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List of Q&A's

Soglia di materialità - Calendar Provisioning - Matheriality threshold - Calendar provisioning

In merito al tema del “Calendar Provisioning” la soglia del 20% stabilita dall’Articolo 47a(3) del Regolamento (EU) No 575/2013 come modificato dal Regolamento 2019/630, sostituisce la soglia di contagio per singolo debitore del 5% attualmente in vigore (e che il 1° gennaio 2021 diventerà dell’1%, vedi Regolamento Delegato (UE) 2018/171)? O si riferisce invece ad altri aspetti? With regard to the subject of ‘calendar provisioning’ is the 20% threshold set in Article 47a(3) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 to be considered to replace the contagion threshold for individual debtors of 5% currently in force (and which will become 1% on 1 January 2021 – see Delegated Regulation (EU) 2018/171)? Or does it refer to other aspects?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2020_5528
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Obligor level

When applying the default at obligor level for retail, should a credit institution always consider a specific set of individual obligors that have a joint obligation towards an institution as a different obligor (the unit of default takes into consideration the JCO)? Or is this to be applied only for the materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5380
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

RWA formula for defaulted exposures where institutions use own estimates of LGDs

At which level should the flooring in the RWA formula for defaulted exposures (Articles 153(1)(ii) and 154(1)(i) of CRR2) be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5331
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Treatment of loans for LBO financing according to the GLs on high risk items

How should loans which constitute leveraged buyout (LBO) financing be treated according to the Guidelines on  specification of types of exposures to be associated with high risk? Should information, that a loan is collateralised by shares in an unlisted company, have decisive impact on its treatment as potentially being "debt exposure with economic substance similar to non-debt exposure" according to the paragraph 2 of section 4.1 of the Guidelines? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2019_4952
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Strong customer authentication (SCA) Knowledge element: Place of Birth and Date of Birth

Does a payer’s date of birth and place of birth constitute a valid Knowledge Element for strong customer authentication.

  • 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_5821
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Clarification on where the creation of the authentication code with dynamic linking for strong customer authentication (SCA) for electronic remote payment needs to be done

Should the authentication code be computed and dynamically linked to the transaction data in a unique processing step prior or together with the payer’s authentication on the payer’s device, or can the authentication code be computed and dynamically linked in one or several subsequent steps in the payment process, possibly not on the payer’s device?

  • 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: 2020_5366
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 30/07/2021

DPM 3.0 - C80.00 - C84.00 - Inconsistent modelisation and validation rules v10127_m and v10143_m.

Modelisation issue between report C80.00 and C84.00 but only for the sheets giving a breakdown per currency as we have some inconsistent duplicated fact. See background on the question.

  • 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_6038
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 23/07/2021

DPM 3.0 validation rules for C84 total RSF

According to validation rules v10158_m and v10063_m, RSF from derivatives should not be included in total required stable funding row 10 in neither column 10 nor 20. Is this really correct? It indicates that RSF from derivatives is not included in calculating the ratio then.

  • 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_5847
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 23/07/2021

Large Exposures : Mismatch between ITS and DPM v3.0 - C28 column 350 / C29 column 360.

The ITS states that a percentage of Tier 1 capital should be submitted for C28 column 350 / C29 column 360, whereas the DPM only permit a monetary value.

  • 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: 2021_5814
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Clarification of Value Adjustments according to Art. 111 of CRR2

Should we include in the (C28.00, r010, c190) cell the amount of the valuation adjustment which will be deducted from the original exposure in C28.00 (r010, C110) according to calculations performed under article 111?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5734
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Application of own fund requirements for position risk (CRR Title IV, Chapter 2) to net positions in securitization debt instruments

How should the effect of the cap in Article 335 CRR be reported in COREP template C 14.01 for securitization positions in the trading book?

  • 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: 2021_5729
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

FINREP V6301_m: for the rows (010;090;670) the {c010} != empty

How should small institutions, without financial cost, fill in rows 10, 90 and 670 of FI_2 to comply with validation rule v6301?

  • 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: 2021_5705
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

DPM v3.0 NSFR Derivatives

Should only derivatives with a residual maturity < 6 be reported on NSFR templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5702
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Reporting of the Securitisation of liabilities in C_14 report (SEC DETAILS) when the ultimate underlying is originally issued by another entity than the reporting institution.

