List of Q&As

COREP C06.02 - Consistency of EGDQ_0411c

Should the control EGDQ_0411c be applied for Branches and for entities consolidated by Equity Method?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5601| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 04/11/2020

C 101.00 Definition of Low Default Portfolio counterparties

Following the Final Report on ITS Amending the Benchmarking Regulation as of 05 March 2020, regarding the Definition of Supervisory Benchmarking portfolios, on Annex 1 - C 101.00 Definition of Low Default Portfolio counterparties, we found duplicated lines for the counterparty code “LC_0000992“. For LC_0000992_CC_AIRB and LC_0000992_CT_STDA the duplicated lines are completely identical. For the remaining ones there are differences in fields “Legal entity identifier (LEI) – column 0020 “ and “Name – column 0070”. Could you please confirm if it is an error and, if so, it will be fixed for 2021 exercise?

Legal act: Directive 2013/36/EU as amended by Directive (EU) 2019/878 (CRD5)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2021_5678| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 08/01/2021

C 103.00 Definition of High Default Portfolios

Following the Final Report on ITS Amending the Benchmarking Regulation as of 05 March 2020, regarding the Credit Risk IRB Templates, on Annex 1 - C 103.00 Definition of High Default Portfolios, we did not find found the portfolio “CORP_ALL_0091_CT_AIRB_x0_Rx0_ALL”, which was considered in the previous templates of 2020 exercise. Could you please confirm this change for the 2021 exercise?

Legal act: Directive 2013/36/EU as amended by Directive (EU) 2019/878 (CRD5)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2020_5667| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 18/12/2020

Date of template C108.00

In DPM 2.10 the dates of C 108.00 column 0010 are “a minimum of 250 observations starting from 31 January 2020 and going backward” like DPM 2.9.1.1. Is the date of 31 January 2020 correct or should it be 31 January 2021?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on specific reporting requirements for market risk under Article 433b of Regulation (EU) No 575/2013 (CRR)

ID: 2020_5584| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 27/10/2020

A standing order as a transaction

May an National Competent Authority (NCA) deny a fallback exemption to an Account Servicing Payment Service Provider (ASPSP) if such ASPSP complies with the mandatory scope of Article 36.1 Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication, yet has not implemented local further guidance with respect to additional data attributes to be delivered beyond the mandatory scope of Article 36.1 RTS?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2021_5694| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 22/01/2021

AISPs and PISPs’ access to PSU name and the name of the account owner via the ASPSP’s dedicated interface.

Shall the account servicing payment service provider (“ASPSP”), through its dedicated interface, provide account information service providers (“AISPs”) and payment initiation services providers (“PISPs”) with both the PSU name and the name of the account owner?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2021_5682| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 10/01/2021

Validation Rule V8276_S

Were this validation rule V8276_S correctly implemented in taxonomy 2.8?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5625| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 17/11/2020

Population of certain cell ranges, Annex I, Corep template 91 "OWN FUNDS REQUIREMENTS - MKT ASA SUM"

Clarity is needed around how to report the values on certain template ranges of Corep template 91 "OWN FUNDS REQUIREMENTS - MKT ASA SUM". The question splits in two sub-questions. Sub-Question 1: Cells Row 0010, Cell Columns 0010, 0020, 0030. It is required to fill these cells with: 1. The sum of positive unweighted delta sensitivities across all risk classes 2. The sum of negative unweighted delta sensitivities across all risk classes 3. The sum of total unweighted delta sensitivities across all risk classes However, it is not clear what the meaning of such figure is. For example, it is not meaningful to sum together for example GIRR sensitivities (which is the change in value under a 1 bp shift of interest rate risk factors) with FX delta sensitivities (which is the change in value under a 1% relative change of FX risk factors). What should we report in these cells? Sub-Question 2: Cells Row 0060, Cell Columns 0010, 0020, 0030. It is required to fill these cells with: 1. The sum of positive unweighted Equity Risk delta sensitivities 2. The sum of negative unweighted Equity Risk delta sensitivities 3. The sum of total unweighted Equity Risk delta sensitivities However Equity Risk delta sensitivities are composed of Equity Price Risk deltas (which is the change in value under a 1% relative change for EQ price risk factors) and Equity Repo Risk deltas (which is the change in value under a 1 bp shift of EQ repo risk factors), and hence it does not make sense to sum the two up. What should we report in these cells?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on specific reporting requirements for market risk under Article 433b of Regulation (EU) No 575/2013 (CRR)

