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Consistency of validation rule v3017_m

What is the rationale of the validation rule regarding the subset of 'central bank eligible' collaterals among non-encumbered collateral received between AE-ADV-2 (F 36.02) and AE-COL (F 32.02), where non-encumbered collateral received are reported under a different presentation structure?

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_6359 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 08/02/2022 | Date of publication: 27/01/2023

Adequacy of the validation rule v10684_m - Instruments not at FVPL

v10684_m foresees a reconciliation between F 12.01 and F 02.01 in respect of gains/losses from financial instruments not at FVPL. Why is this validation rule expected to work, considering that (a) it encompasses debt instruments at amortized cost, which are identified as purchased or originated credit impaired assets (POCI) or are attributable to Stage 3 at the date of de-recognition and (b) it encompasses debt instruments at fair value through other comprehensive income?

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_6337 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 13/01/2022 | Date of publication: 27/01/2023

F 44.01 - validation rule v3985_s

How to inform in template F 44.01 of the fair value of certain components (liabilities) of net defined benefit plan assets.

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_6362 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 10/02/2022 | Date of publication: 27/01/2023

Relation between posted cash variation margin in derivative transactions reported in C 47.00, rows 0071, 0190 and 0210

We kindly ask EBA to confirm our understanding regarding the consideration of cash variation margin in C 47.00 or if our understanding is not correct, please give detailed instructions how to consider the variation margin in data points: {0071; 0010}, {0190; 0010}, {0210; 0010} in C 47.00.    (1) By EBA Q&A 2020_5617, the EBA has stated that, preliminary, in data point {0071; 0010} of C 47.00 the value of net eligible cash variation margin received or posted shall be reported according to Article 275 CRR. The amount to be reported here shall be limited to the amount that reduces the replacement cost given in cell {0061; 0010} to zero. Both amounts in {0061; 0010} and {0071; 0010} are multiplied with the factor 1.4. Hence, the amounts of net cash variation margin received or posted reported in {0071;0010} are entirely part of the replacement cost calculation according to Article 275 CRR. We kindly ask EBA for confirmation or correction.    (2) According to Annex XI to Commission Implementing Regulation (EU) 2021/451 receivables for cash variation margin provided where recognized under the operative accounting framework shall also be reported among other assets in position {0190; 0010} of C 47.00, with its valuation according to Article 429b(1) in conjunction with Article 111(1) CRR. Thus, the bank would report in this cell the posted cash variation margin with its accounting value after specific credit risk adjustments and how it’s recognized on the balance sheet, regardless of the treatment of cash variation margin in the positions {0061; 0010} and {0071; 0010} and regardless of the conditions of Article 429c (3) points (a) to (e) CRR. We kindly ask EBA for confirmation or correction.    (3) Annex XI to Commission Implementing Regulation (EU) 2021/451 stated that in data point {0210; 0010} of C 47.00 receivables for variation margin paid in cash to the counterparty in derivatives transactions have to be reported, if the institution is required, under the applicable accounting framework, to recognize these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. Additionally, the amount reported shall also be included in the other assets reported in {0190;0010}.     Regarding to this instruction, we wonder if the amount to be reported in {0210; 0010} has to be the amount according to Article 429b(1) in conjunction with Article 111(1) CRR (thus its accounting value after specific credit risk adjustments) or the amount calculated in accordance with Article 275 CRR multiplied by the alpha factor of 1.4. But if the amount calculated in accordance with Article 275 CRR has to be reported in {0210; 0010}, due to volatility adjustments on the variation margin, this amount could be higher than the carrying amount of the variation margin posted, reported in {0190; 0010}. This would result in a negative effect on the total leverage ratio exposure measures in {0290; 0010} and {0300; 0010}.     Further, it is stated that the amount reported in {0210; 0010} also has to be included in {0190; 0010}. Does that mean the amount of cash variation margin posted included in both data points has to be equal?  We kindly ask EBA for clarification and answering the question. The credit institution is not subject to NICA and applies German nGAAP. 

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_6295 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 26/11/2021 | Date of publication: 27/01/2023

v09821_m, v09823_m - Hedging sets

In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.  In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with split of the given risk category into single- and multi-name transactions (e.g. for Equity risk: r0250, r0260, c0050, c0060). The hedging sets can contain both single and multi-name transactions. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but all single name transaction-level MV are negative, therefore the positive CMV would actually be negative? Is it possible to calculate CMV splitting the hedging sets into single and multi-name hedging sub-sets, then determining the CMV on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

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_6363 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/02/2022 | Date of publication: 27/01/2023

FINREP - Treatment of cash collateral

In an earlier issued answer (Q&A 2020_5279), it was advised that cash collaterals on derivatives should be reported as part of 'Financial assets at amortised cost' [F 01.01, r183, c010].  Should cash collaterals on other products, for instance reverse repurchase agreements and repurchase agreements (repos & reverse repos) be treated similarly?

Legal act: Regulation (EU) No 575/2013 (CRR)

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

ID: 2022_6371 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 14/02/2022 | Date of publication: 27/01/2023

Collateral received for derivatives in F 32.04 and F 32.02 with master netting agreements in place

Can the collateral received for derivatives be reported in AE templates F 32.04 (AE-SOU) and F 32.02 (AE-COL) at master netting agreement level (counterparty level), when collateral is only exchanged at that level? 

