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Meaning of “portfolio” within “sufficiently diversified portfolios” in Article 155(2)

How should the term “portfolio” be understood in the context of the 190% risk weight for private equity exposures in “sufficiently diversified portfolios” in Article 155(2) of the CRR? Does it refer to the whole institution’s portfolio of private equity? Or to any of the “portfolios” that an institution has identified for internal risk management purposes instead?

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

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

ID: 2019_4472 | Topic: Credit risk | Date of submission: 22/01/2019

Unfunded credit risk mitigation for specialised lending exposures

How should RWA be calculated for unfunded credit risk mitigation when the protected exposure is a specialised lending exposure in respect of which an institution is not able to estimate PDs and used the risk weights in Article 153(5) CRR?

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

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

ID: 2017_3295 | Topic: Credit risk | Date of submission: 16/05/2017

Prudential treatment of leasing asset and liabilities (in relation to IFRS 16)

What is the prudential treatment of the right of use leased assets and liabilities and is netting allowed?

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

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

ID: 2019_4689 | Topic: Accounting and auditing | Date of submission: 29/04/2019

Determination of own funds requirements for gold positions denominated in foreign currency

How does the own funds requirements for gold positions denominated in a foreign currency have to be determined in the market risk standardised approach?

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

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

ID: 2018_4167 | Topic: Market risk | Date of submission: 30/07/2018

Classification of a vertical security in a traditional securitisation

Is a vertical security as defined below in a traditional securitisation which refers to x% of the cash flows of the securitised exposures a securitisation position?

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

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

ID: 2019_4987 | Topic: Securitisation and Covered Bonds | Date of submission: 07/11/2019

Mark-to-Market Method: remaining maturity for early-termination clauses (ETC)

For the purpose of determining the percentage applicable under the Mark-to-Market Method according to Article 274(2) or (3) CRR, how should the residual maturity be determined for contracts with an early-termination clause?

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

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

ID: 2018_4329 | Topic: Market risk | Date of submission: 18/10/2018

Leverage Ratio treatment of intragroup exposures

Can an institution that uses the IRB approach for determining the risk weights for its exposures within the risk based framework apply for the exemption embedded in Article 429(7) CRR - as amended by Regulation 2015/62 - for the relevant intragroup exposures which are risk weighted under the IRB approach?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2019_4917 | Topic: Leverage ratio | Date of submission: 17/09/2019

CCP related transactions

Do bilateral exposures vis-à-vis a clearing member qualify as trade exposures, and therefore fall under the exemption of Article 400(1)(j)?

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

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

ID: 2019_4915 | Topic: Large exposures | Date of submission: 16/09/2019

Requirements for the usability of an ECAI within the framework of the Internal Assessment Approach pursuant to Article 259(3) of Regulation (EU) No 575/2013 – before amendments introduced by Regulation (EU) No. 2017/2401 - and Article 265 Regulation (EU) No 575/2013 as amended by Regulation (EU) No 2017/2401. - Anforderungen an die Verwendbarkeit einer ECAI im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 der Verordnung (EU) Nr. 575/2013 – in der Fassung vor den durch die Verordnung (EU) 2017/2401 eingeführten Änderungen – und Artikel 265 der Verordnung (EU) Nr. 575/2013 in der durch die Verordnung (EU) 2017/2401 geänderten Fassung

Is it possible to use published ECAI methods within the framework of the Internal Assessment Approach pursuant to Article 259(3) CRR and Article 265 CRR – as amended by Regulation (EU) No 2017/2401-, in consideration that neither in Implementing Regulation (EU) No 2016/1801 nor in Q&A 4274 there is a reconciliation requirement specifically applicable to securitisation positions from rating grades to credit quality steps pursuant to Article 261 CRR (as not amended) and Articles 263 and 264 CRR (as amended by Regulation (EU) No 2017/2401)? Ist es möglich, im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 CRR und Artikel 265 CRR – in der durch die Verordnung (EU) 2017/2401 geänderten Fassung – von ECAI veröffentlichte Methoden zu verwenden, im Hinblick darauf, dass weder die Durchführungsverordnung (EU) 2016/1801 noch die Q&A 4274 ein spezifisch auf Verbriefungspositionen anwendbares Erfordernis der Abstimmung von Ratingklassen auf Bonitätsstufen gemäß Artikel 261 CRR (in der nicht geänderten Fassung) sowie Artikel 263 und 264 CRR (in der durch die Verordnung (EU) 2017/2401 geänderten Fassung) enthalten?

