Application of the NPL ratio

Should the calculation of the NPL ratio, as set out in Article 11, paragraph 2 (g)(ii) of the Regulation (EU) 2021/451 only be applicable for the purposes of additional disclosure requirements under Guidelines on disclosure of non-performing and forborne exposures (EBA/GL/2018/10) and additional reporting requirements of NPLs under FINREP, and not for the management of NPLs according to the EBA Guidelines on management of non-performing and forborne exposures (EBA/GL/2018/06)?

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

Reporting of (Internet) Savings deposit in template F08.01

In which row do we need to report (Internet) Savings deposits with Households in template F 08.01 ‘Breakdown of financial liabilities by product and by counterparty sector’? Either as being ‘Current accounts/overnights deposits’ row 0320 or as ‘Deposits redeemable at notice’ row 0340?

Validation Rule EBA_v10013 breaching

Validation rule v_10013 fails due to the positive sign of the amount of automatic exchange rate differences classified in column 0070, row 0060. (‘Outflow due to negative changes in value - Other adjustment (-) - Automatic exchange difference (-)’) With regard to column 0070, there seems to be no other rows available in order to classify the automatic exchange rate differences (either positive or negative). How can we overcome the rule breaching?

Clarification of the definition for "residence"

In the template FIN 20.4, we need to restitute engagement under a geographical breakdown by residence of a counterparty. Immediate counterparty is clearly defined in the annex 5 but the definition of residence is not detailled. Could you give us a more detailed definition for the residence to use for the production of data into this template?

ESG P3 - Template 1- Attribution factor for financed emissions

In Template 1 of the final ITS, Commission Implementing Regulation (EU) 2022/2453 the GHG financed emissions should be reported in colimn i. With reference to the Annex 2 of the Regulation, institutions should  "taking into account their exposures [...] compared to total liabilities (accounting liabilities and shareholdes' equity)". This expression refers to an attributions factor that is similarly used in the GHG/PCAF-standard (EVIC, i.e. debt and equity). According to the expression, the attribution factor only applies for the "scope 3 emissions per sector" and is not explicitely named in column j for the "Of which Scope 3 financed emissions". Does the CRR-449a-attribution factor in column i and j apply for scope 1/2/3 of the counterparty? Does the attribution factor deviate from the GHG/PCAF-standard?

Template 34.02 - Exposure value post-CRM

When Institutions calculate the exposure value post-CRM in accordance with the Standardised approach for counterparty credit risk, should it consider Article 274(3) of CRR?  In other words: if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, should institutions insert the first or the second value into the template? 

C 34.08 - Collaterals with haircuts

Should the fair value of collaterals (posted or received) used in CCR exposures related to derivative transactions, SFTs and long settlement transactions be reported in template C 34.08 after the haircut (volatility, FX) was applied or without considering the haircut?

Application of requirements for NPE prudential backstop in connection with the new COREP templates

The application of the requirements of Articles 47a, 47b and 47c of the CRR is connected with a new COREP reporting requirement for NPE loss coverage envisaged in templates C 35.01, C35.02 and C 35.03. When filling the new COREP reporting templates a several issues have appeared, that are divided into following questions: 1. Do restrictions for specific credit adjustments, which have been recognized during the financial year, apply even for calculation of NPL prudential backstop although RTS on the calculation of credit risk adjustments (RTS 183/2014) that stem from Article 110(4) of the CRR do not include Articles 47a, 47b and 47c of the CRR? 2. Does NPL definition in Article 47a of the CRR (namely requirement for calculating past due days for requirements in Articles 47a(3)(c) and second sub-paragraph, 47a(4)(c), 47a(6)(c) and second sub-paragraph, 47(7)(c)) and forbearance measures definition in Article 47b of the CRR (namely requirement for calculation of past due days for requirements in Article 47b(3)) takes into account material threshold for the assessment of materiality of a credit obligation past due as referred to in Article 178(1)(b) and the RTS 2018/171 or the past due days calculation takes into account any past due exposure of the borrower regardless of the amount?