List of Q&As

On the access to safeguarding accounts through the Application Programming Interface (API)

Shall a safeguarding account of the e-money institution (EMI) or/and of the payment institution (EMI and PI) within the account servicing payment service provider (ASPSP) be considered as a payment account and therefore should be accessible (displayed) through the Application Programming Interface (API) of ASPSP?

Legal act: Directive 2015/2366/EU (PSD2)

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

ID: 2021_5755| Topic: Other topics| Date of submission: 23/02/2021

Reporting of a net reverse repo when the collateral leg has a higher RSF factor

How should we report a net reverse repo (resulting from the netting of SFTs) when the collateral leg has a higher RSF factor?

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: 2021_5752| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 22/02/2021

FINREP-COREP misalignment in C 33.00 – General Governments Exposures by Country of the Counterparty (GOV)

How should template C 33.00 be filled when FINREP and COREP differ due to the sale of a subsidiary?

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: 2021_5737| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 12/02/2021

Validation rule v7378 - securitization templates C 13.01 and C 14.01

Should validation rule v7378 be triggered in case you have 1 entity which leads to a significant risk transfer (SRT) and 1 entity that is not leading to a SRT?

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: 2021_5736| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 12/02/2021

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: 11/02/2021

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 (as amended)

ID: 2021_5729| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 09/02/2021

“Triangular ” passport

Are “triangular” passports possible under the current legal framework governing the passporting rights among the EU Member States?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/2055 - RTS on passporting under PSD2

ID: 2021_5726| Topic: Passporting| Date of submission: 08/02/2021

FINREP V6023: For rows (010;020;030;040;050;060;080;090;100;110;120) and columns (020;070) then if $ReportingLevel = 'con' then {F 32.01} = empty

The validation rule v6023 is set for reporting level of “con”. However, at a subconsolidated level, there might be intragroup amounts that should be reported in such cells. Does this validation rule include the reporting at a subconsolidated level?

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: 2021_5707| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 27/01/2021

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 (as amended)

ID: 2021_5705| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 27/01/2021

DPM 3.0 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: 27/01/2021

Treatment for repo / reverse repo of liquid asset transacted outside the segregated pool for institutions operating under Article 8.3.a

1. For a credit institution reporting under article 8.3.a, should liquid asset collateral in repo / reverse repo transactions away from the segregated pool be reported in “of which collateral extended / received meets operational requirements” rows of templates C73 (e.g. row 1035) and C74 (e.g. row 311)? 2. For a credit institution reporting under article 8.3.a, should cash outflow from repo transactions away from the segregated pool be reported in row 070 (“Secured cash 30 day outflows”) but associated liquid asset collateral not be reported in row 060 (“L1 excl. EHQCB collateral 30 day inflows”) of template C76?

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: 2021_5692| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 18/01/2021

Valuation rule 3684 - no negative amounts on row360

Due to impairments or shorter useful life under the applicable accounting framework compared to the tax base, it is possible that the carrying amount of other intangible assets is lower than the tax base. In that case a DTA is booked on that intangible assets. Is it, in that case, allowed to report a negative amount on row 360 Deferred tax liabilities associated to other intangible assets?

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: 2021_5679| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 08/01/2021

Prudential consolidation of special funds

Strictly following the instructions for presenting fully owned CIUs in FINREP leads to possibly unwanted outcomes as compared to IFRS accounts. Can competent authorities allow for fully owned CIUs to be consolidated in order to allow for the use of a look-through approach for FINREP?

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_5668| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 21/12/2020

Definition of “prudential regulation in the Union” in Article 142(1)(4)(b)

Can insurance and re-insurance undertakings located in the EU be considered as non-prudentially regulated and therefore as non-eligible to the definition of large financial sector entity?

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

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

ID: 2020_5666| Topic: Credit risk| Date of submission: 18/12/2020

Simultaneous applicability of non-deduction exemptions under Articles 48 and 49 CRR2 regarding equity exposures on insurance holdings where an institution has a significant investment

For an institution that has received permission to apply Article 49.1, has a significant investment below or equal to the threshold indicated in Article 48(1) and 48(2) (exempted from being deducted from Common Equity Tier 1 according to Article 49(1)). Are the amounts of holdings in insurance undertakings, to be risk-weighted at 250% according to Article 48.4 and the amounts of such holdings that are above this threshold risk-weighted in line with Article 49(4)?

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

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

ID: 2020_5664| Topic: Own funds| Date of submission: 17/12/2020

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: Draft ITS on Supervisory Reporting of Institutions

ID: 2020_5661| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 17/12/2020

Consent solicitation to change the contractual ranking of an instrument to avoid so-called “infection risk“ posed by legacy instruments

Would a consent solicitation to amend the T&Cs of a legacy capital instrument (Tier 1 or Tier 2) in order to ‘promote’ an instrument in the subordination hierarchy entail the instrument to be deemed as a new issuance?

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

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

ID: 2020_5653| Topic: Own funds| Date of submission: 11/12/2020

Requirements towards SCA if association is done based on phone call

Does the requirement to apply Strong customer authentication (SCA) under Article 24 paragraph 2 b of Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication apply when customer is served using telephone call? Or is the only possibility to associate authentication credentials with the customer not having active credentials at hand, only possible having customer present?

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_5650| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 09/12/2020

Followup question on 2019_4818 related to CB Eligible Central bank withdrawable reserve to be reported in memo line 13 C66

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 (as amended)

ID: 2020_5646| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 08/12/2020

Definition of the parameter ρ_kl (option maturity)

How is the parameter “ρ_kl (option maturity)” concretely determined? Does the calculation take place at the level of a single option or at the level of weighted net sensitivity, which may consist of several options?

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

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

ID: 2020_5645| Topic: Market risk| Date of submission: 07/12/2020