Share buybacks included in distribution policies
How and when should the share buyback ordinary component of an adopted profit distribution policy be reflected in the CET1 capital of institutions?
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_6887 |
Topic: Own funds |
Date of submission: 14/09/2023 |
Date of publication: 08/12/2023
Ability of the Share Premium to absorb losses
Can the Share Premium be recognised as CET1 capital if there are features preventing its use to absorb losses?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2023_6932 |
Topic: Own funds |
Date of submission: 08/11/2023 |
Date of publication: 08/12/2023
Clarification on treatment of repurchase agreements and reverse repurchase agreement, as well as securities or commodities lending/borrowing of the banking book under standardised approach of credit risk.
Shall the transferor of an operation like the one described below include for credit risk capital requirements purposes both the exposure value of the securities sold (asset item) and the financing position (even if it is a liability item), or just the asset item of the securities sold?
According to Article 111(2) CRR the exposure value of any repurchase transaction shall be included and be calculated either in accordance with Chapter 4 or Chapter 6 of Title II: does it also refers to the financing position of the transferor (even if it is a liability item)?
What is the correct treatment for the financing position of the transferor? are securities also to be included as an exposure value in case the Financial Collateral Simple Method is used?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2023_6774 |
Topic: Credit risk |
Date of submission: 11/04/2023 |
Date of publication: 08/12/2023
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Trusted Beneficiaries
Please clarify whether under Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication (hereinafter: RTS on SCA & CSC) is it allowed to use the same SCA element to authorize a payment and at the same time (using the same session ID) approve (technically using by a checkbox) the payee as a trusted beneficiary? If it is allowed, the payment service user (hereinafter: PSU) shall be informed (prior to authorisation) by an approval SCA element (SMS) about the payment execution and about modifying the list of the trusted beneficiaries as well?
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: 2023_6827 |
Topic: Strong customer authentication and common and secure communication (incl. access) |
Date of submission: 14/06/2023 |
Date of publication: 29/09/2023
Exemption from strong customer authentication
Do the revisions to Art.10 set out in Commission Delegated Regulation (EU) 2022/2360 of 3 August 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2018/389 as regards the 90-day exemption for account access mean that a payment service user or account information service provider is now limited to accessing only the account balance OR the transaction details for the last 90 days when availing of the revised exemption?
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: 2023_6820 |
Topic: Strong customer authentication and common and secure communication (incl. access) |
Date of submission: 06/06/2023 |
Date of publication: 29/09/2023
