List of Q&As

ESG P3 - Template 7 Decision tree KPI GAR for Financial Corporation

In which row/group of rows from template 7 should be disclosed Financial Corporation located outside European Union (EU) and Financial Corporation located in EU but not subject to NFRD disclosures?

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_6681 | Topic: Transparency and Pillar 3 | Date of submission: 04/01/2023

ESG P3 - Template 5 - NUTS codes for geographical areas outside EU

Does the regulation authorize to disclose any geographical area located outside European Union (EU) and UK?

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_6679 | Topic: Transparency and Pillar 3 | Date of submission: 04/01/2023

ESG P3 - Template 1- Attribution factor for financed emissions

In template 1 of the final ITS, Commission Implementing Regulation (EU) 2022/2453 the GHG financed emissions should be reported in column i. With reference to the Annex 2 of the Regulation, institutions should  "taking into account their exposures [...] compared to total liabilities (accounting liabilities and shareholdes' equity)". This expression refers to an attributions factor that is similarly used in the GHG/PCAF-standard (EVIC, i.e. debt and equity). According to the expression, the attribution factor only applies for the "scope 3 emissions per sector" and is not explicitely named in column j for the "Of which Scope 3 financed emissions". Does the CRR-449a-attribution factor in column i and j apply for scope 1/2/3 of the counterparty? Does the attribution factor deviate from the GHG/PCAF-standard?

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_6678 | Topic: Transparency and Pillar 3 | Date of submission: 03/01/2023

ESG P3 - Template 1- Scope 3 financed emissions including scope 1 and 2 of the counterparty

In template 1 of the final ITS (Commission Implementing Regulation (EU) 2022/2453) in column j the "Of which Scope 3 financed emissions" should be reported. Reading Annex 2 of the Regulation, "Institutions shall disclose their scope 3 emissions" where "their" refers to "institution" - this would be the scope-3-financed emissoions of the PCAF standard and therefor the total financed  emissions inclusing scope 1 /2 /3 of their (!) counterparties. Is is correct, that here only the counterparties scope-3-emissions should be reported?

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_6677 | Topic: Transparency and Pillar 3 | Date of submission: 03/01/2023

ESG P3 - Template 1- financed emissions to objects (PCAF-Standard) instead of counterparties

Regarding template 1 (ITS Commission Implementing Regulation (EU) 2022/2453) the "GHG financed emissions (scope 1, scope 2 and scope 3 emissions of the counterparty)" [see Annex 1] have to be reported. With respect to Annex 2 of the Regulation, the Reporting Standard of the Financial Industry (PCAF) is referenced (page 13), that is related to the institutions ("their") scope 3 emissions. Therefore, regarding projekt/object finance, we are not clear if the financed emissions of the specified object or the counterparty should be reported. E.g., if a bank finances/leases a car of/to a counterparty, should the scope 1/2/3 emissions of the counterparty (e.g. the company that buy the car that is partially financed by the bank)  be reported or the emissions of the car? So forth, should the attribution factor for the company or the attribution factor for the car (loan) be used?

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_6676 | Topic: Transparency and Pillar 3 | Date of submission: 03/01/2023

Own Funds Requirement (OFR) calculation without permission to use articles 325 and 352(2) CRR permission/exemption.

How should institutions, without both the permission referred to in article 325 of the CRR and the permission referred to in article 352(2) of CRR, compute, on a consolidated basis, the overall net foreign exchange position (“ONFEP”), according to article 352(1) of the CRR and subsequent amount of own funds’ requirements for market risk?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR

ID: 2022_6658 | Topic: Market risk | Date of submission: 13/12/2022

How to fill in row 0150 on "Equity" in C 08.07

In the C08.07 report, column 0010 'TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR' refers to Article 166 which applies to exposures to companies, institutions, central governments and central banks and retail customers. If this column concerns the elements mentioned in Article 166, row 0150 “EQUITY” should not be filled in column 0010. Can you tell us if row 0150 “EQUITY” in column 0010 “TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR” must be completed?

