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List of Q&A's

Deals agreed but not yet settled

1) When we issue a securitiy to raise funding, between Trade date and Value date (ie: 2 days period)  we expect money to be received from the counterparty for the security purchase. Can it be considered as an inflow in the LCR, as cash will be recived in 2 days?  2) When we make a money market borrowing, between Trade date and Value date (ie: 3 days period)  we expect money to be received from the counterparty for the deposit. Can it be considered as an inflow in the LCR, as cash will be recived in 3 days?  If we are allowed to apply this approach, shall we apply the same approach for money market loans before settlement date (outflows as cash will be delivered to counterparty).  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6596
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Validation rule v5697_s

The check v5697_s doesn’t seems to be relevant in the case where gross carrying amount only result from the cumulative change in fair value of hedged items where hedged items are loan comitment given. If the cumulative change in fair value of hedged commitment is negative, the gross carrying amount to report is negative and the check v5697 can't be respected. Is it possible to desactived the check v5697_s  ?   [IFRS9 6.5.8] where a hedge item is an unrecognised firm committment (or a component thereof), the cumulative change in fair value of the hedged item subsequent to it designation is recognised as an asset or liability with a corresponding gain or loss recognised in profit or loss.   [IFRS9 6.5.9], When a hedged item in a fair value hedge is a firm commitment (or a component thereof) to acquire an asset or assume a liability, the initial carrying amount of the asset or the liability that results from the entity meeting the firm commitment is adjusted to include the cumulative change in the fair value of the hedged item that was recognised in the statement of financial position.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2022_6595
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Establishment of a resolution college

Is a resolution college to be established pursuant to Article 88 for a group consisting of a bank which is a resolution entity in a member state, the bank’s significant branches in other Member States, the bank’s subsidiaries (credit institutions) in the Member State where the bank is domiciled and the bank’s subsidiaries (credit institutions) in third countries?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6594
  • Topic: Cross-border resolution
  • Date of submission:
  • Published as final Q&A: 20/01/2023

C08.07 / CR6-A: Contradictory instructions on inclusion of CCR into reporting and disclosure template

Shall counterparty credit risk exposures be included included in or excluded from CoRep reporting template C08.07?

  • 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_6593
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

EBA validation rule v5842_h for entities using BIA for OP risk

Is this validation rule correct for the entities using BIA for operational risk, as they only report totals and do not have what to report in business lines?

  • 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_6592
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Scope of CCP liabilities in Article 44(2)f

What is included under 'CCP liabilities' in Article 44(2)f. Does this include liabilities from trade exposure as defined in art 4(1)91 of the CRR (‘trade exposure’ means a current exposure, including a variation margin due to the clearing member but not yet received, and any potential future exposure of a clearing member or a client, to a CCP arising from contracts and transactions listed in points (a), (b) and (c) of Article 301(1), as well as initial margin)? Does this include posted initial margin, or default fund contribution.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6591
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Scope of temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic

Do exposures to “central governments, regional governments, local authorities and public sector entities” referred to in article 468 (1) of the CRR should be identified before or after applying credit risk mitigation techniques?Do exposures to “central governments, regional governments, local authorities and public sector entities” referred to in article 468 (1) of the CRR should be identified before or after applying credit risk mitigation techniques?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6590
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

MREL determination and resolution plan updating in a group where parent entity is on simplified obligations while the subsidiary does not

In case of a group where the parent  entity applies simplified obligations (according to which the resolution plan is updated every 2 years) while the subsidiary does not apply simplified obligations, how is the joint decision (on the resolution plan and also on MREL) taken?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges
  • ID: 2022_6589
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

Determining MREL for entities of a group for which resolution plan provides that liquidation is credible and feasible

Where liquidation is credible and feasible either for the parent entity or for all of the entities of a group what is the legal basis for determining and reaching a joint decision on MREL?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges
  • ID: 2022_6587
  • Topic: MREL
  • Date of submission:

v7371_m and v7372_m

Validation rule v7371_m is defined as follows: xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140} Validation rule v7372_m is defined as follows: sum({C 14.01, c0310, (sNNN)}) <= {C 14.00, c0230} These validation rules do not satisfy the reporting guidance provided in Regulation (EU) No 2021/451.  Are they correctly defined?

  • 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_6586
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Treatment of reversal features in cash pooling arrangements

Is a reversal of the daily transfer from the original accounts to the target account, as contractually agreed with the customer, at the next business day compliant with the requirements for net reporting of cash pooling arrangements as set out in Article 429b (2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6585
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Consistency in the treatment of multiple defaults

On 18/3/2022 the Final Draft Regulatory Technical Standards EBA/RTS/2016/03 were published in the Official Journal of the European Union and became legal regulations that take precedence over technical documents (Delegated Regulation (UE) 2022/439). In the light of that, should Banks adopt the same approach for treatment of multiple defaults (so-called symmetrical approach) consistently for all parameters (PD, CCF, LGD) in line with Art. 49 of the aforementioned Commission Delegated Regulation?

  • 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_6584
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Validation rule v6332_m

The validation rule v6332_m for the COREP template C 32.01 - PRUVAL1 - in framework release 3.2.0 is defined as follows: {c0090} <= {c0080}. It is applicable for the rows:  (0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0142;0143;0150;0160;0170;0180;0190;0210;0220;0230). Is this validation rule correctly set that row 0120 is included in the selection of the rows applied?   

  • 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_6583
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C 14.00, columns 0302 and 0303

C 14.00: When is a tranche considered to be sold and must be reported in columns 0302 and 0303?

  • 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_6582
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

PRUVAL - Matching Total fair values liabilities with FINREP

Should the validation Rule v6566_s check the sign of row 0150 (1.2 TOTAL FAIR-VALUED LIABILITIES) of template C 32.01?

  • 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_6581
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Prudential filters to the fair value reserves associated to Cash Flow Hedge

Does the prudential filter established in CRR Article 33(1) apply only to unrealised capital gains and losses?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6580
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

Pillar 3 disclosures prepared from FINREP reporting

In which column in the table EU CR1 should be included purchased or originated credit-impaired financial assets?      

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR
  • ID: 2022_6579
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 don't allow negative values.

Is there a reason for validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 to restrict the population to positive values?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2022_6578
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Determination of own funds requirements for convexity risk ('gamma risk'), according to the Delta plus approach, for options positions in Exchange traded funds with multiple sector components

How should the own funds requirement for convexity risk ('gamma risk') be calculated, for options positions on Exchange traded funds, when the component of the fund are from across several sectors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6577
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022