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List of Q&A's

Article 444f in CRR and ITS on public disclosures are not consistent with the mapping tool for the key metric LCR in KM1

It is clear in article 447f in CRR and in the ITS on public disclosures by institutions under Part Eight of Regulation (EU) N0 575/2013 (annex II) that average LCR should be reported in KM1 (as well as average of liquidity buffer, outflows and inflows). However, in the mapping tool the references to the LCR numbers in KM1 are to LCR numbers in templates C72, C73, C74 and C76, which are the templates where the regular LCR is reported.  The weighted average numbers for LCR are found in template LIQ1. So what is correct and what should be reported in KM1?

  • 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: 2024_7092
  • Topic: Transparency and Pillar 3
  • Date of submission:

Legal persons to whom the requirement to comply with reporting requirements under Article 54 of the IFR on a consolidated basis applies.

In case Article 7(1) of the IFR applies, does the requirement to comply with the reporting requirements under Article 54 of the IFR rest exclusively on either a Union parent investment firm, Union parent investment holding company or Union parent mixed financial holding company?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/2284 - ITS on Reporting
  • ID: 2024_7091
  • Topic: K-factor requirements
  • Date of submission:

Specification and operationalisation of the phrase "at all times"

How is the wording in Article 92 (1) CRR to be understood with regard to compliance with own funds requirements “at all times” in terms of verifiability?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7086
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 05/06/2024

List of IEA Sectors in Column a vs List of IEA Sectors in the EBA3.3 Annotated Table Layout for ESG

Based on the Excel version of Template 3 (Annex XXXIX), there are 8 sectors explicitly listed in column a (Sector / IEA Sector): Power Fossil fuel combustion Automative Aviation Maritime transport Cement, clinker and lime production Iron and steel, coke, and metal ore production Chemicals And referring to the ITS Annex XL - Instructions for disclosure of ESG risks - Paragraph 19(a), it also mentions that there are 8 mandatory minimum set of sectors: 19. Institutions shall disclose in this template: a. Columns a and b: these columns include the sectors (IEA sectors in column a) under which rows 1-8 lists the mandatory minimum set of sectors, and ..... However, in the "Annotated Table Layout 330-P1-ESG 3.3.xlsx" and in the data dictionary / DPM, downloaded from EBA's website, there are only 7 values mentioned for the IEA sector -  The <Key value> (combination of all <Key value> columns when more than one) must uniquely specify each row. Value restricted to subset [CT55]: (CT:x83) Carbon intensive firms (CT:x84) 1. Power (CT:x85) 2. Fossil fuel combustion (CT:x86) 3. Automotive (CT:x87) 4. Aviation (CT:x88) 5. Maritime transport (CT:x89) 6. Cement, clinker and lime production (CT:x90) 7. Iron and steel, coke, and metal ore production   The IEA Sector named "Chemicals" is not included in the EBA 3.3 list of values. Will either the Excel version and ITS be updated to remove "Chemicals" from the list of mandatory minimum set of sectors or the "Annotated Table Layout for ESG" be updated to include "Chemicals"?  

  • 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_7085
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 26/07/2024

Template 5 - Reporting of gross carrying amount of exposures sensitive to chronic, acute, chronic and acute climate change events

In Template 5, should the gross carrying amount of exposures in column j (of which exposures sensitive to impact from both from chronic and acute climate change events) be reported also in column h (Of which exposures sensitive to impact from chronic climate change events) and column i (Of which exposures sensitive to impact from acute climate change events) or is the gross carrying amount of exposures reported in these 3 columns mutually exclusive?  

  • 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_7080
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 26/07/2024

Interpretation of ‘ The degree of correlation between the value of the assets relied upon for protection and the credit quality of the obligor shall not be too high.’

In Article 194, Quote Institutions may recognise funded credit protection in the calculation of the effect of credit risk mitigation only where the lending institution has the right to liquidate or retain, in a timely manner, the assets from which the protection derives in the event of the default, insolvency or bankruptcy — or other credit event set out in the transaction documentation — of the obligor and, where applicable, of the custodian holding the collateral. The degree of correlation between the value of the assets relied upon for protection and the credit quality of the obligor shall not be too high. Unquote My question is about the aforementioned correlation. If a obligor’s major asset is a very valuable mine asset, and the mine asset is collateralized by a bank as security for a loan, is it eligible for the bank to consider the value of the mine asset for calculating the ‘risk-weighted asset’? The value of the mine asset is valued by independent & renowned evalution agency and it meets with all other regulatory requirements for eligible collateral.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/09 - Guidelines on corrections to modified duration for debt instruments under Article 340(3) CRR
  • ID: 2024_7079
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/06/2024

Trading desk requirements for Standardized approach perimeter

Could you please confirm whether all desks in the prudential perimeter, independently from the internal model or standardized approach, should respect the requirements for trading desks reported in Article 104b and other provisions for trading desks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7076
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 28/05/2024

Trading and Banking book positions within a Trading desk

Could an A-IMA eligible Trading desk have trading and banking book positions segregated in different portfolios within the same desk, given that non-trading book positions are carve-out from A-IMA calculations?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7075
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 28/05/2024

Classification of Repo Transaction

How can internal repo transactions be managed in the calculation of the regulatory capital requirement in the A-IMA trading desk? Can these transactions be carved out from the scope of regulatory capital requirement of the A-IMA trading desk? Does the regulation prescribe that the funding in repos should be allocated to the trading/banking book accordingly to the funding strategy purpose? (if the funding is for banking book positions, the repos are non-trading instruments, if the funding is for trading book strategy the repos are trading book instruments). Is it possible to have different prudential classification of internal repos and external repo transactions on the market?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7074
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 28/05/2024

Treatment of two-leg derivatives with respect to rate type and currency

What is the expected representation for two-legs derivatives in the templates "BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)" and REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)?

