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ESG P3- Template 7 - Adapted activities and enabling activities in Climate Change Adaptation (CCA)
When filling the Template 7, should adapted activities and enabling activities be considered as mutually exclusive?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
ID: 2023_6776 |
Topic: Transparency and Pillar 3 |
Date of submission: 11/04/2023 |
Date of publication: 22/09/2023
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C43.00 (LR4) – Reporting of RWA for positions in CIUs
What value for RWA shall institutions report for positions in CIU considering that the look-through approach shall not be used for Leverage Ratio purposes?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2023_6692 |
Topic: Supervisory reporting - Leverage ratio |
Date of submission: 13/01/2023 |
Date of publication: 22/09/2023
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Permission to reduce own funds or eligible liabilities and deduction rules in the context of a liability management exercise (exchange offer, tender offer or issuance of a replacement instrument concurrent with a tender offer on the existing instrument)
Should deductions from own funds and eligible liabilities with regards to a permission to reduce own funds or eligible liabilities in accordance with Article 77 of Regulation (EU) No 575/2013 (CRR) in the context of a liability management exercise (exchange offer, tender offer or issuance of a replacement instrument concurrent with a tender offer on the existing instrument), rather than upon the exercise of a call option, be made right after the permission from the competent authority / resolution authority is granted or could it be later at the time of the institution’s public announcement of the liability management exercise in accordance with Article 28(2) of the RTS on Own Funds? In that context, how should the concept of ‘sufficient certainty’ of Article 28(2) RTS be applied?
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: 2023_6791 |
Topic: Own funds |
Date of submission: 03/05/2023 |
Date of publication: 15/09/2023
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IFR reporting
What would be an example of how firms should read Article 20(1) IFR for reporting purposes in template I 06.07 and I 06.08 of annex I to Regulation (EU) 2021/2284?
Legal act: Regulation (EU) No 2019/2033 (IFR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/2284 - ITS on Reporting
ID: 2022_6384 |
Topic: Supervisory Reporting (IFR) |
Date of submission: 22/02/2022 |
Date of publication: 25/08/2023
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v6341_m: Assets and liabilities at FV excluded because of partial impact on CET1 - Hedge accounting
Is validation rule v6341_m correct?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2022_6446 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 10/05/2022 |
Date of publication: 25/08/2023
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ESG P3 - Templates 6, 7 and 8 - Scope of application as of 31.12.2023 and institutions’ exemption from EU taxonomy reporting until mandatory CSRD reporting as of 31.12.2024
Is the institution obliged to disclose Pillar III ESG templates 6, 7 and 8 as of 31.12.2023 despite its current exemption from EU taxonomy reporting until mandatory CSRD reporting as of 31.12.2024?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
ID: 2023_6695 |
Topic: Transparency and Pillar 3 |
Date of submission: 17/01/2023 |
Date of publication: 25/08/2023
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ESG P3 - Reg 2453/22 - Scope of application
What is the scope of application of Regulation (EU) 2022/2453?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
ID: 2023_6708 |
Topic: Transparency and Pillar 3 |
Date of submission: 30/01/2023 |
Date of publication: 25/08/2023
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ESG P3 - Template 7 Decision tree KPI GAR for Households
In which row/group of rows from template 7 should be disclosed Households not included in the of which populated on the template (loans collateralised by residential immovable property, building renovation loans, motor vehicle loans)?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
ID: 2023_6780 |
Topic: Transparency and Pillar 3 |
Date of submission: 17/04/2023 |
Date of publication: 25/08/2023
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The risk-weighted exposure amount of the CIU’s exposures in mandate based approach
Could the institution use the information from the CIU management company about the notional amount of derivative positions of CIU to assess the value of those derivatives in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR?
In particular, is the institution allowed to use the information from the CIU management company, that CIU doesn’t have derivatives in their portfolio and assess the value of those derivatives as zero in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2022_6670 |
Topic: Credit risk |
Date of submission: 22/12/2022 |
Date of publication: 04/08/2023
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Reporting of deposits subject to a notice period for C 69.00 and C 70.00 purpose
Following Q&A Q&A 4574 (C 70.00) and Q&A 5794, some clarifications are needed concerning the amount to be reported in the C 69.00 for a deposit subject to a notice period. In our proposed answer, we use the terms of the Q&As and we specify the amounts we assume are expected for the 2 reports C 69.00 and C 70.00. Please, could you confirm if our interpretations are correct.
