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Validation rule on C_05.01 template - v4889_m

Is validation rule v4889_m correct?

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

ID: 2018_4258| Topic: Supervisory reporting| Date of submission: 10/09/2018

Is the validation rule for Finrep (DPM 2.7) v5510_m, correct?

Is validation rule v5510_m correct?

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

ID: 2018_3975| Topic: Supervisory reporting| Date of submission: 11/06/2018

Pillar III templates aligned with the new supervisory reporting package, DPM 2.7

Should we adjust template EU CR2-A in order to facilitate the implementation of the EBA Guidelines on disclosure?

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR

ID: 2018_3941| Topic: Supervisory reporting| Date of submission: 28/05/2018

validation rules v5434_m to v5447_m in DPM 2.7.0

Are validation rules v5434_m to v5447_m correct?

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

ID: 2018_3898| Topic: Supervisory reporting| Date of submission: 17/05/2018

Identification and access for testing purposes of entities that are not authorised third party providers (TPPs)

How would account servicing payment service providers (ASPSPs) identify entities that have applied for authorisation as a TPP?Should ASPSPs offer access to their testing facility to entities that are not (i) authorised payment service providers or (ii) entities that have applied for authorisation as a TPP (e.g. technical service providers)? If the answer is ‘yes’, should ASPSPs offer the same level of service to the referred entities?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2019_4609| Topic: Other topics| Date of submission: 12/03/2019

Exposures in the form of covered bonds

Would the preferential treatment set out in Articles 129(4) and (5) and in Article 161(1)(d) be applicable to derivative instruments entered into in relation to covered bonds exposures, provided that the counterparty’s claims are secured by the same pool of assets as the covered bonds’ and rank pari passu with the claims of the covered bonds holders?

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

ID: 2018_4328| Topic: Credit risk| Date of submission: 17/10/2018

Reporting of collateral type in the template C 102

How to report collateral type in the template C 102?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2018_4271| Topic: Supervisory reporting| Date of submission: 12/09/2018

For swaps should we consider that we have a collateral agreement with the counterparty?

In the EBA ITS package for 2019 benchmarking exercise, for swaps should we consider that we have a collateral agreement with the counterparty?  

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2018_4263| Topic: Supervisory reporting| Date of submission: 11/09/2018

Category on which the covered part of exposures should be reported.

How to report the covered part of exposures under IRB approach ?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)

ID: 2018_4093| Topic: Supervisory reporting| Date of submission: 10/07/2018

Reporting of RWA* and RWA** in Template C.103 of the Benchmarking exercise.

How to report metrics RWA* and RWA** in Template C.103 of the Benchmarking exercise?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)

ID: 2018_4092| Topic: Supervisory reporting| Date of submission: 10/07/2018

Reporting of exposures whose collateral type is (g) credit derivatives, (h) guarantees or (i) unfunded credit protection

How to report exposures whose collateral type is (g) credit derivatives, (h) guarantees or (i) unfunded credit protection?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)

ID: 2018_4091| Topic: Supervisory reporting| Date of submission: 10/07/2018

Meaning of current year in validation rule v6167_m

What is meant by “current year” in validation rule v6167_m? Does this date, 31-Dec-'current year-1', refers to Reference Date of filing report minus one year (e.g 31 Dec 2017 - 1 = 31 Dec 2016) or is the exactly current year minus one year ( e.g. 2018 -1 = 2017)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulatory Technical Standard on benchmarking portfolios

ID: 2018_3934| Topic: Supervisory reporting| Date of submission: 25/05/2018

ASPSP is denied the waiver to the fall-back by an NCA

If an Account Servicing Payment Service Provider (ASPSP) is denied the waiver to the fall-back by a National Competent Authority (NCA) (i.e. at 13 September 2019), will the ASPSP still have 2 months to build the fall-back?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4140| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 18/07/2018

Supervisory Formula Method - calculation of parameters

When using the Supervisory Formula Method, how do you calculate parameters T and L for a securitisation whose underlying assets are made of drawn and undrawn Revolving Credit Facilities?

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

ID: 2018_4262| Topic: Securitisation and Covered Bonds| Date of submission: 11/09/2018

Scope of application of the term "securitisation" and risk retention obligation in Article 405 CRR

Does the term ‘securitisation’ defined in Article 4(1)(61) CRR capture loan origination, as opposed to loan acquisition, where the loan origination occurs over a defined period and is subject to the originated loans satisfying specified eligibility criteria, and is funded by the originator issuing tranched debt with the subordination of the tranches determining the distribution of losses during the ongoing life of the portfolio of originated loans?

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

ID: 2018_3806| Topic: Securitisation and Covered Bonds| Date of submission: 17/04/2018

Application of margin period of risk scalars for cleared transactions

Do the margin period of risk scalars on cleared transactions, as laid out in Article 304(4) CRR, also apply to the calculation of the EAD for leverage ratio purposes?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2018_3756| Topic: Leverage ratio| Date of submission: 08/03/2018

Clarification on the risk weight applied to deferred tax assets that do not rely on future profitability

Can the 100% risk weight set out in Article 39(2) CRR be reduced through a risk mitigation agreement in view of the risks covered by the 100% risk weight?

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

ID: 2018_4269| Topic: Own funds| Date of submission: 12/09/2018

COREP Template C 25.00.Validation rule v0641_m.

In 2014, our National Competent Authority has clearly mentioned in the validation of the internal model of KCVA computation, that our institution determines the KCVA using the standard method for the below transactions: - Transactions out of the internal model EEPE perimeter - Transactions which are part of the eligible perimeter but, due to data quality issues, the EAD has been calculated in standard method. This justifies that for a counterparty which has expositions calculated in both standard and internal methods, we will have an advanced and standard CVA charge. In the COREP CVA template, we should state the number of counterparties calculated in advanced method (r020) and in standard method (r030), the sum of all counterparties should appear in r010. Related to eba_v0641_m, we remove the duplicates between the 2 calculation methods to fill the r010, in order to avoid the double counting of counterparties for which we have both of STD & ADV CVA. Knowing the fact that we can have the both methods for a given counterparty, should we report strictly the sum of r020 and r030? Or should we continue to consider the r010 as the sum of counterparties that generate KCVA, disregarding the calculation method used?

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

ID: 2018_4146| Topic: Supervisory reporting| Date of submission: 19/07/2018

COREP template C 05.01-validation rule v0269

Is it correct that the formula in COREP Table C 05.01, r100,c040 does not take into account the new cell r440,c040 (Adjustments due to IFRS 9 transitional arrangements)?

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

ID: 2018_4066| Topic: Supervisory reporting| Date of submission: 29/06/2018

Finrep validation rules of F 02.00 and F 16.01

In report F_16.1 the income is broken down by Derivatives - Trading ; Debt securities; Loans and advances and Other assets. In report F_02 the income is broken down by Accounting portfolio and Other assets so we believe rule v5598_i may not alwasy be true. The same logic is also for liabilities therefore rule v5601_i may not always be true.

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

ID: 2018_4009| Topic: Supervisory reporting| Date of submission: 21/06/2018

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