List of Q&As

In template C 34.02, the column Exposure Pre-CRM (column 150) aims to report EAD of all CCR exposures following articles 274 or 281 or 282 (according respective CCR method) and sub-sequent articles defining the effects of margin agreements or aims to report a new EAD value gross of all forms of collaterals and margins included in the margin agreement

To comply with the requirement of C39.02 columns 150, 160 I seek clarification regarding what is expected to be delivered in these 2 columns. Does any of the below 3 scenarios describe correctly the interpretation of the ITS guidelines? If none of below scenarios reflect the correct interpretation, what is the calculation expected to be performed to derive the EAD Pre-CRM and EAD Post_CRM?   Scenario 1: for EAD Pre-CRM value apply all SACCR formulas as if the netting set is unmargined and no form of collateral is accepted For banks under SACCR, for margined and un-margined netting sets the EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V)/(2*(1-Floor)*AddOnaggregate)] Exclude from all steps of the EAD calculation: Initial margin given or received Variation margin given or received Any instrument identified as NICA: Collaterals or guarantees received Collaterals or guarantees given   Scenario 2: For EAD Pre-CRM value, apply all SACCR formulas as if the netting set is unmargined For banks under SACCR, margined netting sets will be treated as unmargined netting sets. The EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V-C; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V-C)/(2*(1-Floor)*AddOnaggregate)] Where V includes: initial margin given Collaterals or guarantees given identified as NICA Where C includes: Collaterals or guarantees received identified as NICA Initial margin received According to scenario 2, exclude from all steps of the EAD calculation (RC or PFE multiplier) the following items: Variation margin given Variation margin received   Scenario 3: For EAD Pre-CRM (col150), apply all SACCR formulas as prescribed in Chapters 4 and 6 of Title II of Part Three CRR, and for EAD Post-CRM (col160) show the effects of a third-party collateral/guarantee received pledging the netting set(s), mitigants of which, are out of the netting or margin agreement with the counterparty EAD Pre-CRM (col 150 of c34.02) calculation follows the respective formulas for SACCR (simplified SACCR or OEM according to Chapters 6 of Title II of Part Three CRR articles 274 or 281 or 282 accordingly) depending if margined or unmargined netting sets. Therefore, EAD Pre-CRM includes all the below items which are contractually part of the margining agreement with the counterparty, and which intrinsically are part of the EAD calculation and do not constitute an actual transfer of risk as per credit risk mitigation: Initial margin given or received to/from Variation margin given or received Any instrument identified as NICA: Collaterals or guarantees received Collaterals or guarantees given EAD Post-CRM (C34.02 col160) reflects the effects of any mitigants given by a third-party (different entity from margin agreement counterparty). These mitigants may pledge one or more, derivative or SFT’s netting sets. As these mitigants are given by a different counterparty from the counterparty with who the reporting entity has a margin agreement, and consequently the covered portions by these mitigants are subject to different risk weight and there is an actual transfer of risk, it is relevant to trace what is the EAD Post-CRM value net of the effects of these mitigants.

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_6300 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 30/11/2021

Calculation of “Total exposure” in G01 (G-SII indicators and EBU items)

It is not clear from the instructions how to calculate this measure and its relation to the leverage ratio exposure measure reported in C47.

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_6296 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 26/11/2021

Relation between posted cash variation margin in derivative transactions reported in C 47.00 r 0071, r 0190 and r 0210

