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List of Q&A's

Groups including investment firm(s) referred to in Article 95(1) and investment firm(s) referred to in Article 96(1) and not including credit institutions.

What method of calculating the own funds requirement should be used when a group consists of both 95(1) and 96(1) investments firm and no credit institutions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1414
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Balance Sheet Netting as a CRM technique

Is Balance Sheet Netting according to Article 195 limited to Cash Balances in the same currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1413
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Refinancing

Does a derecognition on an institution’s balance sheet of a forborne contract lead to an end of the forborne exposure and end to reporting duty?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1412
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Embedded forbearance clauses

Does it lead to a forborne status of the contract if executing embedded forbearance clauses (e.g. payment holiday and partial write off), incorporated in Dutch Nationale Hypotheek Garantie mortgages?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1411
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Group Solvency report: The content of the column 390 “Contributions to consolidated result” of the Group Solvency report

Does the content of column 390 “Contributions to consolidated result” of the Group Solvency report correspond with the row 130 “Retained earnings” of the CA1 report (C 01.00) on group level (subgroup level) or rather with the sum of the rows 280 “Cumulative gains and losses due to changes in own credit risk on fair valued liabilities” and 285 “Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities” of the CA1 report on group level (subgroup level)?Expressed as formulas: {GS;c390} = {CA1;r130} or {GS;c390} = {CA1;r130} + {CA1;r280} + {CA1;r285}? (Regulation (EU) No 680/2014 [ITS on Reporting], Annex II, C 06.00, c390)

  • 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_1398
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Group Solvency report: The distinction between the contents of the columns 350 “Goodwill / Negative goodwill” and 400 “Goodwill / Negative goodwill” of the Group Solvency report

To what extent the contents of the columns 350 “Goodwill / Negative goodwill” and 400 “Goodwill / Negative goodwill” differ from each other? Does the content of the column 400 “Goodwill / Negative goodwill” of the Group Solvency report correspond with the row 300 “Goodwill” of the CA1 report on group level (subgroup level) in case of goodwill (not negative goodwill)? Furthermore, does the content of column 350 “Goodwill / Negative goodwill” of the Group Solvency exclusively concern the goodwill / negative goodwill referring to minority interests? (EBA/ITS/2013/02, Annex II, C 06.00, c350, c400, pp. 59, 60)

  • 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_1397
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Group Solvency report: Reporting of the columns 300 to 350 and columns 360 to 400

Shall a consolidated entity which contributes to the group’s consolidated own funds by minority interests but also by other means exclusively report columns 300 to 350 or additionally columns 360 to 400? (Regulation (EU) No 680/2014 (ITS on Reporting), Annex II, C 06.01 / C 06.02, c300 to c400)

  • 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_1396
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

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

Treatment of subordinated loans in respect of Art 133 (3) CRR

Could you please confirm that subordinated loans according to Art 62.a CRR, which are acknowledged as Tier 2 are not regarded as equity exposures according to Art. 133.3 CRR.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1384
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Short positions in financial institution capital instruments

(1) Where a bank holds an item which is treated as a financial institution capital instrument under CRR, can a guarantee or credit default swap over that instrument be considered a short position for the purposes of Articles 45(a), 59(a) or 69(a)? (2) Where a bank has an indirect holding of a financial institution capital instrument, can a guarantee or credit default swap over the host item be considered a short position in the underlying capital instrument for the purposes of Articles 45(a), 59(a) or 69(a)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1382
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 20/02/2015

PD substitution and eligibility of guarantors

Article 202(d) of Regulation (EU) No 575/2013 (CRR) suggests that where risk weighted exposure amounts are calculated under the IRB Approach, a guarantor must have an internal rating in order to be eligible as a guarantor for PD substitution. Can a guarantor, which is rated by an ECAI, and otherwise meets all eligibility requirements but is treated under the Standardised Approach by the institution, be used for PD substitution? How can a guarantee be recognised in this situation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1381
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/09/2015

Disclosure requirement on individual basis

What is the connection between the provisions of Article 13 and Article 433 of Regulation (EU) No 575/2013 (CRR)? When shall the institutions disclose all the information required by Part Eight and on what condition could the limited disclosure requirement be applied on individual basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1379
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 27/03/2015

Missing Entity code

What should be reported in column 020 in table F 40.01 Annex III , if entity code is missing for an entity? Should the cell be left empty, if an LEI code is existing for the 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 (repealed)
  • ID: 2014_1378
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/06/2016

CVA Standardised Method for Securities Financing Transactions (SFTs)

Article 382(2) of Regulation (EU) No 575/2013 (CRR) states that ‘an institution shall include securities financing transactions in the calculation of own funds required by paragraph 1 if the competent authority determines that the institution's CVA risk exposures arising from those transactions are material’. Assuming SFTs are included in the CVA Standardised CVA charge, clarification is required on the definition of the 'EAD' and 'M' inputs to the CVA Standardised Formula:Question 1: What definition of 'EAD' is applied for SFTs under the CVA Standardised Method? i.e. is it only the fully adjusted exposure value in accordance with Article 223(5) or can the exposure value take in account master netting agreements as set out in Articles 220 and 221 of the CRR be used ?Question 2: What definition of 'M' (the effective maturity of the transactions) is applied for SFTs in the CVA Standardised Formula? i.e. the definition of 'M' in Article 384(1) for non-IMM banks references Article 162(2)(b) which only refers to master netting agreements for derivatives.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1376
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Error in validation v0623_m (C.21.00 – MKR SA EQU)

Please confirm whether v0623_m is erroneous (refer to background on question for further detail) and if so, what the correct validation should be.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1374
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/03/2015

Treatment of Croatian currency - Kuna (HRK) and Croatian national market in Market risk reporting templates

We have noticed that there is no code for Croatian currency (HRK) as pre-defined separate reporting currency in templates C18 and C22 and no code for Croatian market as pre-defined separate reporting market in template C21.

  • 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_1370
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

Derogation for small trading book business

According to the Article 94 of Regulation (EU) No 575/2013 (CRR) there is a possibility to calculate capital requirement in accordance with Article 92(3) point (a) CRR in respect of institution’s trading-book business. But the calculation of trading-book business is not enough precisely mentioned in Article 94 CRR. Should institution calculate this trading-book business based: (1) on overnight positions (as at the end of business day) or (2) on daily turnover in financial instruments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1367
  • Topic: Market risk
  • Date of submission:

Reporting of 10 largest exposures to institutions (correct counting in a case where 2 clients in a group of connected clients are institutions)

How should an institution count "top 10 exposures to institutions" in a case of an exposure to a group of connected clients in which an institution is a parent and there are at least 2 institutions in this group? a) As 1 (of 10) exposure to institutions – because a group of connected clients counts as one exposure when counting top 10 (no matter how many institutions there are in this group) b) As 2 (of 10) exposures to institutions - because there are two institutions in the group of connected clients with a parent institution.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1366
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 13/03/2015

Maturity-based calculation of general risk

Are the FX Forward, FX Swap and CIRS to be taken into consideration when computing the General Risk using the maturity-based method?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2014_1356
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 24/10/2014