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

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

ID: 2019_4500 | Topic: Securitisation and Covered Bonds | Date of submission: 01/02/2019

Obligations stemming from "non-credit products"

To what extent do fees stemming from “non-credit products” fall under the notion of para 73 (a) of the EBA Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures

ID: 2018_4301 | Topic: Credit risk | Date of submission: 28/09/2018

Meaning of ‘intragroup’ for the purpose of reporting in COREP template C 67.00

What is the scope of ‘intragroup counterparties’ for the purposes of classification of funding in COREP template C 67.00, column 050 (Product Type)? Is particular, can funding from a parent entity in a third country be considered ‘intragroup’?

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: 2020_5638 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 30/11/2020

v3078_m - Maximum Amount of Guarantee Given

Should the maximum amount of guarantee given reported in F_09.02 be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure?

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: 2020_5634 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 27/11/2020

Collateral obtained by taking possession: Classification as Residential or Commercial

Clarification of the applicable criteria for the classification of foreclosed asset as Residential or Commercial in FINREP templates

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: 2020_5632 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 25/11/2020

Consideration of posted variation margin in LRCalc, when conditions of Article 429c (3) point (a) to (e) are met

Following the second sentence of Article 429c (3) provided cash collateral, which meets all the conditions set out in points (a) to (e) of Article 429c (3), shall be considered as variation margin posted to the counterparty and shall be included in the calculation of the replacement cost of the netting set under SA-CCR for leverage ratio. We kindly ask EBA for instructions how to consider cash variation margin provided to the counterparty, when points (a) to (e) of Article 429(c) are met, in LRCalc.

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

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

ID: 2020_5617 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 16/11/2020

FINREP – F 01.01 and F 18.00.

Should a supervised entity report past due fees (e.g., due to guarantees provided or management fees) as “Other Assets” (F 01.01, row 360) or as “loans and advances” (F 01.01, Row 183)? According to CRR - Article 178(1)(b) when the obligor is past due more for than 90 days on any material credit obligation to the institution […] it shall be considered to have occurred a default. However, the scope of F 18.00 (Information on performing and non-performing exposures) does not include “Other Assets”, making it impossible to consider the fees that are past due for more than 90 days as non-performing. Therefore, we ask if it was the intention of the regulator to not include “Other Assets” in the scope of F 18.00.? If so, should these fees be considered as “loans and advances” (F 01.01, Row 183)?

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: 2020_5577 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 22/10/2020

FINREP Template F 25.01

Where should changes in a time bucket of already acquired repossessed assets be presented?

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: 2020_5575 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 21/10/2020

Missing reporting of Securitization under the Internal Assessment Approach in C14.01 template

Based on ITS instructions, in template C14.01 shall be reported only securitization under the SEC_IRBA, SEC_ERBA, SEC_SA methodology or securitizations weighted according to a RW equal to 1.250%. Is it confirmed that such perimeter doesn’t consider securitizations under the IAA approach, nevertheless such amount is included in CoRep template C13.01?

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: 2020_5549 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 12/10/2020

National regulation contradicts with Directive 2013/36 - v8714

According to Fin-FSA and based on national regulation (Sijoituspalvelulaki 747/2012) the capital conservation buffer should not be applied to investment firms with personnel under 250 and balance sheet amount under 43 million. Validation rule v8714_m requires that this row (CA4_r750) is reported. How should the capital conservation buffer be reported in this case?

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: 2020_5235 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 08/05/2020

Minority interests calculation with local transitional requirements

How should the calculation in Article 84(1.a.i) CRR be performed and reported when the local transitional requirements are different from the CRR transitional requirements?

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: 2020_5139 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 25/02/2020

Inconsistency in validation rule v4797_m COREP C14.00

Validation v4797_m states that [C 14.00 (All rows)] abs({c210})

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: 2020_5077 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 07/01/2020