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Risk weight attribution to loans guaranteed by third counterparties in NSFR

If a credit institution has granted loans to customers (Retail, SME or Corporate counterparties) where the customer has a guarantor for the loan (personal guarantees), which is a Sovereign/PSEs or a third financial institution, what risk weight should be attributed to those loans for purposes of NSFR?

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

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

ID: 2019_4951 | Topic: Liquidity risk | Date of submission: 17/10/2019 | Date of publication: 11/02/2022

Residential Reverse mortgages RWA

Could you clarify the regulatory RWA treatment for residential reverse mortgages exposure? Are those exposures subject to the standardised approach for RWA calculation?Is the regulatory treatment linked to the level of loan to value (LTV) the same as residential mortgages?

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

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

ID: 2019_4934 | Topic: Credit risk | Date of submission: 04/10/2019 | Date of publication: 11/02/2022

Calculation of the number of obligors

In EBA/GL/2017/16 paragraph 73 it is explained that in the calculation of the one-year default rates the number of obligors is used. Is it always mandatory to count one legal entity as one obligor, or can a group of legal entities for which there is no difference in risk due to an appropriate guarantee (i.e. those will default together) be counted as one obligor?

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: 2019_4599 | Topic: Credit risk | Date of submission: 07/03/2019 | Date of publication: 11/02/2022

Unutilised Limits of Guarantess

Are the unutilised limits of guarantees to be included in LCR {C73,r870,c010}?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4872 | Topic: Liquidity risk | Date of submission: 14/08/2019 | Date of publication: 11/02/2022

Interim profits attributable to minority shareholders

Is the prior permission of the competent authority needed at individual level of a subsidiary to include in the consolidated CET1 items the interim profits of that subsidiary attributable to minority shareholders?

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

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

ID: 2019_4734 | Topic: Own funds | Date of submission: 20/05/2019 | Date of publication: 11/02/2022

Eligibility Criteria for Tier 2 Capital in light of the replacement of LIBOR/EURIBOR

1. If the replacement reference rate proposed in the context of a change to a different benchmark rate, such as in the context of LIBOR transition, could result in a greater credit spread on an own funds instrument, whether as a consequence of a one-off adjustment to the credit spread at the time the replacement reference rate is implemented or as a consequence of an agreement to reset the credit spread at any future date or dates (whether or not in the context of any call option dates), would this potential outcome be considered to be a feature that provides an incentive to redeem for the purposes of Article 63(h) CRR? 2. If the replacement interest rate proposed by an issuer for its LIBOR-linked floating rate Tier 2 own funds instruments is a rate which is based on the credit standing of the issuer or its parent undertaking (or any intermediate parent undertaking), for example through the credit spread incorporated within a coupon derived from an overnight, or averaged overnight, risk-free rate, would that replacement rate of interest result in those instruments failing to satisfy the criterion specified in Article 63(m) CRR?

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

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

ID: 2019_4568 | Topic: Own funds | Date of submission: 22/02/2019 | Date of publication: 11/02/2022

C34.08 report - define the collaterals considering the both legs of the securities financing transactions (SFTs)

Column 0130 and column 0180 from C34.08 report Composition of collaterals for CCR exposures highlights the information related to the SFT security. In accordance with the requirements provided in Annex II Reporting on own funds and own funds requirements, the institution shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). In this context, considering that the SFTs involve two legs for each transaction and taking into account also the ITS requirements applied for the C34.08 report Composition of collaterals for CCR exposures, how the reporting institutions should treat the cash leg of the transaction? In which column the reporting institutions should populate the cash leg of the transaction?

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_6121 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 28/07/2021 | Date of publication: 04/02/2022

Reporting of items deducted from T1 in RWA columns in C43 (Breakdown of LR Measure)

It is not clear from the instructions whether items deducted from T1 should be included in the columns dedicated to RWAs in C43.

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_6106 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 21/07/2021 | Date of publication: 04/02/2022

Calculation of past due days

a. Shoud materiality threshold be used in a Template 7.01? b. If in a Template 7.01 materiality threshold shouldn't be used, can we have for same exposure differently reported past due time buckets in templates 7.01 and 18.00?

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_6050 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 23/06/2021 | Date of publication: 04/02/2022

Template F 12.1a

F12.1a – Movements in allowance and provisions for credit losses The EBA has introduced a new section for ‘Allowances for purchased or originated credit-impaired financial assets’ (row references r600-r750) with granular sub-sections for ‘Debt Securities’ and ‘Loans and Advances’, broken down by industry classification. This new section has the existing column for ‘Increases due to origination and acquisition’ (column reference c020) greyed out: This greying out of column c020 means that no data can go into the column for the Purchased / Originated Credit Impaired Assets. We believe this is an error in the design of the template as a bank, if we were to procure credit impaired financial assets from an outside third party or to write credit impaired facilities to potential new / existing customers, we would expect to report these balances against column c020 ‘Increases due to origination and acquisition’. Can you please share your thoughts in terms of the rationale behind blocking c020 for the POCI rows r600-r750 and advise how we should proceed in the event we have to report these balances in future submissions?  

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_6043 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 21/06/2021 | Date of publication: 04/02/2022

Template F 22.02: Assets involved in the services provided

Third party investment products distributed by an institution should be reported under “Assets Management” (F 22.02, r0010, c0010), “Custody Assets” (F 22.02, r0060, c0010) or “Customer resources distributed but not managed” (F 22.02, r0130, c0010)?

