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List of Q&A's

contrôle sur remise IRBB

voici les éléments concernant nos interrogations sur le J 07.00.   Dans ce dernier, nous sommes tenus de ventiler les "notional repricing cash flows" selon les buckets de repricing. Dans l'Annex II (en PJ), il est fait référence  aux RTS on SA (également en PJ) pour définir ces "notional repricing cash flows"  L'article 1.1(2) traitant de la définition de "repricing date", on trouve dans l'article 1.1(1)  En d'autres termes, cet indicateur s'entend comme la somme du capital échu ou ayant refixé, plus intérêts à taux connu.   Or, si l'on s'en réfère aux contrôles v22322_m et v22323_m dans les validation rules (également en PJ) fourni par l'EBA, le notionnel doit être supérieur ou égal à la somme des flux, ce qui est impossible si l'on inclut les intérêts.   Il y a soit un problème dans la définition de "notional repricing cash flow", soit dans celle du contrôle mais en l'état, les 2 ne peuvent coexister.  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2015/585 - RTS for the specification of margin periods of risk
  • ID: 2024_7217
  • Topic: Supervisory reporting - IRRBB
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Supervisory Factor for Credit Derivatives with underlying securitization for SA-CCR

The supervisory factor for the credit risk category add-on is to be assigned based on the rating assigned to the issuer of the underlying credit derivative.For securitisations, should the rating of the SPV issuing the various tranches be used or can the rating of the tranche be used? If the SPV is not rated but the tranches are, should the exposure be considered unrated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7216
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

Volatility Haircuts for Eligible Securitisation Collateral

Does the FCCM approach apply to unrated senior securitisation tranches that qualify as eligible collateral (i.e, as per article 197(1)h, "securitisation positions that are not resecuritisation positions and which are subject to a 100 % risk weight or lower in accordance with Article 261 to Article 264")?  If so, which supervisory volatility haircuts apply since there is no CQS associated with these under Sec- SA?  In addition, the new securtisation mappings of ECAI Ratings CQS 1-18 under Sec-ERBA have not been translated into Table 1 of Article 224, which continues to refer to CQS 1-4 seemingly under the old securitisation rules.  Which supervisory volatility haircuts apply under the new CQS mapping for rated securitisation tranches (as described in Commission Implementing Regulation (EU) 2016/1801 of 11 October 2016, as Amended by Commission Implementing Regulation (EU) 2022/2365 of 2 December 2022)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7214
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 03/06/2025

Applying risk weight in accordance with Article 235(3) of CRR3

In case of exposure and guarantee denominated in different currencies, which currency shall be taken into account in the process of application of risk weight for guaranteed part of exposure in accordance with Article 235(3) of CRR3?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7213
  • Topic: Credit risk
  • Date of submission:

a) Disclosure of Items in Transit balance in FINREP Table 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} b) EBA_v5013 (Type - Error): [F 05.01, F 01.01] Sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) Should be equal to Sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

1) Disclosure of items in transit balance in FINREP Template F 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} Please clarify where the items in transit balances should be reported in Template F01.01 out of the following? a) Other Assets (c0010, r0360) b) Loans & advances at amortised cost (c0010, r0183)  c) Cash on hand (c0010, r0020). 2) EBA_v5013 (Type - Error): [F 05.01, F 01.01] sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) should be equal to sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

  • 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 (repealed)
  • ID: 2024_7212
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/12/2024

Calculation of the EAD in BA-CVA

To compute the BA-CVA, on netting sets for which an institution computes the EAD using its IMM model, can you confirm that the EAD calculated using current market data should be used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7211
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 06/11/2024

Own funds requirement for asset-referenced token issuers

Are issuers of asset-referenced tokens, who are exempt from authorization requirement pursuant to Article 16(2) of MiCAR, subject to the own funds requirement pursuant to Article 35(1) of MiCAR?

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7210
  • Topic: Own Funds (MiCAR)
  • Date of submission:
  • Published as Rejected Q&A: 21/11/2024

Template 7 - Reporting of Gross carrying amount in total assets

In template 7, should the gross carrying amount of total assets match FINREP or the gross carrying amount as defined by Delegated regulation EU 2021/2178, as asked by the ITS ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2024_7209
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/03/2025

C34.10, reporting of rows related to margin information

What is meant to be reported on rows 0070, 0080, 0170 & 0180 of C 34.10: the exposure values of derivatives or the margin information of derivatives?

  • 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 (repealed)
  • ID: 2024_7208
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

FINREP reporting of loans secured by mortgage mandates (Belgium)

Should loans secured by mortgage mandates be reported as 'CRE loan' and/or as 'loans collateralized by immovable property' in FINREP table F 18.02?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7207
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/12/2024

Signage of Model Risk Fair Value Adjustments reported in C32.02 (v6575_s)

Model Risk FVAs taken due to market or product factors not captured by a valuation model can be either positive (resulting in a P&L loss) or negative (resulting in a P&L gain). Where the adjustment would result in a P&L gain, it should logically be populated with a negative value. However, validation rule v6575_s states that FVAs reported must be greater than or equal to zero. Please confirm if Model Risk FVAs resulting in a P&L gain should be reported with negative signage in column 0190 of the COREP C32.02 template.

