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List of Q&A's

v09805_m, size of the derivatives business

Is validation rule v09805_m applicable?

  • 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: 2022_6377
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Calculation of loss given default for fully off-balance exposures in case there are no additional drawings after the default date.

According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   In case the exposure is fully-off balance at the moment of default and there are no additional drawings after default, both the numerator and the denominator of the LGD will be equal to zero. This means that the LGD cannot be calculate using the definition stated above. Should the realized LGD be set equal to zero in this case? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6376
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Calculation of amount outstanding at default and loss given default for products in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR)

Article 181(1)(a) of Regulations (EU) No 575/2013 (CRR) specifies that LGDs shall be estimated on the basis of the average realized LGD by facility grade or pool using all observed defaults. According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   For the purpose of calculating the realized LGD, how should the amount outstanding at default (and the denominator of LGD) be calculated for exposures in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR) that are fully off-balance at the moment of default?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6375
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Goodwill included in the valuation of significant investments

1. For the purposes of Article 37(b) CRR, are the significant investments of the institution limited to the significant investments in financial sector entities (FSE) or should they include all significant investments (i.e. also significant investments in entities that are not financial sector entities)? 2. Should Article 37(b) CRR be applied only when the significant investments outside the prudential perimeter are valued for prudential purposes using the equity method or should it be applied also when the significant investments are valued for prudential purposes at historical cost?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6374
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Indication of use of derogation of Article 2(5)(b) of Regulation (EU) No 1152/2014

It is not clear from the instructions which value should be reported to indicate in a harmonised way whether an institution makes use of the derogation stated in Article 2(5), point (b) of Regulation (EU) 1152/2014.

  • 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: 2022_6373
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Contributions to Resolution Financing Arrangements - clarification regarding the use of the risk indicator of "Own funds and eligible liabilities held by institution in excess of MREL" in calculation of the contributions to resolution financing arrangements

How to determine the risk indicator "Own funds and eligible liabilities held by the institution in excess of MREL" referred to in Article 6 (2)(a) of the Commission delegated regulation (EU) 2015/63 within the calculation of the ex-ante annual contributions to resolution financing arrangements.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2022_6372
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

FINREP - Treatment of cash collateral

In an earlier issued answer (Q&A 2020_5279), it was advised that cash collaterals on derivatives should be reported as part of 'Financial assets at amortised cost' [F 01.01, r183, c010].  Should cash collaterals on other products, for instance reverse repurchase agreements and repurchase agreements (repos & reverse repos) be treated similarly?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6371
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Reporting of physically settled derivatives in C 66.01 Maturity ladder

  In which sheet should we report the commodity flows in the C 66.01 Counterbalancing section - only in the TOTAL sheet (for all currencies combined) or also in the corresponding significant currency sheet? Does reporting depend on the type of commodity - metals, energy, agriculture, etc.? 

  • 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: 2022_6370
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Definition of private equity exposures in articles 155(2) and 155(3)

Do “private equity exposures in sufficiently diversified portfolios” eligible to a Risk Weight (RW) of 190% in simple risk weight approach in Article 155(2) and a PD of 65% in the PD/LGD approach in article 155(3) refer to any non-listed equity instrument and/or shares in a CIU or units in a CIU for which the underlying exposures are non-listed equity instruments, provided that they are part of a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6369
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Own estimation of conversion factors for off-balance sheet exposures for binding mortgage/loan offers

Is the own estimation of credit conversion factors considered relevant for binding mortgage/loan offers, with a maturity of less than one year?. Should the total amount of a binding mortgage/loan offer be considered as "currently undrawn amount of a commitment that could be drawn" or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6368
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Exposure class for fair value changes of the hedged items in portfolio hedge of interest rate risk

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6367
  • Topic: Credit risk
  • Date of submission:

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • 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: 2022_6366
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v5017_a

Should the validation rule v5017_a be deactivated?

  • 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: 2022_6365
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v09808_m - netting set with IMM and SA-CCR positions

In template C 34.02, the columns current market value (CMV), positive (c0040) and Current market value (CMV), negative (c0050) are to be presented as a sum of the current market values (CMV) of all the netting sets. In order to comply with requirements, the CMVs are to be presented on netting set level. Split between positive and negative CMV presented in columns 0040 and 0050 respectively is done on the netting sets level, however netting set may comprise both SA-CCR and IMM derivatives. An ISDA agreement can cover derivatives that can be either calculated using the IMM or SA-CCR, i.e. a single netting set can be presented in both rows 0030 and 0040. Are the following assumptions correct? In order to comply with the template logic, such a netting set would be split to IMM and SA-CCR parts and CMV will be then calculated for respective splits. Those splits can result in opposite signs. However, as the definition of the template says the CMV shall be calculated on a netting set, the total will be always present only as strictly positive or strictly negative. Then in C34.02 template, total value of the netting sets with positive and negative CMV will reconcile with the total positive and negative CMV of presented approaches (sum of columns 0040 and 0050).

  • 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: 2022_6364
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

v09821_m, v09823_m - Hedging sets

In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.  In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with split of the given risk category into single- and multi-name transactions (e.g. for Equity risk: r0250, r0260, c0050, c0060). The hedging sets can contain both single and multi-name transactions. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but all single name transaction-level MV are negative, therefore the positive CMV would actually be negative? Is it possible to calculate CMV splitting the hedging sets into single and multi-name hedging sub-sets, then determining the CMV on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

  • 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: 2022_6363
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

F 44.01 - validation rule v3985_s

How to inform in template F 44.01 of the fair value of certain components (liabilities) of net defined benefit plan assets.

  • 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: 2022_6362
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

EBA/GL/2017/16 Interpretation

Conformity of the  implementation pursuant to Article 152 CRR to EBA/GL/2017/16

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2022_6361
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Exclusion of cash withdrawal services from PSD2

If a provider offers cash ATM withdrawal services, not acting on behalf of one or more card issuers but rather through an agreement with the main payment circuits, shall this type of provision be considered exempt from the PSD2?  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6360
  • Topic: Other topics
  • Date of submission:

Consistency of validation rule v3017_m

What is the rationale of the validation rule regarding the subset of 'central bank eligible' collaterals among non-encumbered collateral received between AE-ADV-2 (F 36.02) and AE-COL (F 32.02), where non-encumbered collateral received are reported under a different presentation structure?

  • 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: 2022_6359
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 27/01/2023

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2022_6358
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022