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_6657 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 12/12/2022

ESG P3 - Template 5 - Collaterals sub - totals

In Template 5, we would like to understand how to report exposures that fall into both a sector-specific row (i.e. rows 1-9) as well as a row related to real estate collateral (i.e. rows 10-11). For example, would a loan exposure to a manufacturing corporation that is collateralized by commercial real estate be reported in both row 3 and row 11, or only in row 11 (assuming that both the collateral and the location of the activity of the exposure are within the reported geography)?

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: 2022_6654 | Topic: Transparency and Pillar 3 | Date of submission: 08/12/2022

ESG P3 - Scope of application of Article 449a

Could you please clarify and confirm the scope of application of Article 449a CRR for different kinds of supervisory groups and entities, including situations where the head of the group is a (mixed) financial holding, or the group has credit institutions affiliated with the central body? In general: can a (mixed) financial holding be considered a large institution on a consolidated basis (as per the CRR definition), and therefore would it have the obligation to disclose? Or should the disclosure requirement be on the credit institution underneath? And if the latter, at what level should it disclose, at highest level of consolidation of the group, i.e. the FH or its own level? If the requirements are applicable at the top level, i.e. the (M)FH, if a financial holding is large but not listed and one of the subsidiaries underneath is listed (large or not), shall it be considered that the conditions large and listed are fulfilled?

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: 2022_6652 | Topic: Transparency and Pillar 3 | Date of submission: 07/12/2022

Deduction of eligible liabilities instrument pursuant to Article 32b of RTS on Own Funds and Eligible Liabilities

How should an institution deduct the amount for which the resolution authority has given its prior permission under Article 78a of Regulation No 575/2013 (CRR) to reduce eligible liabilities instruments and where the permission granted only specifies a total amount of eligible liabilities instruments?

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: 2022_6651 | Topic: Own funds | Date of submission: 07/12/2022

Annex XI - Leverage (template C43)

It is not clear from the instructions what exposure amount is expected to be reported for items deducted from capital in the columns dedicated to RWEAs 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: 2022_6650 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 07/12/2022

Validation rule v7371_m and v7372_m

Paragraph 114 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting) states that investors in securitisation positions should report among others columns 0310-0470 in C 14.01. Validation rule v7371_m and v7372_m expects column 0140 and 0230 to be filled in C 14.00 when column 0310 in C 14.01 is filled. We believe however that columns 0140 and 0230 in C 14.00 are only to be filled by originators/multi-sellers and not investors.

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_6648 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/12/2022

Minimum loss coverage for non-performing exposures under Article 469a

In case of a default occurred in 2020, for a loan originated before 26 April 2019, if the bank grants the defaulted obligor a forbearance measure in the form of a new loan to cover past due payments on the original loan and thus effectively increasing the banks’ total exposure towards the obligor, will the original loan, which has not been increased, cease to be subject to the derogation provided for in Article 469a(1) CRR?

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

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

ID: 2022_6633 | Topic: Credit Risk – Non performing exposures / loan origination | Date of submission: 11/11/2022

Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting).   The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT. A repo transaction is composed by only 2 parameters, the security posted and the cash received. In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions:   What is the notional amount of the repo to be reported in column 0030 ? The security value posted (or the security nominal ?) The Cash nominal received The security value posted - the cash received Not relevant, do not populate Other, please indicate   What is the current market value of the repo to be reported in column 0040/0050 ? The security value posted The Cash nominal received The security value posted - the cash received The security value posted as a negative position (column 0050) Not relevant, do not populate Other, please indicate   What is the exposure value pre-crm to be reported in column 0150 ? The security value posted The security value posted - cash received Other, please indicate

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_6630 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 04/11/2022

Liability for contribution to resolution funds and deposit guarantee schemes in the form of a payment commitment

Paragraph 48i of Part 2 of Annex V to Regulation (EU) 2021/451 states: '[...] Where the contribution [to resolution funds and deposit guarantee schemes] is made in the form of a payment commitment, this payment commitment shall be included in ‘provisions or (-) reversal of provisions’, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard'. It is not clear in which row of template F 01.02 should be accounted the liability. Row '0230. Other provisions' seems the best choice, but row '0220. Commitments and guarantees given' could be another choice.

