting of deposits (row 040 / 070) state that institutions are to report the "Carrying amount of the collateralized deposits of the reporting institution in so far as these deposits entail asset encumbrance for that institution". Does this imply that we are required to report the entire amount of deposits eligible for the DCS? Or up to the amount of assets pledged? As an example, suppose that an institution has €500 million of deposits which are eligible for the DCS. Under the DCS, the institution is required to pledge assets equivalent to an established % of eligible deposits. Suppose that the aggregate amount of assets which the institution is required to pledge is €5 million - consisting of €1.5 million in cash and the remaining in bonds. Given the above example, our question is: are institutions required to report the €500 million as a source of encumbrance in F32.04 column 010, row 070 "collateralized deposits other than repurchase agreements". Or the amount to be reported shall be the €5 million?

  • 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: 2015_2022
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Reporting of the Transactions where cash transfers does not occur

We would like to know in cases of transactions wherein stocks/securities are exchanged e.d Stock borrowing and Lending(SBL) transactions , how the stock encumbered and matching liabilities 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: 2015_1852
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Treatment of an asset entitled 'Rent Deposit'

Should an asset of a 'rent deposit' held in the current assets of a company's balance sheet be treated as encumbered or unencumbered? If it is to be included as encumbered should the fair value of the encumbrance be the amount of the entire contract that the rental deposit secures?

  • 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: 2015_1800
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Template 32.04 - Sources of Asset Encumbrance

Template 32.04 relates to sources of encumbrance, stating the liabilities in column 010 and then matching up the encumbered assets which they drive. Row 010 states ‘Carrying amount of selected financial liabilities’ – we have three items which generate encumbered assets but do not appear to be assignable to a row in this template: 1. Note Cover - as a bank which issues bank notes we have a liability on our balance sheet for the notes in circulation – however this amount is not applicable to any of the rows which drive the row 010 total – i.e. it cannot be reported in row 020-110. 2. Payment system collateral – this is amounts pledged to use payments systems like CHAPs etc – there is no liability driving this encumbered asset 3. Cash ratio deposit – this is an amount we pledge to Bank of England in order to have the Bank of England as our Central Bank, similar to the payment system collateral there is no associated financial liability. For Note Cover this leaves us with a predicament as this liability is not applicable to rows 020-110 which drive the financial liabilities total in r010, also it cannot be reported in the ‘Other sources of encumbrance’ section within this template, rows 120-160, as the guidance clearly states that this is only for non-financial liabilities. As there is validation (v3218_m) between F32.02, c010, r250 and F32.04, c030, r170 - basically all the encumbered assets reported in F32.01 and F32.02 need to be included in F32.04 - so we have to include the note cover somewhere. For payment system collateral and cash ratio deposit we have similar issues in that we have to report all encumbered assets per validation v3218_m – but as there is no associated liability we do not know where to report the asset.

  • 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: 2015_1703
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Treatment of Financial offsetting of assets and liabilities subject to offsetting, enforceable master netting arrangements and similar arrangements'

How does the assets/liabilities balances subject to netting are reported and how does the associated collateral with it reported are reported in F 32.04 ? How does the assets (on and off) are reported on FR 32.01 and FR 32.02 ?

  • 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_1630
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

AE: F3201, F3202, F3203 - Discrepancy between taxonomy and ITS

In ITS , some cells are shaded according to whether it’s a consolidated or individual template. Now, in the DPM as in taxonomy, these conso/individual characteristics do not seem to be taken into account. The remark concerns the following columns: F3201 : C020 and C070 F3202 : C020 and C050 F3203 : C020

  • 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_1569
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Identification of encumbered assets when using collateral pools

Are institutions allowed to report the least liquid assets as encumbered first when a pool of assets of the institution is used as collateral for a liability?

  • 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_1558
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

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

AE-COL (F 32.02), AE-MAT (F 33.00).

1) Meldebogen AE-COL: Nach unserer Auffassung sind nur solche Sicherheiten relevant, die im Groß- und Interbankenhandel Anwendung finden. Sicherheiten in Privatkundendepots werden dabei unberücksichtigt. Ist diese Annahme richtig? Beispiel: Die Bank gewährt dem Kunden einen Wertpapierkredit, damit er Wertpapiere erwirbt. Der Kunde verpfändet diese Wertpapiere dann als Sicherheit. Sind diese als erhaltene Sicherheiten zu berücksichtigen? 2) Meldebogen AE-MAT: Die gestellten Sicherheiten müssen mit den Restlaufzeiten der zugrunde liegenden Transaktionen gemeldet werden. Auf der Passivseite sind für unser Institut hunderte von Geschäften relevant. Soll dabei die Restlaufzeit jeder einzelnen Transaktion berücksichtigt werden oder ist eine Durchschnittsrechnung der Laufzeit bzw. pauschale Anrechnung im letzten Laufzeitband ausreichend? Beispiel: Die Bank refinanziert sich über Refi-Darlehen. Hunderten von Darlehen steht ein Wertpapier als Sicherheit gegenüber. Soll der Wert des Papiers proportional auf die Restlaufzeiten der einzelnen Darlehen aufgeteilt werden oder ist eine Ermittlung der Durchschnittslaufzeit ausreichend?1) AE-COL template (F 32.02): in our view, only collateral used in wholesale and interbank trading is relevant. Collateral in private customer portfolios is thereby not takeninto consideration. Is this assumption correct?For example, the bank grants the customer a loan against securities so that he can acquire securities. The customer then pledges those securities as collateral. Are they tobe taken into consideration as collateral received?2) AE-MAT template (F 33.00): the collateral posted must be reported with the residual maturities of the underlying transactions. On the liabilities side, hundreds of transactionsare relevant for our institution. Should the residual maturity of each individual transaction be taken into consideration or is an average maturity calculation or an overall imputationin the final maturity band sufficient?For example, the bank refinances its operations using refinancing loans. Hundreds of loans are covered by one security as collateral. Should the value of the security becredited pro rata to the residual maturities of the individual loans or is it sufficient to determine the average maturity?