When financial liabilities are the ultimate underlying of a given securitisation and when those liabilities have originally been issued by another institution than the reporting one, how should the column c160 (type of underlying assets) be reported ?

  • 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: 2020_5661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Follow-up question on 2019_4818 related to CB Eligible Central bank withdrawable reserve to be reported in memo line 13 C 66.

As clarified in 2019_4818 that withdrawable central bank reserve may be reported as CB eligible in C71. The same CB reserve is reported in C66 row 3.2 also as CB eligible. In C66 CB eligible HQLA are reported in memo line 13. C66 instruction has specifically mentioned to report row 3.3, 3.4 and 3.5 CB eligible values in memo line 13. As we have now agreed to report CB withdrawable reserve as CB eligible for C71 should this also be included in memo line 13 of C66 reporting.

  • 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: 2020_5646
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Reconciliation between the sum of Total Risk Exposure contributions in {C06.02;c250} and the Total Risk Exposure reported in ({C02.00;r010;c010}).

The sum of Total Risk Exposure contributions in {C06.02;c250} is not expected to differ greatly from the Total Risk Exposure reported in C02 ({C02.00;r010;c010}). However, the amount in the COREP C02 includes the RWA for entities consolidated using the equity method, while the amount in the COREP C06.02 does not, because entities consolidated using the equity method are out of the scope of this COREP. According to the reporting instructions, the entity should allocate the RWAs so that the value for the group is the sum of the values reported for each entity in ‘Group Solvency’ template. The entity consolidated using the equity method should play no role. I understand that the column 250 (and therefore columns 260 to 290) of the COREP C06.02 should not report actual risk figures, but “contributions”. According to the regulation 2014/680 Annex II paragraph 35, “The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk”. I understand that reporting entities has to split the total RWA for credit risk, market risk and operational risk (and other risks) – as reported in the COREP C02 – between entities reported in the COREP C06.02, using a breakdown method. Therefore, I understand that the “real” amount of RWA of entities consolidated using the equity method is in fine allocated to other entities. Hence, could you confirm that indeed, the amount of RWA of entities consolidated using the equity method should be allocated by the reporting entity to other entities using the “most appropriate breakdown method” in the COREP C06.02?

  • 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: 2020_5612
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Template C32.01. Guidance required for which row to submit commodity assets and liabilities on template C32.01,

When following guidance found in AnnexII (page 185-190) there is no guidance as to where to include Commodity Assets (or liabilities) that are not derivatives (even though they are in scope for PVA threshold assessment). These are not Financial Assets or Liabilities even if fair valued and as such do not fit in any of the rows on the template. The equivalent row for assets in Finrep template 01.01 is row 360 'Other assets' but this has no equivalent in template C32.01.

  • 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 (repealed)
  • ID: 2018_4190
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

EBA validation rule v2708_m for DPM 2.6 and 2.7

In the latest version of Annex V of Finrep IFRS9, in the Part 1 paragraph 44 (h) “the immediate counterparties shall be for loan commitments, financial guarantees and other commitments received, the GUARANTOR or the COUNTERPARTY that has provided the commitment to the reporting institution” instead of the debtor of the loan. We would like to know whether this definition refers to all Finrep ITS’ templates or only to some of them. In particular, the use of the guarantor shall apply: • only to template 9.2 “Loan commitments, financial guarantees and other commitments received” or • to template # 9.2 “Loan commitments, financial guarantees and other commitments received”, template # 18 “Information on performing and non-performing exposures” and template # 19 “Information forborne exposures”.

  • 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: 2017_3600
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Clarification of the collateral amounts -validation rules v4759_m & v4774_m

Could you please clarify what amounts need to be reported in columns 150-210 of template C08.01, specifically, for ‘funded credit protection’ ‘real estate’ (column 190), when own estimates of LGD are used.

  • 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: 2017_3349
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Reporting the insurance products under the item 150 of the template F 22.02 - Assets involved in the services provided

What value should be reported for the insurance products under the item 150 of the template F 22.02: the insurance premium, the banking fee or the insured amount?

  • 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: 2014_1537
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021