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_6629 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/11/2022

Validation Rule EBA_v10013 breaching

Validation rule v_10013 fails due to the positive sign of the amount of automatic exchange rate differences classified in column 0070, row 0060 (‘Outflow due to negative changes in value - Other adjustment (-) - Automatic exchange difference (-)’): with regard to column 0070 there seems to be no other rows available in order to classify the automatic exchange rate differences (either positive or negative). How can we overcome the rule breaching ?

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_6628 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/11/2022

The draft ITS on Pillar 3 ESG disclosures

Three questions with regard to Template 1: Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity: 1) column i: How to understand this instruction relating to Scope 3: The estimation of scope 3 emissions per sector shall be done in a proportionate way: e.g. by taking the institution’s exposures (loans and advances, debt securities and equity holdings) towards the counterparty compared to the total liabilities (accounting liabilities and shareholders’ equity) of the counterparty? 2) column i: How will the bank use the estimates of "sector avarage emissions intensity" in template 1? 3) What type of data should the bank disclose in scope 1 and 2? In the template 1 table, there is a separate column for Scope 1, 2, and 3, and separate for Scope 3 itself. Scope 1 and 2 are the consumption of the organization, they do not concern financing – what exactly is the bank to report there?  Full Scope 1 and 2 of  clients or in some proportion?

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: 2022_6626 | Topic: Transparency and Pillar 3 | Date of submission: 28/10/2022

ITS on Pillar 3 ESG disclosures - Template 2

Two questions with regard to Template 2:  Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral: 1) Should the columns h-p sum up with b-g and simultaneously with the column a? 2)  In which lines to report a situation in which the bank estimates the energy efficiency of collateral a housing mortgage? Should rows 5 and 10 be a sum of rows 2-4 and 7-9 respectively?

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

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

ID: 2022_6625 | Topic: Transparency and Pillar 3 | Date of submission: 28/10/2022

Exemption of exposures to public sector entities

In accordance with Article 429a (1) (j) (iii) of Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, exposures to public sector entities (PSE), treated in accordance with Art. 116 (4) CRR and arising from deposits that the institution is legally obliged to transfer to this PSE for the purpose of funding general interest investment, shall be excluded from the denominator calculation of the institution´s leverage ratio.  Is there any limitation in the type of deposit assets to apply for such exclusion, particularly as regards cash-assimilated instruments (Article 4 (1)(60) CRR), which include certain categories of bonds? What is meant by “legal obligation” and what creates such obligation? Would contractual or statutory obligation qualify as such? Is there furthermore an example for “general interest investment”?  

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: 2022_6624 | Topic: Leverage ratio | Date of submission: 28/10/2022

Practical challenges with the implementation of the Pillar 3 disclosures

Question 1: Regarding power generation thresholds as outlined in the EU article 12.1(g) of the EU Paris-aligned Benchmarks Regulation referenced in Template 1: “companies that derive 50 % or more of their revenues from electricity generation with a GHG intensity of more than 100 g CO2 e/kWh.” (a) Should we look at % revenue by separate sources of fuel or %revenue for the combined fossil fuel power generation of this company? (B) This can be interpreted as a dual factor (revenue from power generation and power generation carbon intensity). What happens if one of the factors is fulfilled, i.e. more than 50% of revenue from power generation, but not the other, i.e. less than 100 gCO2e/kWh. Question 2: Regarding Template 5, do banks need to include exposures based in non-EU geographies? There is no explicit guidance on Template 5. Question 3: Regarding Template 5, we would propose a physical risk assessment for the REMIND NDC climate change scenario (roughly 3 degree global warming in 2100) for the year 2050 (and also with data for “today” ). Is this in line with what the EBA expects? Question 4: Regarding Template 5, which option below is the correct information to fill out for column (j) “of which exposures sensitive to impact both from chronic and acute climate change events”? Question 5: Under which circumstances do banks outside the EU (e.g., Switzerland, UK or US Banks) need to report under EBA Pillar 3? Will the EBA provide a list also for these non-EU based banks falling under EBA Pillar 3?

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: 2022_6623 | Topic: Transparency and Pillar 3 | Date of submission: 28/10/2022