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List of Q&A's

Treatment of multi-seller securitisations in CRR (Significant Risk Transfer)

It is not clear from the provisions of the CRR how to treat multi-originator securitisations regarding the existence of significant risk transfer.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6143
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Association of personalised security credentials to the payment service user

Should strong customer authentication (SCA) elements always be issued under control of the Account service Payment Services Provider (ASPSP)?

  • 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: 2021_6141
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Scope of application of EBA guidelines on loan origination and monitoring

Are sections 4, 5 and 8 of the EBA guidelines on loan origination and monitoring not applicable to agreements referred to in Article 2(2)( h) of Directive 2008/48/EU, while all other parts of the guidelines are still applicable to those agreements?   

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2021_6130
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/01/2022

C 48.02: doubts about ‘daily reporting’: how the amount referred to no business day has to be reported?

I have some doubts about the ‘daily reporting’ in the template C 48.02 as the regulation changed from ‘business days’ to ‘each day of the reporting period’. I would like to know how the amount referred to no business day has to be reported: Banks have to drag the amount of the previous day (for example if the reporting day is Saturday and the bank has not operativity the reporting bank has to drag the amount of Friday ?) even if we notice that this method gives more weight to the pre-holidays in the calculation of the average Banks have to report ‘zero’ for no business days? At consolidated level it could be possible that, for some banks belonging the group , the holidays are not in the same date. The reporting bank has to report for these days only the amount referred to the subsidiary that is operating? Or they have to drag the amount of the previous day of the other omponent of the group that are on holiday in that date?

  • 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: 2021_6128
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Gamma correlations regarding curvature risk in low and high scenario

To calculate the gamma correlation to be used for the curvature risk in the low and high scenarios, should institutions at first square the gamma correlation used for the delta risk and then apply the formulas provided for in Article 325h CRR or vice versa?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6122
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

C34.08 report - define the collaterals considering the both legs of the securities financing transactions (SFTs)

Column 0130 and column 0180 from C34.08 report Composition of collaterals for CCR exposures highlights the information related to the SFT security. In accordance with the requirements provided in Annex II Reporting on own funds and own funds requirements, the institution shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). In this context, considering that the SFTs involve two legs for each transaction and taking into account also the ITS requirements applied for the C34.08 report Composition of collaterals for CCR exposures, how the reporting institutions should treat the cash leg of the transaction? In which column the reporting institutions should populate the cash leg of the transaction?

  • 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: 2021_6121
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/02/2022

C34.08 report - the collaterals which are related to derivatives, long settlement transactions and SFTs and which are not initial or variation margins should be reported in the Initial margin columns

Considering the definition of the initial margin which is provided in CRR, Article 4, paragraph 140, the collaterals posted or received which are related to a SFT transaction / derivative transaction / long settlement transaction and are not initial or variation margin should be reported in the C34.08 report Composition of collaterals for CCR exposures, column 0010 / column 0030 / column 0050 / column 0070 / column 0090 / column 0110 / column 0140 / column 0160 Initial margin?

  • 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: 2021_6118
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C 34.08 - Collaterals with haircuts

Should the fair value of collaterals (posted or received) used in CCR exposures related to derivative transactions, SFTs and long settlement transactions be reported in template C 34.08 after the haircut (volatility, FX) was applied or without considering the haircut?

  • 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: 2021_6117
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Financial Guarantees in templates Z 05.02 / T 12.00

Annex II states that "Major off-balance sheet counterparties shall be identified by summing up the total nominal amount of commitments and financial guarantees received (as defined for the purposes of FINREP, template F 09) by the entity or group entities for which the template is reported from counterparties or group of connected clients".  With regard to financial guarantees received, do all the financial guarantees received where the Institution is the beneficiary of the guarantee (thus including the guarantees that cover bank's assets and not liabilities) have to be reported in template F 09.02? Or should for templates Z 05.02 / T 12.00, only the financial guarantees where the reporting Credit Institution is the counterparty guaranteed (thus covering its liabilities) be considered or, as for F 09.02, also the financial guarantees received where the reporting Credit Institution is the beneficiary (thus covering its assets)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans
  • ID: 2021_6109
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 21/03/2023

Reporting of items deducted from T1 in RWA columns in C43 (Breakdown of LR Measure)

It is not clear from the instructions whether items deducted from T1 should be included in the columns dedicated to RWAs in C43.

