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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

Exposure value according to Articles 247(5) and 249(2) CRR2 to be reported in C13.01 column 180

In the context of regulatory reporting of securitization positions under the new EBA regulatory reporting framework 2.9, the question regards the metric expected to be reported in the column [0180] EXPOSURE VALUE of template C13.01. On one hand, the supervisory reporting requirements on ITS under the framework 2.9 define the column [0180] EXPOSURE VALUE of template C13.01 as “Securitisation positions according to Article 248 of CRR”. The Article 248 of Regulation 2017/2401 states that the “exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110”. As any reference to the application of credit risk mitigation is mentioned on the article 248, we conclude at the this point that the column [0180] EXPOSURE VALUE of template C13.01 should be the exposure value after specific credit risk adjustment after the application of CCF and before application of CRM. On the other hand, the Article 249(2) indicates that the exposure value subject to risk weights has to be after application of credit risk mitigation. However, in Article 247(5), the exposure value subject to risk weights is defined as the exposure value set out in Article 248. There is not a reference to the article 249(2) in article 247(5) or article 248. Could you please give the correct metric to report in column [0180] EXPOSURE VALUE of template C13.01 : is it the exposure value before or after the application of credit risk mitigations ?

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: 2019_5048 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 13/12/2019

Residual maturity of the source of encumbrance

What is the residual maturity of an ABS issued, the WAL or the FORD? For an encumbrance reason without maturity date, should we place it in the bucket Open Maturity or in the bucket 5yrs

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: 2019_4946 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 15/10/2019

C 32.02 - Prudent Valuation: Core approach (PRUVAL 2); column 0160 (IPV Difference) and C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3); column 0110 (IPV Difference Output Testing)) and C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4); column 0100 (IPV Difference)

What sign convention is expected for “IPV Difference” amounts in templates C32.02 (column 0160), C32.03 (column 0110) and C32.04 (column 0100)? Should validation rule v6341_m ({r0020}

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: 2019_4924 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 19/09/2019

C 32.02 - Prudent Valuation: Core approach (PRUVAL 2); column 0260 (DAY1 P&L) and C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3); column 150 (DAY1 P&L)

What sign convention is expected for “Day 1 P&L” amounts in templates C32.02 (column 0260) and C32.03 (column 150)?

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: 2019_4923 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 19/09/2019

The C 05.01 template seems not compliant with CRR2

The 494b of CRR2 relates to Grandfathering of own funds instruments and eligible liabilities instruments and indicates that : " 1. By way of derogation from Articles 51 and 52, instruments issued prior to 27 June 2019 shall qualify as Additional Tier 1 instruments at the latest until 28 June 2025, where they meet the conditions set out in Articles 51 and 52, except for the conditions referred to in points (p), (q) and (r) of Article 52(1). 2. By way of derogation from Articles 62 and 63, instruments issued prior to 27 June 2019 shall qualify as Tier 2 instruments at the latest until 28 June 2025, where they meet the conditions set out in Articles 62 and 63, except for the conditions referred to in points (n), (o) and (p) of Article 63." We have to classify some instruments in Grandfathered instruments but without applying the same percentage than CRR1, but the C 05.01 template is not appropriate because it is not updated. How do we have to fill this template to be consistent with the C01.00 template?

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: 2019_4851 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/08/2019

Diversification benefits of upside uncertainty in column 0120 C 32.02

Where should diversification benefits of the upside uncertainty shall be included?

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: 2019_4626 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/03/2019

COREP V2.8 - C32.02 - Prudent Valuation : Fall back Approach

Should the detail of fair value adjustments for the Core approach be reported in the information for the fall back approach?

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: 2019_4555 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 14/02/2019

Col 040 of Corep: C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) report

As per article 14 (details available below), col 040 of Corep C32.04 report is quite subjective. But to the best of our interpretation can we say that its a percentage value and is computed as Col 040 = ( CONCENTRATED POSITIONS AVA (Col 080) / Total CONCENTRATED POSITIONS AVA )* 100

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: 2019_4519 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/02/2019

Reporting of template C17.01

1) Should all loss adjustments regardless of the Date of Occurrence of the original loss event be reported?2) For the rows relating to "Loss adjustments relating to previous reporting periods" (rows x40), should the adjustments be subject to materiality thresholds? Can the threshold used for registration of losses be applied also to loss adjustments?3) How should grouped losses split across multiple business lines be reported on row 910 "Number of events (new events)"? In case the loss is reported on multiple business lines, the row 910 will be lower than the sum of loss events reported on individual business lines.

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: 2018_3740 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/02/2018

Gross carrying amount of financial instruments measured at FV through other comprehensive income

Clarification of gross carrying amount of financial instruments measured at FV through other comprehensive income defined in Annex V in Final draft ITS amendments due to IFRS 9.

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: 2017_3318 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 01/06/2017