  • 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_1306
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

30% shock - template Part C-34.00-AE-CONT 120-020.

30% shock - template Part C-34.00-AE-CONT 120-020 - regarding Funding for Lending (FLS) pools, we have made an assumption that a 30% shock is applied to the Bank of England Fair Value amount, is this 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 (repealed)
  • ID: 2014_1156
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Over collateralising on template 35 incorporation of present value of swaps (F35.00)

Template F35.00 is requesting fields to be populated for Row 020 in columns 080, 210, and 220-250. Although col 080 sits within the “Covered Bond Liabilities” section of the template, the caption itself (and definition) are specific to “cover pool derivative positions”. Accordingly, we assume this could potentially relate only to derivatives associated with the underlying mortgage assets which are included in the cover pool (i.e. as security for the covered bonds in issue) and would not include any derivative positions associated with the covered bond liabilities themselves. (If our assumption in #1 is correct), the definitions of row 20 and columns 080 and 210 further make reference to only those derivative positions that are determined in accordance with the relevant statutory covered bond regime’s rules to be included in the cover pool, are subject to the respective CB protective measures, and are included in determining sufficient coverage – please refer to full definitions below. Asset Specific Value (row 030), col’s 150, 220-250 are not included in the CB regime rules for asset coverage calculations. If this is the case, on the basis of the definitions included, does this mean that our “cover pool derivative positions” for purposes of reporting within this template are nil? If so, then there would be nothing for us to report here. Can the EBA please confirm the position?

  • 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_1155
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Pro-rata of pool to work out encumbered and un-encumbered assets (F32.01, F32.03, F32.04, F33.00, F35.00, F36.01).

Can firms split what counts as encumbered or not encumbered by pro-rating the pool of assets by self-issuance retained and as a proportion of total issuance?

  • 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_1154
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Short Positions in Asset Encumbrance

Should the short positions be reported in Asset Encumbrance? Taking into account that a short positions generated due to the sale of a received collateral is considered to be a liability for the reporting entity, seems plausible to include them in template F32.04, specifically in row 070 (collateralized deposits other than repurchase agreements). Nevertheless, this could imply that validations of this template with FINREP are not fulfilled; {F 32.04.a, r070,c010} <= sum({F 08.01.a, r050, (c010-035)}) - xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)}). Notwithstanding, should be pointed out that FINREP's F1.2 Liabilities template has a specific row for short positions (row 030), this reinforces the belief that maybe short positions are not required in Asset Encumbrance reporting or that the F32.04 lacks a row for this category.

  • 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_946
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

F 36 - Reporting of rows "Matching liabilities".

In the tables F 36 of Asset Encumbrance - Advance data, it must be reported the cross between asset type and source of encumbrance type. For each crossing it must be reported the "encumbered assets" and the "matching liabilities". How must the amount of "matching liabilities" be shared out between the asset types (columns) if it has been collateralized by different type of 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 (repealed)
  • ID: 2013_682
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Materiality threshold and calculation method for materiality ratio for the purpose of application of Article 150(1)(c) for types of exposures that are immaterial in terms of size and perceived risk profile

A) Can you please clarify whether the 10%/5% threshold to define materiality for “exposure classes” are valid also as for “types of exposures”? In case not, can you please specify which thresholds should be considered for the abovementioned purpose?B) As for the materiality ratio to be compared against the thresholds can you please clarify how it should be computed with reference to the following points:1. Should the numerator include only the exposures for which the application for PPU is being sought under Article 150 (1) (c) by excluding exposures for which PPU has already been granted pursuant other points of Art 150 (1) and exposures not to be included in the calculation of RWA for equity exposure pursuant to Art. 155 (1) (i.e. Equity exposures risk weighted at 250% in accordance with Art. 48 (4) of Reg. EU 575/2013 and those deducted from CET1 in accordance with Part Two of Reg. EU 575/2013)?2. Should the ratio be computed only at solo level or both at solo and consolidated level, in case an application is limited to only one Legal Entity (LE) of a Large Group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4489
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021