We kindly ask EBA to confirm our understanding regarding the consideration of cash variation margin in C 47.00 or if our understanding is not correct, please give detailed instructions how to consider the variation margin in data points: {0071; 0010}, {0190; 0010}, {0210; 0010} in C 47.00. By EBA Q&A 2020_5617, the EBA has stated that, preliminary, in data point {0071; 0010} of C 47.00 the value of net eligible cash variation margin received or posted shall be reported according to Article 275 CRR. The amount to be reported here shall be limited to the amount that reduces the replacement cost given in cell {0061; 0010} to zero. Both amounts in {0061; 0010} and {0071; 0010} are multiplied with the factor 1,4. Hence, the amounts of net cash variation margin received or posted reported in {0071;0010} are entirely part of the replacement cost calculation according to Article 275 CRR. We kindly ask EBA for confirmation or correction. According to Annex XI of Commission Implementing Regulation (EU) 2021/451 receivables for cash variation margin provided where recognized under the operative accounting framework shall also be reported among other assets in position {0190; 0010} of C 47.00, with its valuation according to Article 429b(1) in conjunction with Article 111(1) CRR. Thus, the bank would report in this cell the posted cash variation margin with its accounting value after specific credit risk adjustments and how it’s recognized on the balance sheet, regardless of the treatment of cash variation margin in the positions {0061; 0010} and {0071; 0010} and regardless of the conditions of Article 429c(3) points (a) to (e) CRR. We kindly ask EBA for confirmation or correction. Annex XI of Commission Implementing Regulation (EU) 2021/451 stated that in data point {0210; 0010} of C 47.00 receivables for variation margin paid in cash to the counterparty in derivatives transactions have to be reported, if the institution is required, under the applicable accounting framework, to recognize these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. Additionally, the amount reported shall also be included in the other assets reported in {0190;0010}. Regarding to this instruction, we wonder if the amount to be reported in {0210; 0010} has to be the amount according to Article 429b(1) in conjunction with Article 111(1) CRR (thus its accounting value after specific credit risk adjustments) or the amount calculated in accordance with Article 275 CRR multiplied by the alpha factor of 1,4. But if the amount calculated in accordance with Article 275 CRR has to be reported in {0210; 0010}, due to volatility adjustments on the variation margin, this amount could be higher than the carrying amount of the variation margin posted, reported in {0190; 0010}. This would result in a negative effect on the total leverage ratio exposure measures in {0290; 0010} and {0300; 0010}. Further, it is stated that the amount reported in {0210; 0010} also has to be included in {0190; 0010}. Does that mean the amount of cash variation margin posted included in both data points has to be equal? We kindly ask EBA for clarification and answering the question. The credit institution is not subject to NICA and applies German nGAAP.

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_6295 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 26/11/2021

Template 34.02 - Exposure value post-CRM

When Institutions calculated the value of exposure value post-CRM according to Standard approach for counterparty credit risk should it consider paraghrap 3 of article 274?  In other word if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, Institutions should compile the template with the first or second value? 

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_6291 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 24/11/2021

C 32.02

Should the AVA categories within template C 32.02.c (column 0070 "Concentrated positions"; column 0080 "Future administrative costs"; column 0090 "Early termination"; column 0100 "Operational risk") be incorporated into what is disclosed on template C 32.02.a column 0110 "Total AVA"?

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_6284 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 17/11/2021

Provision of the "acquiring of payment transactions" payment service in the EU

Please provide your opinion on whether the payment service – acquiring of payment transactions on an EU webshop – can be provided by a payment service provider from a third country. Please refer to EBA Q&A, Question ID 2018_4233

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

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

ID: 2021_6283 | Topic: Other topics | Date of submission: 17/11/2021

Reporting collateral received for derivatives in AE templates F 32.04 (AE-SOU) and F 32.02 (AE-COL) when master netting agreements are in place

Can the collateral received for derivatives be reported in AE templates F 32.04 (AE-SOU) and F 32.02 (AE-COL) at master netting agreement level (counterparty level), when collateral is only exchanged at that level?

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_6282 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 17/11/2021

Application of SCA for confirmation of funds requests made by a PISP

1) Should two SCAs be applied when a fund confirmation is made by a PISP? i.e. one for fund confirmation and one for payment initiation? 2) Should ASPSPs provide confirmation to a CoF request made by a PISP before or after the payment is submitted?

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_6280 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 16/11/2021

Loans Collateralized by immovable property - association between collateral and exposure based on contractual relationship or effective allocation

QUESTION According to FINREP Annex V ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral. In the case of an exposure collateralized by both a residential and a commercial immovable property, where just one of the two collaterals (e.g. Residential) is capable of securing all of the exposure and is the only collateral allocated so that the commercial immovable property is formally and contractually associated to the exposure but it is not allocated, how such loans shall be represented? -Loan collateralized by residential AND commercial immovable property, being the existing formal/contractual relationship -Loan collateralized by residential immovable property, assessing the real allocation of the collateral in consideration of collateral capacity and ability to back the loan.

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_6267 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 08/11/2021

Payee-initiated transactions with irregular period or variable amounts for account payments.

Please clarify whether payee-initiated account transactions available in Account Servicing Payment Service Providers (ASPSPs)’ online banking channels are considered discriminatory under PSD2 when not available in the PSD2 Application Programming  Interfaces (APIs). 

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_6256 | Topic: Other topics | Date of submission: 26/10/2021

Obligation to report risk-weighted exposures under SEC-ERBA and under SEC-SA as memorandum items in COREP template C 14.01

When does the obligation apply to report risk-weighted exposures under SEC-ERBA in column 0447 and under SEC-SA in column 0448 of template C 14.01?

