List of Q&As

Clarifications on the scope of ‘New Funding’ in C69.00

We would like to clarify two matters: 1. Whether ‘new funds’ are meant to be calculated with reference to the institution’s funding levels as a whole, or with reference to the individual depositor’s position at the reporting date. For example, Client A holds a sight deposit with Bank ABC, and transfers funds to Client B into an account held with the same bank. Should Bank ABC report a ‘nil’ balance in C69.00 given that there has been no increase in the institution’s overall level of funding? Or is some other treatment applicable in this case? 2. What would be the appropriate reporting for amounts transferred from a sight deposit account to a defined-maturity deposit pertaining to the same depositor? Given that this scenario is not addressed in the instructions, could you clarify whether such amounts should be treated as ‘rolled-over’ (and therefore within the scope of ‘new funds’ as per Annex XIX, 1.4(10))? If so, in such instances should institutions include in C69.00 the volume and spread pertaining to the new term deposit under its corresponding maturity bucket? Or is there another applicable treatment for these types of scenarios?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4893| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 03/09/2019

Collateral swaps with domestic central bank

Should collateral swaps that produce an outflow, where the counterparty is the credit institution’s domestic central bank, be subject to 0% outflow rate as per the general remarks?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4879| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 22/08/2019

FINREP validation rule v5284_m

Validation rule v5284_m verifies that the amount entered in table F18.00a, column 060 – Non-performing Gross carrying amount for Debt securities – Other financial corporations (rows 050 + 185 + 215, At Amortized Cost + FVTOCI + FVTPL) should be equal to the amount entered in table F20.04, row 120, column 025 – Debt securities – Other financial corporations, of which: non-performing. According to FINREP Annex V, art. 217, Held for Trading exposures are not included in table F18.00a: “For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.” As Held for Trading exposures are included in table F20.04., this validation rule is creating a non-blocking error. We therefore question whether the current validation rule is defined appropriately and if yes, how should Held for Trading instruments be included in the table F18.00a?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4847| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 31/07/2019

Operational deposits in NSFR

Should operational deposits 422(3)(c) and part of 422(3)(a) not covered by DGS should be reported in ID 1.2.8 (row 250 of C61 ASF) – ‘any other liabilities’ or in IDs 1.2.2.3 and 1.3.3.3 of C61 (ASF)? Current instructions appear contradictory and may lead to inconsistent reporting.

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4821| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 05/07/2019

Clarification regarding reporting of Central Bank deposits in column 90 (collateral value CB-eligible) of row 120 in C71.00 Concentration of Counterbalancing Capacity by issuer/counterparty

We have got clarification regarding reporting of central bank deposits in row 120 of C71.00 with reference to question id 2018_4217. But further clarification would be needed that the same central bank deposits can also be reported in column 090 as collateral value CB-eligible. As no specific product are mentioned to be eligible for column 90 so can this be interpreted that all products reporting in C71 are eligible to be reported in column 90 if it meets the below condition. "The collateral value according to the central bank rules for standing facilities for the specific assets "

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4818| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 05/07/2019

Are Validation rules v6263_m & v6264_m correct?

"In taxonomy 2.8 validation rules v6263_m & v6264_m are introduced for template C03. Validation rule v6263_m expects that the Overall Capital Requirement is equal to the following calculation. The Combined Buffer Requirement of the C 04.00 template divided by the total REA on the C 02.00 template plus the Total SREP capital requirement ratio. Validation rule v6264_m expects that the Overall Capital Requirement: To be made up of CET1 capital, is equal to the following calculation. The Combined Buffer Requirement of the C 04.00 template divided by the total REA on the C 02.00 template plus the Total SREP capital requirement ratio: To be made up of CET1 capital. How can these validation rules apply when the percentage of the calculation can differ from the SREP percentage imposed by the ECB?"

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2019_4746| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 28/05/2019

Reporting of QCCP exposures be reported in template C07.00a – validation rule e4895_n

To which exposure class (or sheet) should QCCP exposures which qualify for 2% risk weight under Article 306 of CRR be assigned for the purpose of COREP template C07.00a?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3353| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 16/06/2017

Substitution approach for exposure and guarantor under different approaches

In case a bank has both SA and IRB positions is it possible to apply the substitution approach when the exposure and the guarantor are treated by the institution under different approaches? In this sense, can the substitution approach be applied if the exposure is under the IRB approach and the guarantor under the SA? If so, for the reporting purposes, 1) Can Inflow arise on CR-IRB columns from CR-SA (outflow) columns? 2) How CRMs under IRB approach are reported when related exposure is reported on CR-SA?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3335| Topic: Supervisory reporting| Date of submission: 09/06/2017

Confusion between instruction and validation for Other Demand Deposits Assets in F 01.01

Annex V Part 2 para 1 point 3 states that template F 01.01 (Assets), row 040 shall ‘INCLUDE’ other demand deposits at credit institutions. There is a validation between this cell and template F 05.01 – Breakdown of Loan and advances by product – row 010, column 030 which is ‘On demand [call] and short notice [current account] EXCLUSIVELY at credit Institutions. If the validation is correct, that means row 040 in template F 01.01 must ONLY contain other demand deposits at credit Institutions. If that is the case, where should other demand deposits at counterparties other than credit institutions be shown?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_1057| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 08/04/2014

