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Taxonomy 3.0 Validation Rule v3900_s
Our query refers to the EBA v3900_s validation rule of template F 02.00, which despite being non-blocking, we have to justify the module as there are negative amounts. We understand that there may be situations in which the reversal of expenses or income for interests or commissions of the current exercise exceed the expenses or income of the same period. In this situation a negative quantity should be allowed to be reported.
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_6445 |
Topic: Supervisory reporting - FINREP (incl. FB&NPE) |
Date of submission: 10/05/2022 |
Date of rejection: 31/10/2022 |
Date of publication: 31/03/2023
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Treatment of covered deposits when determining the contribution base of Investment Firms
Can the liabilities that arise by virtue of holding clients' money with investment firms, and that are then deposited by investment firms with a credit institution, be considered as deposits that are deducted from the Contribution Base when determining the ex-ante contribution of those investment firms to a resolution financing arrangement?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
ID: 2017_3579 |
Topic: Resolution financing arrangements |
Date of submission: 01/11/2017 |
Date of rejection: 11/02/2022 |
Date of publication: 18/03/2022
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Contributions to the financing arrangements from ceased banks
Do institutions that cease to exist or to be supervised in a given year prior to the determination or raising of the annual contributions still have to contribute to the financing arrangements?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
ID: 2016_2872 |
Topic: Resolution financing arrangements |
Date of submission: 16/08/2016 |
Date of rejection: 11/02/2022 |
Date of publication: 18/03/2022
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Definition of "total liabilities"
Does the reference to ‘total liabilities’ in Article 3(11) of Commission Delegated Regulation (EU) 2015/63 mean liabilities and capital, or only liabilities?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
ID: 2016_2869 |
Topic: Resolution financing arrangements |
Date of submission: 12/08/2016 |
Date of rejection: 11/02/2022 |
Date of publication: 18/03/2022
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Clarification on EBA Final Q&A 2015_2469 / Exemption from bail-in of liabilities to institutions in order to avoid risk of systemic contagion
The answer to Q&A 2015_2469 clarifies that the exception to bail-in in Article 44(2)(e) of Directive 2014/59/EU (BRRD) captures inter-bank unsecured liabilities with an original maturity of less than seven days. Does this exception apply to all inter-institutional unsecured liabilities with an original maturity of less than seven days? In other words, does this exception also capture the liabilities of investment firms that are defined as institutions in Article 2(1)(23) BRRD, alongside the liabilities of other banks or credit institutions?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2814 |
Topic: Write-down and conversion of capital instruments |
Date of submission: 04/07/2016 |
Date of rejection: 11/02/2022 |
Date of publication: 18/03/2022
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Share buyback program: amount of upfront deduction
Does the upfront deduction under Article 28(2) of Commission Delegated Regulation (EU) No 241/2014 as specified by Q&A 3277 include in addition to CET1 instruments and related share premium accounts also the other CET1 items that are reduced by a share buyback program authorized pursuant to Article 78(1)(b) CRR?
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_6886 |
Topic: Own funds |
Date of submission: 14/09/2023 |
Date of publication: 10/11/2023
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Application of the behavioural assumption of a 5-year cap for non-maturity deposits
Regarding paragraph 111 of the Guidelines on Interest Rate Risk in the Banking Book (EBA/GL/2022/14), and in relation to Article 98(5a) of the CRD, could you please confirm that the behavioural assumption of a 5-year cap on the average repricing of non-maturing deposits should not be understood as a modelling requirement neither for the Supervisory Outlier Tests (SOT) nor for the ongoing management of interest rate risk but as an alternative and additional measure of interest rate risk that complements the existing IRBB management framework?
Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities
ID: 2023_6807 |
Topic: Interest Rate Risk for Banking Book (IRRBB) |
Date of submission: 22/05/2023 |
Date of publication: 03/11/2023
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Calculation of average dividend pay-out ratio under Article 2(7)(a) of Regulation (EU) No 241/2014
How is the average pay-out ratio calculated according to Article 2(7)(a) of Regulation (EU) No 241/2014?
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_6885 |
Topic: Own funds |
Date of submission: 14/09/2023 |
Date of publication: 27/10/2023
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Prudent Valuation: Reporting of AVAs in C 32.03
How should the AVAs of model risk be reported in the template C 32.03. Can the Fair Value Adjustments linked to Model Risk, Model Risk UCS y Model Risk I&FC AVAs be included into the C 32.03?
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_6817 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 02/06/2023 |
Date of publication: 13/10/2023
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Central bank eligibility of cash
Should cash be reported as central bank eligible in F 32.01 (AE-ASS) if a bank can borrow securities against cash from the central bank?
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_6749 |
Topic: Supervisory reporting - Asset Encumbrance |
Date of submission: 14/03/2023 |
Date of publication: 13/10/2023
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ESG P3 - Template 2 and 5 - Gross carrying amount for loans collateralized by RRE/CRE and multiple collaterals
Question 1: For loans collateralised by CRE and/or RRE, to be reported in template 2 & 5, does the regulation allow to have their gross carrying amount not matching the gross carrying amount of the same loans reported in FINREP?
Question 2: Does Q&A 6517 apply for both template 2 and 5 or only for template 5?
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_6714 |
Topic: Transparency and Pillar 3 |
Date of submission: 09/02/2023 |
Date of publication: 13/10/2023
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COREP v3.2 – C 33.00
Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the direction of the 2nd parenthesis for the period intervals of rows 0170 to 0230, which generates a 'double counting', example below:
r0170 [0 – 3M]
r0180 [3M – 1Y]
r0190 [1Y – 2Y]
r0200 [2Y – 3Y]
r0210 [3Y – 5Y]
r0220 [5Y – 10Y]
r0230 [10Y – more]
The periods 3M, 1Y, 2Y, 3Y, 5Y and 10Y would be declared on 2 rows each time.
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_6704 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 30/01/2023 |
Date of publication: 13/10/2023
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Deferred Tax Liabilities (DTL) that are non-deductible from Deferred tax assets (DTA) as per accounting rule
Where do we book the temporary Deferred Tax Liabilities(DTL) differences that are non deductible from Deferred tax assets (DTA) as per accounting rule?
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_6643 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 01/12/2022 |
Date of publication: 13/10/2023
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Securitised derecognised assets
Template C 14.00 (SEC DETAILS), column 0210, requires reporting of information on securitised exposures including associated provisions.
The memorandum item on the standardised calculation in C 14.01 (SEC DETAILS APPROACH), column 0448 also requires provisions on underlying asset as an input.
What provisions should be used when the securitised exposures are also derecognised by the reporting entity from an accounting perspective?
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_6548 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 05/08/2022 |
Date of publication: 13/10/2023
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Calculation of RWA for assets that are deducted from own funds
As a follow-up question to Q&A 6106, what would be the appropriate risk weight to be used for the purposes of col 0030 'RWEAs: SA exposures' in the case of assets that are deducted from own funds?
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: 2022_6477 |
Topic: Supervisory reporting - Leverage ratio |
Date of submission: 07/06/2022 |
Date of publication: 13/10/2023
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Transfers to PPE
We have a collateral obtained some years back that was classified as Commercial Immovable property. In the current year the Group decided to transfer this property to PPE and use it for its own branches.
In table 25.1 the below rows exist. Where can we put the transfer (therefore outflow) mentioned above?
Outflow for which cash was collected
Outflow with replacement by financial instrument
Outflow due to negative changes in value
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_6823 |
Topic: Supervisory reporting - FINREP (incl. FB&NPE) |
Date of submission: 07/06/2023 |
Date of publication: 06/10/2023
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Bucket definition (PD range) in the ITS on supervisory reporting
Does Q&A 6718 also modify the definition of the row 'PD Range'?
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_6803 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 12/05/2023 |
Date of publication: 06/10/2023
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Should collateral received via securities financing transaction that is subsequently sold short be reported as encumbered in F32.02? Follow-up question on 2014_946 related to short positions in Asset Encumbrance
As clarified in Q&A 946 “Selling collateral received (short sale) does not give rise to encumbrance”. Two scenarios are addressed under this Q&A and further clarity is sought on scenario one and the reporting of collateral received in template F 32.02 where such collateral is subsequently sold short. Is it the intended view that within F 32.02 where an institution receives collateral, against cash, and then uses that collateral received to cover a short position, that the received collateral should be reported as unencumbered in F 32.02, column 040? If so, can you please provide supporting rationale that selling collateral received (short sale) does not give rise to encumbrance given that once the collateral is sold short, it is not available for re-use by the institution?
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_6800 |
Topic: Supervisory reporting - Asset Encumbrance |
Date of submission: 11/05/2023 |
Date of publication: 06/10/2023
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Clarification of scope of population for Corporate Bonds
In accordance with the instructions for row 0060 of template C 34.08 in Annex II of Commission Implementing Regulation (EU) 2021/451, there is no specific definition of what the scope of corporate bonds should include.
Could you, therefore, please confirm if this should include all bonds issued by Institutions and Corporate entities and if it would also include securitisation bonds issued by these entities as well or not or, alternatively, would only non-securitisation instruments issued by entities which would qualify for the corporates credit risk exposure class under Article 112(g) of the CRR be included? We would also request clarification on securitisation bonds, whether those issued by government agencies e.g., Fannie Mae should be reported in row 0050.
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_6755 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 21/03/2023 |
Date of publication: 06/10/2023
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COREP Large exposure, validation rule v_1678 related to POCI assets
In case of purchased or originated credit-impaired financial assets (POCI), it is possible that the value for positive 'value adjustments and provisions' exceeds the 'value of total original exposure' can be reported in COREP Large reports.
However, DPM validation rule v_1678_m does not allow reporting of such cases.
Since it is possible to have positive impairments that exceed the total original exposure for the POCI assets, could the validation rule or its severity be modified in this respect?
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_6721 |
Topic: Supervisory reporting - Large Exposures |
Date of submission: 20/02/2023 |
Date of publication: 06/10/2023
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