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2022_6663 |
Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) |
Date of submission: 15/12/2022 |
Date of publication: 28/07/2023
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Calculation of the amount reported for guarantees received on report F09.02
Should the amount of financial guarantees reported in F 09.02 be calculated considering (other) collateral?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2023_6773 |
Topic: Supervisory reporting - FINREP (incl. FB&NPE) |
Date of submission: 07/04/2023 |
Date of publication: 30/06/2023
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Pillar 3 disclosures prepared from FINREP reporting
In which column in the table EU CR1 should be included purchased or originated credit-impaired financial assets?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR
ID: 2022_6579 |
Topic: Transparency and Pillar 3 |
Date of submission: 15/09/2022 |
Date of publication: 30/06/2023
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MREL – reporting of the impact of general prior permissions
Reporting entities should deduct the pre-determined amount of a general prior permission for eligible liabilities instruments from the amount of their eligible liabilities from the moment the authorisation is granted. Against this background, how should this deduction obligation be reflected by the reporting entities in the reporting templates to be submitted in accordance with Regulation (EU) 2021/763?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
ID: 2022_6576 |
Topic: BRRD Reporting |
Date of submission: 07/09/2022 |
Date of publication: 30/06/2023
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Disclosure of Template CR2 where NPE threshold of =>5% has not been breached
As per the mapping tool provided by the EBA, the Pillar 3 Disclosure Templates - 'CR2' is mapped to FinRep Template 24.1. This particular FinRep template is only reportable where the ratio of gross carrying amount of non-performing loans and advances divided by the total gross carrying amount of loans and advances subject to the definition of non-performing according to Article 47a of the CRR is equal to or higher than 5%. One therefore would assume that the 'CR2' Pillar 3 Disclosure template is not required unless the threshold is breached. However, Article 9 within the Pillar 3 ITS appears to imply that that 'CR2' is required regardless of the threshold by large institutions, as called out specifically as part of Point 1(e) of Article 9, This is also apparent in Point 3 of Article 9, where 'CR2' is not mentioned within the paragraph concerned as being a template that is determined for disclosure depending on the threshold. Can the EBA confirm the position on the same, given the requirement from the reporting perspective.
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR
ID: 2022_6524 |
Topic: Transparency and Pillar 3 |
Date of submission: 22/07/2022 |
Date of publication: 30/06/2023
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Consideration of STS in synthetic securitisations
When a synthetic securitisation fulfills STS criteria (Article 243(2) CRR), are all its tranches considered STS in the RWEA calculation and in COREP reporting, or only the senior tranche?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2022_6499 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 28/06/2022 |
Date of publication: 30/06/2023
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Reporting of certain COREP templates by entities with deviating accounting year end
Can the reference dates for reporting COREP templates C 08.03 to C 08.07, C 34.07 and C 34.11 be adjusted for an accounting year-end which deviates from the calendar year, considering that they reflect disclosure obligations subject to Article 433 CRR?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2022_6444 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 10/05/2022 |
Date of publication: 30/06/2023
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C 14.00 - Column 0222: % of retail exposures in IRB pools
Is Column 0222 in C 14.00 (% of retail exposures in IRB pools) supposed to be reported for all securitisation positions?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
ID: 2021_6324 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 22/12/2021 |
Date of publication: 30/06/2023
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Correlation parameter for Intra-bucket correlations for credit spread risk for non-securitisations
In the first subparagraph of Article 325m of Regulation (EU) No 575/2013 (CRR) it is stated that institutions apply a risk factor per issuer and per maturity, irrespective of whether these credit spread rates of the issuer derive from debt instruments or credit default swaps. However, the correlation factor linked to the basis risk is present in article 325ai of (CRR). Must this value always be equal to 1 since there is no longer a division between the two types of curve as regards risk factors or does this basis risk refer to another type of risk? In this second case to which?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2023_6746 |
Topic: Market risk |
Date of submission: 12/03/2023 |
Date of publication: 16/06/2023
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Estimation of a conversion factor for binding mortgage offers under the IRB Approach
Is the own estimation of conversion factors for undrawn credit lines considered relevant for binding mortgage offers, with a maturity of less than one year?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2022_6602 |
Topic: Model validation |
Date of submission: 07/10/2022 |
Date of publication: 09/06/2023
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Defining the risk factor for third-country investment firms in K-TCD calculation
Should the third-country investment firms be classified as investment firms or other counterparties for the purposes of defining the risk factor per counterparty type pursuant to Article 26 IFR?
Legal act: Regulation (EU) No 2019/2033 (IFR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2022_6450 |
Topic: K-factor requirements |
Date of submission: 16/05/2022 |
Date of publication: 09/06/2023
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