Continuous call option in AT1 instruments

Can AT1 instruments include terms whereby an issuer may call an instrument on any day over a fixed period of time (e.g. six months) before the first coupon reset date but after five years from date of issuance? Would the EBA’s answer be different for prospective Tier 2 or Article 72b CRR2 instruments (i.e. TLAC/ MREL eligible liabilities instruments)?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2020_5147| Topic: Own funds| Date of submission: 02/03/2020

Absence of waiver of set-off

Do AT 1 and Tier 2 instruments issued before 27 June 2019 continue to qualify as eligible AT 1 / Tier 2 capital despite the fact that it does not contain an explicit clause on waiver set-off rights in its terms and conditions, provided it meets all other eligibility criteria? Equally, does a liability issued before 27 June 2019 continue to qualify as eligible liabilities instrument despite the fact that it does not contain an explicit clause on waiver of set-off rights in its terms and conditions, provided it meets all other eligibility criteria of Article 72b CRR2?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2020_5146| Topic: Own funds| Date of submission: 02/03/2020

Scrip-dividends at investors’ discretion

Can Article 2(10) of the Commission delegated regulation 241/2014 be applied in case the holder of the CET1 instruments has the option to decide whether to receive the dividends in cash or in shares?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions

ID: 2019_4732| Topic: Own funds| Date of submission: 20/05/2019

Application of the LGD floor

Are there any specific requirements regarding the adjustment for the LGD floor? More specifically, is it a sufficient condition to ensure (may be on a daily basis) that the exposure weighted average LGD just needs to meet the floor on a portfolio level and the respective adjustments on the facility level are at the discretion of the bank?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_4680| Topic: Credit risk| Date of submission: 24/04/2019

Tokenised card details as a SCA possession element.

In relation to card tokenisation that can be used for the purposes of various payment solutions, does the token that is created from the card details qualify as a “possession element” according to the strong customer authentication (SCA) requirements?

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: 2019_4827| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 12/07/2019

Treatment of joint credit obligations

Do the requirements established in the Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013 regarding joint credit obligations, and in particular the requirements 95, 96, 97, 98, 99, 103, 104 and 105, relate or affect exclusively to retail exposures? In that case, could the treatment of joint credit obligations in which the obligors are classified as Non – Retail differ from the treatment of joint credit obligations in which the obligors are classified as Retail? In addition, and, as per this purpose, what should be the treatment of joint credit obligations shared by retail and non-retail obligors?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR

ID: 2018_4431| Topic: Credit risk| Date of submission: 21/12/2018

10 % LGD floor for retail exposures secured by residential property

How should an institution, which uses the IRB approach calculate the 10 % LGD floor mentioned in Article 164(4) CRR in the case where a part of the individual exposures are guaranteed by a guarantor (institution) which is treated under the Standardised Approach?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2017_3554| Topic: Credit risk| Date of submission: 11/10/2017

Net cash out-/inflow from cash settled futures (“ICE Brent Crude futures contract”)

How to calculate the expected liquidity net cash outflow/inflow from a future contract with daily variation margin and an expected final cash settlement?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_4705| Topic: Liquidity risk| Date of submission: 13/05/2019

Insurance policy on minimum monetary amount of the professional indemnity insurance of PSD2

If an e-money payment institution (for the purpose of new PSD2 services - Payment Initiation Service Provider (PISP) and Account Information Service Provider (AISP) in line with insurance industry standards signed an insurance policy with insurance company for several thousand/million euros with franchise deductible (e.g. in the amount of 25k EUR), fulfills adequate capital requirements and is being regularly monitored by the regulator (local central bank), does the above mentioned insurance policy violate guidelines rule that the insurance policy should not have any excess, deductible or any threshold that could prejudice repayments or do we understand it correctly that such insurance policy does not in any case prejudice that potential refunds requests will not be refunded and it as such fulfills guideline requirements? We understand that such insurance does not prejudice any repayments.

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/08 - Guidelines on the criteria on how to stipulate the minimum monetary amount of the professional indemnity insurance

ID: 2019_4542| Topic: Monetary amount of the professional indemnity insurance| Date of submission: 12/02/2019

Calculation of operational risk capital requirements under BIA

Under the Basic Indicator Approach used to compute own funds requirements for operational risk, how should the interest revenues from impaired loans be considered in the calculation of the Relevant Indicator (RI), namely, applying the effective interest rate on the gross carrying amount of the loans (before allowances/impairment) or on the recoverable amount, after deduction of impairment?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2017_3126| Topic: Operational risk| Date of submission: 25/01/2017

Retail exposures of subsidiary / branch of an EU credit institution established outside the EU

Could the subsidiary / branch of an EU credit institution established outside the EU use local criteria (i.e. criteria widely used by credit entities and public bodies in the relevant foreign jurisdiction) to classify an undertaker as a small or medium-sized enterprise in order assign to its exposures a risk weight of 75% according to Article 123?Could the subsidiary / branch of an EU credit institution established outside the EU use local criteria (i.e. criteria widely used by credit entities and public bodies in the relevant foreign jurisdiction) to classify an undertaker as a small or medium-sized enterprise in order assign to its exposures a risk weight of 75% according to Article 123?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_4590| Topic: Credit risk| Date of submission: 28/02/2019