  • 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: 2021_6106
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 04/02/2022

Dutch Residential Real Estate Mortgages - covered by NHG - Nationale Hypotheek Garantie - National Mortgage Guarantee - Calculation of RWA within and outside the Netherlands

If a foreign bank, with a Dutch branch, is exempt from applying the rules from the Dutch NCA for the branch, would this not lead unfair competitive advantage?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6105
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Clause of substitution of investor or remarketing for capital or internal MREL

In the context of a bond issued by a subsidiary to the parent company recognized as Own Funds or Eligible Liability, would it be possible to insert a clause of change of control that would allow the parent company, if it is no longer the owner of the subsidiary, to automatically sell the bond to the purchaser of the subsidiary?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6104
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds for NSFR purposes

Does the 85 % required stable funding factor apply to assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds issued directly in the market, as well as to the assets underlying self-issued Covered bonds used as collateral for long term ECB funding or SFT with the market?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6096
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/03/2023

Regular-way purchases under trading date accounting and settlement date accounting

[1] There are guidelines available in C47 for reporting Regular-way purchases under trading date accounting and settlement date accounting. There are no guidelines in C43 or C40 for reporting the same. [2] The cash receivable and cash payable a as reported in C47,  in which rows of C40 and C43 under other assets out of these positions are to be reported? [3]As these assets of cash receivables are also reported as other assets in Row0190 are these not  duplicated in C47?

  • 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: 2021_6095
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Cash pool assets in C 47.00

As per ITS of C47, Cash pool assets are to be reported in C47 Rows 0193 to 0198. [1] As net amount of cash pool asset for the group entity are likely to reported in Row 0190, of C47 as other assets. Is it not double counted to the extent of amount reported in Row0190 with regard cash pool assets? [2] As there is validation (v4456) between C47 Rows 0010 to 0290 = C43 total assets, where are these cash pool assets as reported in C47 are to be reported in C43? [3] Whether Cash pool assets as reported in C47 are also to be reported including positive and negative amounts. [4] Is the scope of prudential netting mentioned under article 429b, applicable only for Leverage ratio or does this prudential netting has some thing to do with prudential report applications like COREP?   

  • 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: 2021_6094
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Securities lent under sale accounting

As per ITS, in line with article 429e (6) of CRR2, The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework are to be reported  Row 230 of C47. [1] For such repurchase transactions under sale accounting, cash received part is to be allocated in Row 0190 of C47? So also in C43 and C40 the same rule applies? In 47, Row 010, securities under sale accounting are not to be reported as they are expected in Row 230 of C47. [2] The same rules apply to C48 with regard to columns of rows in C47 0010 to 0050, which are to be reported in C48.02 in line with ITS. The validation rule v10094_m expects Row0010 |Col0020 >= Row0010|Col0030 Is this possible as only reverse repo leg and add-on are expected in Col0020 are to be higher or equal to the value of  securities lent under sale accounting are to be reported in Col0030?  [3] As per EBA guidelines, where the institution adopts sale accounting of repo, they should reverse such transactions and report in COREP reports including Leverage ratio. It means, except for the change for securities under sale accounting are to reported in Row 230, while the institution which does not adopt sale accounting are to report own securities under Row0190. Except for this change, add-on and other calculations are same. Please confirm. 

  • 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: 2021_6093
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Calculation of own funds requirements for operational risk under BIA

Under the Basic Indicator Approach used to calculate own funds requirements for operational risk, how should the interest revenues from impaired loans be considered in the calculation of the Relevant Indicator (RI), namely, on the gross carrying amount of the loans or on the net amount i.e. after the deduction of the result on specific provisions or impairment losses for interest on impaired loans?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6092
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Validation rules v6423_m, v7267_s, v7268_s, v7270_s, v7271_s, v7272_s, v7273_s and v7275_s

How to deal with negative sums in validation rules v6423_m, v7267_s, v7268_s, v7270_s, v7271_s, v7272_s, v7273_s and v7275_s?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans
  • ID: 2021_6091
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 29/03/2023

Resolution planning reporting (RES), validation rule v09343_a

How should validation rule v09343_a be used?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans
  • ID: 2021_6090
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Intermediate Parent Undertaking

Which authority is competent for allowing institutions to have two IPUs under Article 21b(2) CRD?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6088
  • Topic: Other issues
  • Date of submission: