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Classification of spread components of floating-rate instruments for contractual repricing reports

How should institutions classify the fixed spread component of a floating-rate instrument when reporting IRRBB repricing cash flows? Article 7 of Commission Implementing Regulation (EU) 2024/857 requires institutions to allocate the spread components of floating-rate instruments "up to the final contractual maturity, irrespective of any repricing of the non-amortised principal". However, Annex V, Section 3, states that the distinction between fixed-rate and floating-rate instruments is to be applied at instrument level. Under this definition, an instrument whose interest payments are contractually linked to an external benchmark is classified as a floating-rate instrument. In practice, two alternative interpretations have emerged: Cash-flow level interpretation: the fixed spread component of a floating-rate instrument is treated as a fixed-rate cash flow extending until contractual maturity and therefore reported within the fixed-rate section of the repricing templates. Instrument level interpretation: the spread component remains associated with the floating-rate instrument and is therefore reported within the floating-rate section, even though Article 7(c) requires the spread cash flows to be allocated up to final maturity. Should institutions report the spread components of floating-rate instruments in the fixed-rate section because they are allocated until final contractual maturity under Article 7(c), or should they remain in the floating-rate section because the fixed/floating classification applies at instrument level according to Annex V?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

Risk weights assignment to IPRE exposures secured by many properties

Articles 125 and 126 paragraph 2 Regulation (EU) No 575/2013 (CRR) specify the rules for risk weights assignment to IPRE exposures, respectively secured by residential and commercial properties. However, these regulations don’t clarify how risk weights should be assigned to IPRE exposure when it’s secured by both residential and commercial property – especially when one property is IPRE (income producing property) and the second one is non-IPRE (the residential property, let’s assume that this is the flat of a counterparty). 

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Clarification of ETV calculation for mortgages securing more than one exposure

Article 124 paragraph 6 Regulation (EU) No 575/2013 (CRR) specifies the calculation of ETV for IPRE exposures. In order to calculate ETV, the gross value of an exposure should be divided by the value of property. Additionally, this article clarifies that: “For the purposes of the first subparagraph, point (a), where an institution has more than one exposure secured by the same immovable property and those exposures are secured by liens on that immovable property that are sequential in ranking order without any lien held by a third party ranking in-between, the exposures shall be treated as a single combined exposure and the gross exposure amounts for the individual exposures shall be summed up to calculate the gross exposure amount for the single combined exposure.” Our question refers to calculation ETV for joint mortgages – so the mortgage which secures more than one exposures and additionally these exposures may have other mortgages assigned. Based on the above, it’s clear that numerator should include the gross value of all exposures secured by this joint mortgage. Nevertheless, it’s unclear which value should be used in the denominator of ETV in the real life example described below.

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of "main business" under CRR

How are banks to interpret the concept of "main business" in Article 411(1) of Regulation (EU) No 575/2013 (CRR), read in conjunction with Annex I of Directive 2013/36/EU and Article 3(9) of Commission Delegated Regulation (EU) 2015/61? In particular: can an entity be considered to perform Annex I CRD activities as its "main business" within the meaning of Article 411(1) CRR if: there is an absence of any third-party commercial activity i.e. entity does not offer financial services to any external party for commercial consideration nature of the entity’s operations is ancillary to the group and it exists solely as an instrument of the group's non-financial operations with no independent commercial purpose

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

Reporting obligations under Article 3 of the CIR

Whether, and to what extent, will the reporting obligations concerning Relevant Legal Entities (RLEs) under Article 3 of the CIR also apply where a recently acquired RLE is expected, with a high degree of certainty, to cease to exist as a legal entity prior to the adoption of the resolution plan as a result of a legal merger. Additionally, how should this acquired entity be treated for the purposes of resolution planning and related reporting obligations during the interim period between its acquisition and its absorption through merger? We wonder if resolution authorities (RAs) may waive the reporting obligations for this acquired entity for the first reporting cycle after acquisition. Against this background, does the framework require or allow a reclassification of the acquired entity (which used to be a Liquidation entity before acquisition with no reporting obligations) as an RLE immediately upon acquisition, implying inclusion in the group’s resolution plan and submission of the applicable reporting templates? Alternatively, may the acquired entity continue to be treated as a liquidation entity until the legal merger is completed, with its status and standalone reporting obligations remaining unchanged during the interim period? Clarification is sought on whether, in the context of M&A transactions, resolution authorities are expected to adjust the entity’s classification upon acquisition, or whether they may maintain the pre-acquisition status until legal integration is finalised.

Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2025/2303 - ITS on Resolution Planning Reporting

Template F 13.2.1.c VariableID 433471 and 433464

Following the most recent update to the FINREP validation framework under Reporting Framework 4.2., a new data point categorization has been introduced affecting template F 13.2.1.c, specifically Variable IDs 433471 and 433464. We would appreciate confirmation as to whether this data point categorization has been correctly defined and, if so, clarification on the prudential reporting rationale underlying it. Our concern is that the validation may not be conceptually appropriate in all cases, as not all additions of foreclosed assets necessarily qualify as non-current assets held for sale.

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 (repealed)

Exemption from deduction of Equity Holdings in an insurance company from CET1

Institution “A” currently applies the exemption provided under Article 471 CRR, whereby it does not deduct from its own funds a qualifying shareholding held in Insurance Undertaking “C” for an amount not exceeding the amount held in CET1 instruments issued by that Insurance Undertaking as of December 31, 2012 . Following the completion of a merger by absorption between Institution “A” and Institution “B” – as a result of which Institution “B”, as surviving entity, becomes the direct holder of the shareholding in Insurance Undertaking “C” by virtue of universal succession – is Institution “B” entitled to continue to apply the exemption under Article 471 CRR, as previously applied by Institution “A” in respect of such shareholding? Upon completion of the merger mentioned in question 1 above, would Institution “B” be entitled to apply the exemption under Article 471 CRR on a consolidated basis in case its direct shareholding in Insurance Undertaking “C” is transferred (as a result of a partial de-merger) to its wholly owned subsidiary Institution “D”, given that the shareholding in Insurance Undertaking “C” would in any event be held within the consolidation perimeter of Institution “B”? 

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Requirement for a consolidated ICARA process under Directive (EU) 2019/2034

Does Directive (EU) 2019/2034 require investment firms that are subject to prudential consolidation under Article 7 IFR to prepare, maintain and document an ICARA process on a consolidated basis? In particular, does Article 25(4) IFD impose an obligation to perform the ICARA at consolidated level, or does it merely extend the application of Part Three without creating a standalone consolidated‑ICARA requirement?

Legal act: Directive (EU) 2019/2034 (IFD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Application and interpretation of the 50% / 80% weighting of positive changes under IRRBB SOT

How should Article 4(l) of the RTS on Supervisory Outlier Tests be interpreted in relation to the weighting of positive changes, in particular regarding: Whether the 80% weighting factor and associated cap should apply to EUR, given that EUR is not an ERM II currency. Whether the reference to “absolute value of negative changes in EUR or ERM II currencies” when calculating the cap should be interpreted as a sum of negative changes across all currencies or as a minimum reference between EUR and ERM II currency buckets. Whether the weighting of positive changes should be applied at the individual risk level or at an aggregated level?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Incoherent formulae of the validation rule v90317_m

The control formula currently in place for column 0070 / row 0340 of template C16.02 does not seem aligned with your definition of this indicator. Could you clarify the expected logic?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions

Incoherent formulae of the validation rule v90316_m

The control formula currently in place for column 0070 / row 0310 of template C16.02 does not seem aligned with your definition of this indicator. Could you clarify the expected logic?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions

Incoherent formulae of the validation rule v90315_m

The control formula currently in place for column 0070 / row 0260 of template C16.02 does not seem aligned with your definition of this indicator. Could you clarify the expected logic?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions

Sectoral classification of UK credit institutions

In the context of FINREP reporting, institutions are required to apply counterparty sector classifications as laid down in Annex V to Regulation (EU) No 680/2014. Following the withdrawal of the United Kingdom from the European Union, banks established in the UK are considered third‑country institutions and are no longer subject to the CRR/CRD framework. This has raised interpretative questions regarding their appropriate sectoral classification as counterparties in FINREP, in particular when ensuring consistency across EU supervisory reporting frameworks.    

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions

PILLAR 3 - form EU CMS2 mapping for row EU 7d: Categorised as subordinated debt exposures in SA

According to official mapping for row EU 7d: Categorised as subordinated debt exposures in SA, column "d" and "EU d" include form c07-qx2062 that refers to CRE IPRE OTHER. Is intention to see CRE IPRE OTHER , or maping should be changed and include subordinated debt exposures?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/14 - Guidelines on materiality, proprietary, confidentiality and disclosure frequency under Pillar 3

PILLAR 3 - form EU CMS2 mapping for columns d and EU d

According to mapping, column “d” and “EU d” refers to c07 and c10. Some of cells in column “d” and “EU d” refers only to c10. Please, could you explain the reason to exclude c07 from some cells in column “d” and “EU d”?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/14 - Guidelines on materiality, proprietary, confidentiality and disclosure frequency under Pillar 3

Proportional application of K-ASA under Article 19 IFR in non-discretionary custody models linked to the operation of an MTF

Under Article 19 of Regulation (EU) 2019/2033, is there any scope for a more proportionate or risk-sensitive application of K-ASA where an investment firm: operates an MTF as its core activity; safeguards assets strictly on behalf of clients as direct participant in a CSD; does not exercise discretion over those assets; does not assume balance-sheet risk in relation to them; is prohibited from trading on own account or lending client securities; does not exercise voting rights, represent clients at meetings, or administer decisions regarding the underlying instruments; and has demonstrably reduced operational risk through technological investment and streamlined post-trade processes? More specifically: can competent authorities take into account the specific characteristics of such a business model when assessing the prudential effect of K-ASA, or is the calculation strictly volume-based in all cases regardless of the underlying risk profile; and is there any scope to differentiate K-ASA treatment depending on the type of instruments safeguarded, in particular between equity and debt instruments, or depending on whether the custody client is itself a regulated financial institution such as an investment firm or a bank?

Legal act: Regulation (EU) No 2019/2033 (IFR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Scope of the exemption under Article 7(7) with respect to Level 1 assets referred to in Article 10(1)(c)

Do the requirements laid down in Articles 7(5) and 7(6) of Delegated Regulation (EU) 2015/61 apply to assets referred to in Article 10(1)(c)?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

Own funds requirement for entities authorized as Crypto Asset Service Provider (CASP), Electronic Money Institution (EMI) and Investment Firm (IF)

How should own funds requirements be determined for a legal entity authorised as a crypto-asset service provider (CASP) under Regulation (EU) 2023/1114 (MiCAR), as an electronic money institution (EMI) under Directive 2009/110/EC, and as an investment firm under Regulation (EU) 2019/2033 (IFR) and Directive (EU) 2019/2034 (IFD), in particular where certain crypto asset services – such as the transfer of crypto assets on behalf of clients – require a specific CASP authorization rather than a notification regime, and given the absence of explicit provisions governing the interaction between the two prudential frameworks?

Legal act: Regulation (EU) No 2023/1114 (MiCAR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Shadow Banking Definition - Alternative Investment Funds

Where an entity qualifies as an alternative investment fund (“AIF”) for the purposes of Directive 2011/61/EU, but its constitutive documents do not explicitly prohibit loan origination or the purchase of third‑party lending exposures, should that entity be regarded as meeting the criterion in Article 1(c)(iii) of the relevant Delegated Regulation 2023/2779 (Identification of Shadow Banking) solely on the basis of what it is permitted to do, notwithstanding that it does not in practice carry out banking activities, as referred to in Article 394(2) CRR? In particular, should the assessment of whether an AIF falls within the definition of a shadow banking entity be determined by: the theoretical scope of permitted activities under its rules or instruments of incorporation, or the actual activities carried out by the AIF in the ordinary course of its business?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions

Identical cell F_13.02.1 Collateral obtained during the period

Could you pls de-activate the 'identical cells' below in DPM 4.2.1? VariableVID = 5459395 ---> {F_13.02.1.a, r0020, c0010}=={F_13.02.1.c, r0080, c0040} ----> 120783==366904 VariableVID = 5460187 ---> {F_13.02.1.a, r0020, c0020}=={F_13.02.1.c, r0080, c0050} ----> 120791==366905    

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

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