ID: 2020_5623| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 16/11/2020

v5394 FINREP validation rule

The control v5394 compares figures between F07 and F04. Should the reference to line 040 of F01.01 be added to the references to the F04 templates?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5610| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 12/11/2020

v5392 FINREP validation rule

The control v5392 compares figures between F07 and F04. Should the reference to line 030 of F01.01 be added to the references to the F04 templates so as to include on demand receivables to central banks?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5607| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 10/11/2020

validation rule : V09528_M: (F 90.02, r0030, c0040) - (F 90.02, r0030, c0050) <= sum((F 19.00.a, c010, (r120, r196, r226)))

When uploading the FINREP template F19.00 – Information on forborne exposure in OneGate, the following validation errors linked to the COVID-19 report is triggered.: V09528_M: (F 90.02, r0030, c0040) - (F 90.02, r0030, c0050) <= sum((F 19.00.a, c010, (r120, r196, r226))) However, we are questioning this validation rule and want to request to overrule this check based on the below reasoning. Based on the EBA guidelines (EBA GL 2020 07 Annex 2 – Covid-19 reporting instructions.pdf) we reported: - Loans that asked for a payment suspension as a result of the impact of COVID19 and that fulfil all moratorium conditions of the Belgian moratorium guidance as ‘Loans and advances subject to EBA-compliant moratoria’ (F90.01) - All other loans that asked for a payment suspension as a result of the impact of COVID19 and that not fulfil all moratorium conditions of the Belgian moratorium guidance as ‘Other COVID-19-related forbearance measures’ (F90.02) In the Guidelines of template F90.02, it is mentioned that all types of forbearance measures should be considered provided that they are related to the COVID-19 crisis. Therefore and to be exhaustive, we opted to report all COVID-19 impacted loans. This means that table F90.02 contains those loans that are not EBA compliant but received a payment suspension. Some of these loans are classified as forborne, but definitely not all of them. According to our interpretation of the EBA GL, the validation rule between template F19.00 and F90.02 does not seem to be correctly positioned as template F19.00 only covers forborne exposures, while template F90.02 can contain also non-forborne exposures.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5611| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 12/11/2020

Validation K1_V8345_H

Validation checks c0050<=c0060. In the c0050 is reported SME loans, while in c0060 is reported of which Commercial Real Estate (CRE) loans. Please consider changing the type of validation from error to warning.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5608| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 11/11/2020

Intangible asset COREP C01 r350/FINREP F01 r320

Referring to Article 4(1)(115) and 36(1) point (b) of CRR and ITS on supervisory reporting Annex 2 (Solvency), C01 r 350 intangible asset, other intangible assets are the intangible assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. Accounting standard (based on IFRS) means that C01 r350 sould be same amount as F01 r320 as my understanding. But in Germany is there any other additional rule to calculating for C01 r350 ? and It would be possible if there is not same amount C01 r350 and F01 r320?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2020_5606| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 10/11/2020

COREP C40.00 L260/C120 - Exposures that meet conditions a), b) and c) of Article 429 (14) of the CRR – Taxonomy control v4446

Does COREP C40.00 L260/C120 should contain the exclusion listed in Art 500 b of Regulation (EU) 2013/575 as amended by Regulation (EU) 2020/873?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5605| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 10/11/2020

COREP C40.00 L260/C120 - Exposures that meet conditions a), b) and c) of Article 429 (14) of the CRR – Taxonomy control v4444

Does COREP C40.00 L260/C120 should contain the exclusion listed in Art 500 b of Regulation (EU) 2013/575 as amended by Regulation (EU) 2020/873?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5604| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 10/11/2020

EBA validation rules v7520_m-v7551_m, v8699_m-v8706_m and v8727_m-v8729_m

Are EBA validation rules v7520_m-v7551_m, v8699_m-v8706_m and v8727_m-v8729_m correct?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5603| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 06/11/2020

COREP C14.00 - Column 202 (EL%)

Please, can you validate the definition of the COREP c14.00 correlation v7366?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5602| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 06/11/2020

COREP C14.00 - Consistency of EGDQ_0367

Does the control EGDQ_0367 take into consideration the sponsor programs in which the originator retains the first loss tranche and the specific originator programs in which the sponsor retains the equity tranche?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5594| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 04/11/2020

COREP C14 - Consistency of EGDQ_0383

Should the control EGDQ_0383 be restricted to a range comprised between 1% and 100% and not to a reange comprised between 0% and 100%?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5600| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 04/11/2020

COREP C12, C13, C14 - Consistency of EGDQ_0382

Should the sum of risk weighted exposure amount before cap in C14 statment be equal to the breakdown in C12 and C13 for sponsor positions since the reporting of C12 and C13 had excluded the programs under the new securitisation framework?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5599| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 04/11/2020