  • 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: 2024_7073
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:

Reporting Requirements per type of institution

Are small and non-complex/other institutions required to use the simplified set of templates, or can they use the Large format if they already have to produce it, for example, for their holding/parent company?

  • 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: 2024_7072
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/05/2024

Prudential Classification of Repo Transaction

What treatment for market risk capital requirement should be adopted for repos included in an A-IMA trading desk where those repos are used for funding of trading positions and valued at accrual and thus excluded from the regulatory trading book, following Basel Committee’s provision?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7071
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 28/05/2024

Validation rules of templates F 24.01 and F 24.02 specifically EGDQ_0665, EGDG_0666, XBRL v8035_m and XBRL v8052_m. These validations impose that the closing figures of the prior financial year end should tally with the opening figures of the current reporting quarter without allowing for reclassifications or changes of the counterparties’ reporting criteria segregated in F 24.01 and F 24.02, namely collateral type, and SME criteria.

For accounts which do not have a change in non-performing status, how are changes in collateral and/or SME status of the counterparty are to be reported in F 24.01 and F 24.02, since validation rules of templates F 24.01 and F 24.02, specifically EGDQ_0665, EGDG_0666, XBRL v8035_m and XBRL v8052_m, cannot all be complied with simultaneously when such changes occur after the previous financial year end?

  • 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: 2024_7070
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2024

Provision of external payroll accounting services to an employer

Does the activity of external payroll processing for an employer constitute a payment service under PSD2, if it consists of receiving funds for wages and related deductions (taxes, health and social insurance) in the payroll processor’s payment account from the employer, and transferring these to employees, tax authorities, insurance companies etc.? Would the answer change depending on whether the payroll processor  maintains an account separately for each employer?   

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7065
  • Topic: Authorisation and registration
  • Date of submission:

Unrated short term claim/exposure

As per CRR Article 120(para 3, subpara c), it states: "If there is a short-term assessment and such an assessment determines a less favourable risk weight than the use of the general preferential treatment for short-term exposures, as specified in paragraph 2, then the general preferential treatment for short-term exposures shall not be used and all unrated short-term claims shall be assigned the same risk weight as that applied by the specific short-term assessment." Question: 1. Is the term claim and exposure used interchangeably and mean the same?                   2. What is meant by unrated short term claim in this paragraph? If there is a general issuer rating available for the counterparty, but no issue specific rating for the exposure to the counterparty, will the exposures with residual maturity of less than 3 months be classed as Unrated and not eligible for preferential risk weight treatment as per CRR Article 120 (2)?                   3. Also, for ex- if the bank has trading book exposure to this institution for exposure less than 3 months. But this institution has issued short term debt, but the bank has no exposure to it, in that case which rating will be used to risk weight the exposure in the trading book. Will it be the issuer rating or short term debt rating the institution has issued which the bank has no exposure?

  • 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_7064
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/06/2024

Template 2 – Total gross carrying amount reported in column A

Should column a be equal to sum (columns b to g + o)*(1- column p) as per XBRL validation rule?

  • 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_7063
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 28/06/2024

Template 5 – Total gross carrying amount reported in column B

Which gross carrying amount should be reported in column b? Should it be the total of the exposures by sector as reported in Template 1 or should it be the total of columns c to f?

  • 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_7062
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 28/06/2024

Definition of 'explicit guarantee arrangements' for the purpose of classification of non-commercial undertakings as public sector entities

What conditions should be met by a given agreement in order to qualify as an 'explicit guarantee arrangement'? Shall the ‘explicit guarantee arrangements’ for the purpose of definition of public sector entities also be ‘guarantees’ eligible as unfunded credit protection or not? How much should the guarantee cover?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7061
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/06/2024

Fair-valued assets and liabilities excluded because of partial impact on CET1 – Prudential Filters

Template C32.01 Prudent valuation. Fair-Valued assets and liabilities requires the Prudential filters Fair-valued assets and liabilities excluded because of partial impact on CET1 (col 0050) to be reported in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 of Regulation (EU) No 575/2013. Since Articles 467 and 468 of Regulation (EU) No 575/2013 are related to COVID transitional fix items, should the institution report 0 in this column until the guidance is updated?   Additionally, validation v6566 related to this template, states that values reported for Fair-valued assets and liabilities excluded because of partial impact on CET1 – Prudential Filters (c0050) have to be equal to or higher than 0. Could you please confirm if this validation is applicable in all the contra liability balances?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7059
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/07/2024

Level of application of permissions for consolidated netting

How should the term 'consolidated basis' be read in Article 325b CRR? Should permissions in accordance with that article be granted only to the highest EU consolidating entity or is it possible to grant these permissions also to several EU sub-consolidating entities? If it is possible to apply this requirement also on a sub-consolidated basis, should the offsetting of the positions only refer to undertakings included in such an entity’s sub-consolidated group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7058
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 21/06/2024