  • 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: 2024_7206
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

Investments in Subsidiaries

On non consolidated level, should we include the position "Investments in Subsidiaries" in the NSFR report? And if yes, in which form (C_80.00 or C_81.00) and at which position (where exactly / code / NSFR row; on a separate place or together included in another position)? I have the same question and on a consolidated level.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7205
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Remaining maturity of the transactions for collateralised transactions

As per CRR Article 162(2)(c)& (d)- This states (as per below). Can the term "remaining maturity" in the below paragraphs be defined as Margin Period of Risk for collateralised transactions and Contractual maturity for un-collateralised transactions? (c)  for exposures arising from fully or nearly-fully collateralised derivative instruments listed in Annex II and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 10 days; (d)  for repurchase transactions or securities or commodities lending or borrowing transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least five days. The notional amount of each transaction shall be used for weighting the maturity;

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR
  • ID: 2024_7204
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 07/03/2025

GAR template 7, row 25 Households

For GAR template 7, must the row 24 “households” be always strictly equal to the sum of rows 25 +26 + 27?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2024_7202
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/03/2025

Are trust services under the scope of DORA, whatever the nature of the services

Financial institutions (EEFFs) subject to the DORA Regulation understand that Trust services, whatever they are, are “ICT services” and therefore their providers (Trust Service Providers / TSPs) are included in the scope of the DORA Regulation. However, these Trust services do not always constitute or are part of an essential or important function for the operation of such entities, but serve for auxiliary or internal functions of the entities.  Let's take the case of an electronic signature certificate used by a representative to sign contracts with suppliers or internal legal documents: is it essential for the continued operation of a bank, and would the suspension of the service significantly affect the authorized activity of the entity?  Another example: could the use of a platform that allows the remote management of electronic notifications sent to EEFFs by public administrations thanks to connectors that allow the entity to be identified with electronic certificates be considered essential for the EEFFs' operations? It is really a tool that facilitates the administrative procedures of the entity and is not part of the services it provides to its customers.    

  • Legal act: Regulation (EU) No 2022/2554 (DORA Reg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7200
  • Topic: ICT third-party risk management
  • Date of submission:
  • Published as Rejected Q&A: 19/02/2025

non-discrimination in implementing PSD2 for safeguarding mechanisms

The PSD2 includes important provisions regarding safeguarding accounts for payment institutions (PIs) and electronic money institutions (EMIs). These accounts shall be additionally protected by the credit institutions providing them so they should be free from seizure and the funds kept at them shall not be considered the property of a PI or an EMI in case of bankruptcy of the safeguarding account holder. These provisions have been transposed into the law of the Republic of Poland effective in December 2018. However, according to the transposition, these safeguarding accounts provide these protections (freedom from seizure and not being considered the property of the bankrupt holder) only to the Polish PIs and Polish EMIs (so called “home” PIs and EMIs).  The law has been so formulated that the safeguarding accounts opened in Poland for the non-Polish (yet EEA-based), properly notified to Poland PIs or EMIs do not enjoy these protections.  Is this the proper transposition of the PSD2 provisions of safeguarding accounts or is this the example of the incorrect transposition resulting in the market discrimination of the PIs and EMIs which are not based in Poland?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7199
  • Topic: Security measures for operational and security risks
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2025

MREL-REPORTING OF THE IMPACT OF GENERAL PRIOR PERMISSION

With regard to the unused amounts of the general prior permission which are to be deducted from the MREL capacity from the moment the authorization is granted by the authority, in terms of MREL-TLAC reporting, the Bank would like to have a confirmation of its interpretation of the instructions on how to report the unused part of the GPP plafond in M01.00 (ANNEX II REPORTING ON THE MINIMUM REQUIREMENT FOR OWN FUNDS AND ELIGIBLE LIABILITIES) . 

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2024_7198
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 25/03/2025

EBA publication on hard test results

Does EBA plan to publish information related to loss rates for immovable property markets in third countries? If yes, when is such a publication to be expected and which third countries will be covered?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7197
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2025

Determination of the amount of eligible receivables from trade debtors as well as fees or commissions receivable within 30 days as liquid assets in accordance with Article 43(3) of the IFR

Should the conditions listed in points a), and c) of Article 43(3) of the IFR be applied in the presented order (a), then c)) or to be complied with on a cumulative basis (a)+c))?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7196
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 10/01/2025

Treatment of leasing residual values under the standardized approach for credit risk

May the ‘’1/t*100%* residual value” formula introduced by CRR article 134.7 for the risk-weighted exposure amounts be applied to all leasing residual values? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7195
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2025