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_6282 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 17/11/2021 | Date of publication: 27/01/2023

Indication of use of derogation of Article 2(5)(b) of Regulation (EU) No 1152/2014

It is not clear from the instructions which value should be reported to indicate in a harmonised way whether an institution makes use of the derogation stated in Article 2(5), point (b) of Regulation (EU) 1152/2014.

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_6373 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 15/02/2022 | Date of publication: 27/01/2023

Interest income from other assets in F 02.00 and F 16.01

Should ‘Interest income - other assets' be the same in templates F 02.00 and F 16.01 (correctness of validation rule v5598_i and Q&A 4009)?

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_6388 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/03/2022 | Date of publication: 27/01/2023

C 33.00: Instructions concerning specific positions - c0020

Should column 0020 in C 33.00 be filled in as the sum of the columns 0030 to 0120 minus column 0130? Or should the net amount only be reported when the following condition is met: there’s a short position with the same immediate counterparty and residual maturity? If the current definition of column 0020 is considered correct, should validations v10651_m and v5853_h be changed?

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_6407 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 24/03/2022 | Date of publication: 27/01/2023

Authentication procedures that ASPSPs’ interfaces are required to support (using re-direction)

In a pure redirection-based approach, can an ASPSP, which is not offering a mobile web browser to its PSU’s, decide not to support  an authentication via a mobile web browser authentication page (no app-to-mobile web browser or mobile web browser-to-mobile web browser  redirection) for PISPs/AISPs on the basis of duly justified security risks, without being considered a breach of Article 97 (5) PSD2 and Article 30(2) of the RTS on SCA and CSC and/or an obstacle under Article 32(3) of the RTS on SCA and CSC?  

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_6321 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 20/12/2021 | Date of publication: 27/01/2023

Application of SCA for confirmation of funds requests made by a PISP

1) Should two SCAs be applied when a fund confirmation is made by a PISP? i.e. one for fund confirmation and one for payment initiation? 2) Should ASPSPs provide confirmation to a CoF request made by a PISP before or after the payment is submitted?

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_6280 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 16/11/2021 | Date of publication: 27/01/2023

Arbitrating between security and obstacles

Can an Account Servicing Payment Service Provider (ASPSP) know a mobile phone number inside of the Third Party Provider (TPP)’s organisation in order to send a decryption password to the TPP out-of-band via SMS?   

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_6156 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 01/09/2021 | Date of publication: 27/01/2023

Ability of Payee’s PSP to apply exemptions from SCA in credit transfers

Can the Payee’s Payment Services Provider (PSP) apply an exemption from strong customer authentication (SCA) in credit transfers that are initiated through the payee?

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_5845 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 12/05/2021 | Date of publication: 27/01/2023

Encumbrance duration of reverse repo in NSFR when the received collateral has been sold short

When the received collateral through a reverse repo has been sold outright, what should the encumbrance duration for the reverse repo be?

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_6345 | Topic: Liquidity risk | Date of submission: 24/01/2022 | Date of publication: 20/01/2023

Collateral swaps with underlying collateral baskets

How to create combinations for collateral swaps with underlying collateral baskets for a special case where no asset left for one leg? Please see more details with the example. 

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 (as amended)

ID: 2022_6331 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 05/01/2022 | Date of publication: 20/01/2023

Establishment of a resolution college

Is a resolution college to be established pursuant to Article 88 for a group consisting of a bank which is a resolution entity in a member state, the bank’s significant branches in other Member States, the bank’s subsidiaries (credit institutions) in the Member State where the bank is domiciled and the bank’s subsidiaries (credit institutions) in third countries?

Legal act: Directive 2014/59/EU (BRRD)

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

ID: 2022_6594 | Topic: Cross-border resolution | Date of submission: 30/09/2022 | Date of publication: 20/01/2023

Transactions initiated via electronic mail (email)

Do transactions initiated via electronic mail (email) qualify as initiations pursuant to Article 97 para. 1 (b) PSD2 and are therefore subject to the RTS SCA requirements?

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_6315 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 15/12/2021 | Date of publication: 06/01/2023

Articulation and interaction of the second and the third sub-paragraph of Article 74 (1) of the PSD2

In cases where the payer could not possibly detect the loss, theft or misappropriation of his instrument before it was used, is it correct to state that there can be no liability at all, including if the payer has acted with gross negligence?

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

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

ID: 2021_6305 | Topic: Other topics | Date of submission: 06/12/2021 | Date of publication: 06/01/2023

Calculation of “payment volume” for method B in the Article 9 of Directive EU 2015/36 (PSD2)

Can you please clarify the definition of 'previous year' when computing the “total amount of payment transactions executed” referred to in the calculation of “payment volume” for method B in the Article 9 of Directive EU 2015/36 (PSD2) as to whether it should be the previous 12 months from the date of calculation, therefore a rolling calculation, or whether it refers to the 'previous accounting year'? 

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

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

ID: 2021_6241 | Topic: Authorisation and registration | Date of submission: 19/10/2021 | Date of publication: 06/01/2023