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_6036 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 15/06/2021 | Date of publication: 04/02/2022

Reporting of Securitisation Exposures in Template C43.00

Since the introduction of the new prudential requirements for securitisation exposures under Regulation 2017 2401, there is only one reporting template used for securitisation exposures as a result of the Basel III changes i.e. all securitisation exposures are now reported in a single COREP template C13.01 and there is no split between IRB and SA securitisation exposures. However, for reporting the breakdown of the components of the Leverage Ratio exposure measure in template C43.00, there is still a split required between the SA and IRB securitisation exposures and RWEAs in row 0300, columns 0010-0040. Pending future amendments to template C43.00, can we confirm if banks should now exclusively use the SA columns 0010 and 0030 of C43.00 to report all their securitisation exposures or should the split between SA and IRB exposures be retained?

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_6034 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 11/06/2021 | Date of publication: 04/02/2022

ASF factors for Additional Tier 1 items as wells as Tier 2 items and other capital instruments maturing between 6 month and 1 year.

For the purpose of calculating the NSFR, which appropriate available stable funding factor shall institutions apply for Additional Tier 1 items as well as Tier 2 items and other capital instruments maturing between 6 month and 1 year?

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_6017 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 26/05/2021 | Date of publication: 04/02/2022

C_81.00 ASF from capital items and instruments

In C_81.00, ASF from capital items and instruments shall be reported before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR [CET 1], Articles 56 and 79 CRR [AT1], and Articles 66 and 79 CRR [Tier 2]. However, the CRR, ITS, and supporting annexes do not indicate the applicable treatment of other types of Own Funds deductions or adjustments which originate from Articles other than the ones specified above. For example, in NSFR, should the reported amount for ‘ASF from capital items and instruments’ be reported gross or net of the deductions permitted in COREP C_01.00 rows 524, 529, 744, 748, 974 and 978? In general, clarity is being sought on two points: Whether the reported amount of CET1 in C_81.00 row 0030 is to be reported prior to all own funds deductions and adjustments, even those that emanate from provisions other than the ones explicitly stipulated in Article 428o paragraphs (a) to (c). For instance, whether the CET1 amount in C_81.00 row 0030 shall be reported gross or net of the deduction relating to the depositor compensation scheme reserve, which deduction emanates from Article 26(1) CRR. The mentioned depositor compensation scheme reserve is not an asset but an equity reserve, thus falling out of scope of RSF row 1030 “other assets”, in line with Article 428ah(1)(b) [items deducted from own funds]. Thus, clarity is being sought as to whether equity reserves are to be treated in one of the following methods: In scope of ASF row 0430 “other liabilities” by virtue of Article 428k(3)(d); In scope of ASF row 0060 “other capital instruments” pursuant to Article 428o(d); or Out of scope of ASF.

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_6016 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 26/05/2021 | Date of publication: 04/02/2022

Scope of COREP template C34.08 only CCP exposure?

When compiling template 34.08 should Article 300(1) CRR be interpreted in the broader sense and extended also to non-Central Counterparties exposures? For example, should Initial Margin exchanged on segregated basis under bilateral agreements (EMIR) also be reported under Segregated columns? Or should the Segregated columns be used exclusively for margin exchanged with CCPs?

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_5852 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 14/05/2021 | Date of publication: 04/02/2022

Application of CRR Article 272(12) to SFT population within CoRep Template C34.02

CRR2 Requirement Application of Article 272(12) to the SFT population under IMM and FCCM approaches in derivation of the current market value for the purpose of disclosure in Taxonomy 3.0 template 34.02 - ‘current market value’ or ‘CMV’ means the net market value of all the transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV. Reporting requirement The EBA ITS instructions state that the Current Market Value (CMV), positive should represent the Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR and the Current Market Value (CMV), Negative the sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. It has been noted that the article reference – 272(12) is specifically tied to the standardised method and therefore does not apply to other methodologies for CCR However the EBA have extended the application of said article under CRR2 to cover all calculation approaches. Neither the CRR2 text or the reporting requirements provide sufficient clarity on how the current market value should be derived for the SFTs – a concept that is not recognised as a capital measure in assessing the counterparty credit risk for security financing trades. For SA-CCR this would be a relevant parameter, but from a firm perspective we do not use SA-CCR for our repos, only IMM or FCCM (so either Article 220 or 223).

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_5843 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 11/05/2021 | Date of publication: 04/02/2022

Adjustments to RWA for DTA related to timing differences due to IFRS 9 transitional arrangements in template C5.01.

In template C05.01 validation rule v3689_s states that row010 column 040 cannot be negative. In our opinion, this is not true for RWA on DTA related to timing differences. EBA Q&A 2018_4189 does not include underpinning why the impact of IFRS9 transitional measures for RWA on DTA related to timing differences cannot be positive.

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_5820 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 21/04/2021 | Date of publication: 04/02/2022

Interest expenses categories

Under which heading of interest expenses should be declared commissions paid on commitments received ?

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_5778 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 11/03/2021 | Date of publication: 04/02/2022

Reporting the income or expense resulting from the recalculation of the carrying amount of the financial asset or financial liability as prescribed by IFRS 9.B5.4.6.

Our question is where (under what item) should be presented in the template F 02.00 “Statement of profit or loss” the income or expense resulting from the recalculation of the carrying amount of the financial asset or financial liability as prescribed by IFRS 9.B5.4.6. Furthermore, it would be helpful for us to have your confirmation that the respective adjustment is deducted when presenting the gross carrying amount of the financial asset.

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: 2014_1441 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 22/08/2014 | Date of publication: 04/02/2022

State guarantee of newly issued liabilities

Should liabilities issued under Article 32(4)(d)(ii) of Directive 2014/59/EU (BRRD) meet the criteria of Additional Tier 1 or Tier 2 instruments?

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

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

ID: 2016_2622 | Topic: Resolution objectives and triggers | Date of submission: 12/02/2016 | Date of publication: 28/01/2022