List of Q&As

Treatment of fiduciary assets for the purpose of asset encumbrance reporting

Do fiduciary assets have to be included in asset encumbrance reporting?

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_4969| Topic: Supervisory reporting - Asset Encumbrance| Date of submission: 28/10/2019

Failed validation checks due to the implementation of a new separate line item ‘cash contributions to resolution funds and deposit guarantee schemes’ (r385) in template F 02.00 and missing consistent change in template F 20.03 under DPM 2.9

Regardless of an institution’s view on the nature of cash contributions to resolution funds and deposit guarantee schemes in the financial statements, the introduction of a new separate line item ‘cash contributions to resolution funds and deposit guarantee schemes’ (r385) in template F 02.00 under DPM 2.9 combined with an unchanged template F 20.03 leads to a break of blocking validation rules. That shows the need for further guidance or requires an adjustment of template F 20.03 in conformity with the structure of template F 02.00 regarding single line items and totals items.

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_4943| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 10/10/2019

Definition of 'carrying amount’ for the purposes of templates C60.00 and C61.00

In the guidance annexes of DPM 2.8 for C 60.00 and C 61.00 templates the reporting amount has been further specified as ‘carrying amount’ however the breakdown of the template requires the amounts to be broken down according to the actual expected payments which suggests Cashflow. The Cashflow and the Carrying value can differ significantly due to changes in market value or impairments in the case of assets. For reporting purposes of the two above mentioned reports is it expected to split the carrying value across the time buckets based on when the cashflows are expected to be paid/received or to report the carrying value according to the residual maturity of the contract?

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_4908| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 11/09/2019

Discrepencies between the "instructions" and the Data Point Model for the Maturity Ladder C66.01 COREP report

We have noted some discrepencies between the information we can find in the instructions and in the DPM. For instance, for the row 090 "1.2.1.1.1 Level 1 central bank ", the instructions for the COREP ALMM Maturity Ladder report C66.01 stipulate "The amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks. ", while in the sheet C66.01.a of the "Annotated Table Layout 281-COREP 2.8.1.1-Errata.xlsx" file it is specified that the central bank test must be done on the "counterparty sector" of the transaction, rather than on the "counterparty sector" of the collateral. An other example is the row 020 "1.1.1 Unsecured Bonds Due", for which the instructions do not require explicitely to exclude hybrid debt, while in the sheet C66.01.a of the "Annotated Table Layout 281-COREP 2.8.1.1-Errata.xlsx" file it is specified that the "Main Category" is "Debt securities issued. Other than Hybrid contracts". The general question is the following: when there is a discrepency between the instructions and what we can find in the DPM, is it correct to assume that the instructions do contain the correct requireement ? If not, what are the correct requirements for the above two cases?

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_4907| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 09/09/2019

Classification of collective investment undertakings

The classification of investment funds (collective investment undertakings) in FINREP table F 1.1 is not clear as there seems to be a contradiction between the reference to IAS 32 on the one side and Annex V on the other side. Should investment funds be treated as debt or as equity?

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_4894| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 04/09/2019

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