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_6252 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 22/10/2021

Application of strong customer authentication (SCA) where Account Information Service users access the Account Information Service Providers’ (AISPs) own channels and the previously retrieved payment account information compiled and stored therein

Are Account Information Service Providers (AISPs) exempt, in respect of their own channels, from the requirements of Article 97(1) of Directive (EU) 2015/2366 and of Article 10 of Regulation (EU) 2018/389, and therefore allowed: to let users of their Account Information Service, access the AISPs’ own channels and the payment account information compiled and stored therein – previously retrieved by AISPs from the users’ respective Account-Servicing Payment Service Providers (ASPSPs) – without applying any strong customer authentication (SCA) upon that access to AISPs’ own channels, irrespective of whether the conditions of Article 10 of Regulation (EU) 2018/389 are satisfied – such that AISPs may, in their own channels, allow users of their service to consult, without SCA, previously retrieved payment account information of a broader scope (more than the last 90 days’ worth of data, and potentially the users’ complete transactional history) as compared to the data that ASPSPs may, without SCA, display to the same users in the ASPSPs’ own channels (maximum the last 90 days’ worth of data, and provided that SCA was applied no more than 90 days prior) – and such that AISPs, despite being payment services providers (PSPs), need not afford users of their services the same level of protection that ASPSPs are required to, and can expose said users to the risks of abuses referred to in Article 97(1)(c) of Directive 2015/2366?  

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_6248 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 20/10/2021

Change of TPP access rights for AIS consent by the PSU prior to authorisation

AIS Consent: A clarification of the Scope of the Bank Offered Consent, as defined in the Berlin Group standard, is needed. The so-called Bank Offered Consent is initiated by the TPP via the API and enables the PSU to select the account(s) and the access Level on the ASPSPs’ domain or system during the (redirect or decoupled) authentication procedure with the ASPSP. The following access levels are possible: Accounts list only Accounts list with balances Accounts list with balances and transactions An option for the implementation of the redirect screen is to pre-populate all accounts and full access levels and give the PSU the ability to deselect accounts or access levels. A single TPP highlighted concerns whether it is allowed to let the PSU determine not only the accounts but also the access level per account. Other TPPs feel strongly about keeping this feature. Additionally, ASPSPthat do not offer the selection of the access level per account by the PSU, were asked by TPPs to offer this. Due to the fact that this issue is decided differently by each Member State NCA, we ask EBA to provide harmonised guidance.

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_6246 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 19/10/2021

ASPSP restricting access for TPPs who embeds the redirect

Do Account Servicing Payment Service Providers (ASPSPs) have the right to block access to payment accounts for a Third Party Provider (TPP) who embeds the ASPSP-provided redirection website in order to provide the Payment Service User (PSU) with a TPP-provided user interface?

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

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

ID: 2021_6245 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 19/10/2021

Calculation of “payment volume” for method B in the Article 9 of Directive EU 2015/36 (PSD2)

Please can you clarify the definition of 'previous year' when computing the “total amount of payment transactions executed” referred to in the calculation of “payment volume” for method B in the Article 9 of Directive EU 2015/36 (PSD2) as to whether it should  be the previous 12 months from the date of calculation, therefore a rolling calculation, or whether it refers to the 'previous accounting year'? 

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

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

ID: 2021_6241 | Topic: Authorisation and registration | Date of submission: 19/10/2021

Payment Initiation Service - Batch payment / bulk payment

Can you apply the PSD2 non-discrimination principle to batch/bulk payment?

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_6236 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 12/10/2021

Application of the exemption under Article 10 RTS and EBICS T

Can an Account Servicing Payment Service Provider (ASPSP) consider that it is not applying the Article 10 Exemption under the Commission Delegated Regulation  (EU) 2018/389 “at all” whereas he permits its Payment Services User (PSU) to access balances and transactions information through another direct interface (such as Electronic Banking Internet Communication Standard (EBICS) T) with no systematic or daily strong customer authentication (SCA)?

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_6235 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 12/10/2021

Credit card debt as Credit for Consumption

In order to clarify the answer given to Question ID 2020_5167, should credit card debt be included as Credit for consumption when it comes to FINREP templates?

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_6219 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 24/09/2021

Scope of resolution action (as defined under the BRRD)

What is the scope of resolution actions to be taken into account when adjusting the total risk exposure amount and the total exposure measure for the purpose of setting the MREL recapitalisation amount?

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

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

ID: 2021_6194 | Topic: MREL | Date of submission: 09/09/2021

EBA Validation rules in C.43.00 LR4 v4448_m has not changed.

According to the formulae v4448: {C 43.00.a, r0010, 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_6180 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 07/09/2021