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Supervisory Benchmarking - Alternative risk weight

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

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

ID: 2017_3222| Topic: Supervisory reporting| Date of submission: 10/03/2017

Undrawn uncommitted credit lines

What do we understand with "Undrawn uncommitted credit lines"? Are uncommited credit lines in the scope of the benchmarking? What kind of products are we talking about that fall into this category of facilities - are we talking about internal lines that have not been communicated to the customer? Are these relevant for COREP and the supervisory benchmarking?

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

ID: 2017_3221| Topic: Supervisory reporting| Date of submission: 10/03/2017

Annex I Template C101.00 - Sovereigns

Clarifications around which entities to include for those identified by a bloomberg ticker referencing a Sovereign

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

ID: 2017_3197| Topic: Supervisory reporting| Date of submission: 02/03/2017

Supervisory Benchmarking Exercise, Annex II, C 102, columns 070 and 080 Counterparty types

What counterparty types should be included in the Low Default Portfolio exercise?

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

ID: 2017_3191| Topic: Supervisory reporting| Date of submission: 28/02/2017

Annex IV, template C 105.01, c060, interpretation of term "case weighted" in column 060 (Case Weighted average default rate for calibration)

We are seeking for a clarification regarding the term "case weighted" in column 060 - Case Weighted average default rate for calibration. Is the requirement to weight default rates by default occurrences in each year (1st interpretation) or to weight default rates by non-default obligor observations at the start of each year?

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

ID: 2017_3150| Topic: Supervisory reporting| Date of submission: 07/02/2017

Template C 105.01 for 2017 exercise (end 2016 data)

According to the 2017 exercise related to “Low Default Portfolios”, entities shall submit Template C 105.01. Given the specific characteristics of these portfolios (low default), information regarding to “default rate”, “cure rate”, etc. is not used in the estimation. Therefore, estimation is based on external information. Overall, are these fields mandatory to report in Template C 105.01? And if so, which ratios should be included?

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

ID: 2016_3069| Topic: Supervisory reporting| Date of submission: 21/12/2016

Recovery rate of the foreclosure assets calculation

Regarding to the Supervisory Benchmarking Process, Annex III, C 105.01: When calculating the recovery rate of the foreclosure assets, should the recovery rate include a prediction for LGD for the recent defaults or only observed recoveries are expected? 

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

ID: 2015_2412| Topic: Supervisory reporting| Date of submission: 15/10/2015

Synthetic securitisation of undrawn revolving credit facilities

In a synthetic securitisation of undrawn revolving credit facilities (“RCF”), which is compliant with Article 244 of CRR, what is the EAD that should be considered inside the securitisation (which will subject to the risk weighting according to the securitisation framework) and what is the EAD that should be considered outside the securitisation (which will continue to be risk weighted according to the approved IRB model for such exposures)?

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

ID: 2018_4025| Topic: Securitisation and Covered Bonds| Date of submission: 26/06/2018

Interaction between Articles 473a and 127 of the CRR (risk weight factor for exposures in default under the standardised approach)

Do banks in order to calculate the thresholds of Article 127 of Regulation (EU) No 575/2013 (CRR) have to consider all IFRS 9 provisions (without applying any scaling factor) or the amount of IFRS 9 provisions reduced by applying the scaling factor as per Article 473a?

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

ID: 2018_3931| Topic: Accounting and auditing| Date of submission: 24/05/2018

Asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies

For the purpose of the credit risk standard risk-weight attribution, can we consider that 1) an asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies is equivalent to 2) an asset denominated and funded in the same currency?

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

ID: 2018_3832| Topic: Credit risk| Date of submission: 04/05/2018

Liability for fraud when SCA exemption used

Who is liable for fraud on Strong Customer Authentication (SCA) exempted transactions? Which payment service provider (PSP) is liable (payer’s or payee’s) when both PSPs choose to trigger an exemption to SCA?

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

ID: 2018_4042| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 28/06/2018

Confidentiality of offline PIN

Should the PIN transmitted offline from a terminal to an Europay, MasterCard and Visa (EMV) card always be enciphered? 

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

ID: 2018_4055| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 28/06/2018

Responsibility for comprehensive assessment according to Article 95(2) PSD2

It is not clear, whether comprehensive assessment of the operational and security risks relating to the payment services has to be carried out by the payment service providers (PSP), or it can be delegated / outsourced to a third entity (e.g. external audit firm). In case this is a responsibility of the PSP, it is not clear, whether it has to be carried by the independent internal audit department, or it has to be carried out by the department responsible for the risk function in the PSP.

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/17 - Guidelines on security measures for operational and security risks under PSD2

ID: 2018_4231| Topic: Security measures for operational and security risks| Date of submission: 06/09/2018

COREP C06.01 template - Consistency of the EBA taxonomy control v6288_m

Is the control v6288_m consistent with the COREP ITS?

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

ID: 2019_4537| Topic: Supervisory reporting| Date of submission: 11/02/2019

Development Banks in the template C 33.00 General Government Exposure

Are development banks included in the definition of general government exposures (paragraph 42 (b) of Annex V ITS no. 680/2014) and should be reported in the template C33.00 General Government Exposures?

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

ID: 2018_4276| Topic: Supervisory reporting| Date of submission: 17/09/2018

C 17 template

Is it possible to include the positive impacts of operational risk errors in template C 17.00?

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

ID: 2018_4208| Topic: Supervisory reporting| Date of submission: 21/08/2018

Adjustments due to IFRS 9 transitional arrangements included in RWAs and interaction with validation rule v3689_s in template C5.01.

In template C5.01 validation rule v3689_s states that R010 C040 cannot be negative, should R010 C040 be excluded from this validation rule?

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

ID: 2018_4189| Topic: Supervisory reporting| Date of submission: 08/08/2018

FINREP: COUNTERPARTY BREAKDOWN: HOUSEHOLDS

Can Personal Investment Companies (PIC) be seen as households in the Finrep counterparty breakdown? Personal investment company (PIC) means an undertaking or a trust whose owner or beneficial owner, respectively, is a natural person or a group of closely related natural persons, which was set up with the sole purpose of managing the wealth of the owners and which does not carry out any other commerical, industrial or professional activity.

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

ID: 2015_2368| Topic: Supervisory reporting| Date of submission: 02/10/2015

MREL requirement if resolution strategy is liquidation (no bail-in tool used)

Question 1:   Should the MREL requirement be set for a bank if its resolution strategy is liquidation and there is no plan to use a bail-in tool?   Question2:   What is the legal basis and the rationale for setting the MREL requirement for the bank if its resolution strategy is liquidation and there is no plan to use a bail-in tool?

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

ID: 2018_4253| Topic: MREL| Date of submission: 10/09/2018

Calculation of institution-specific countercyclical capital buffer rates

Should the calculation of the institutions-specific countercyclical buffer rate include capital requirements arising from measures taken in accordance with Article 458 in Regulation (EU) No 575/2013 (CRR)?

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

ID: 2018_4220| Topic: Other topics| Date of submission: 30/08/2018

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