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List of Q&A's

Encumbrance duration of reverse repo in NSFR when the received collateral has been sold short

When the received collateral through a reverse repo has been sold outright, what should the encumbrance duration for the reverse repo be?

  • 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_6345
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 20/01/2023

language versions

In case of discrepancies between text of English version of EBA Guidelines on outsourcing arrangements and its other language versions published on EBA website, which version should prevail - English or local one?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/02 - Guidelines on outsourcing arrangements
  • ID: 2022_6344
  • Topic: Internal governance
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

See previous question Bank of Lithuania, question 2020_5463

See Question 2020_5463 which was submitted on 24/08/2020. Could you please let me know the timing of answering this question?

  • Legal act: Regulation (EU) 2015/847 (WTR) (recast)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6343
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 08/02/2023

Amount of holdings to be reported (CA4)

Regarding the reporting of Direct indirect and synthetic holdings by the institution of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments of financial sector entities in template C 04.00 (CA4), it is not clear whether the full holding amount is to be reported in template C 04.00 (CA4), rows 0230 to 0643, or only the deduction amount.   This question applies both where the reporting institution's holdings are above the threshold limit and where they are within threshold limit: Is full holding amount to be reported?

  • 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_6342
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

LCR treatment of deposits placed with other credit institutions

What is the LCR treatment of deposits placed with other credit institutions where the depositing credit institution neither reconciles with the deposit-receiving institution nor further examines the nature of the deposit?

  • 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_6341
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Documentation language - Do IRB documentation need to be in English?

Does IRB documentation need to be in English? Is there any official guideline on what documentation is acceptable in non-English language?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6340
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Article 28(1) of Regulation (EU) 2015/61 on LCR

Can You please explain, what is meant by "Those deposits shall be reported in two different rows depending on whether or not the entire amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme)" described in COMMISSION IMPLEMENTING REGULATION (EU) 2021/451, Annex XXV, part 2 (Outflows), rows 0240-0260. Could you give an example?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6339
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Aggregation of retail deposits for checking the criteria for "retail deposits subject to higher outflow rates"

If a natural person has an account at the bank as a natural person and, at the same time, he/she is an owner of a legal entity, which qualifies as an SME, and also has a separate business account at the same bank as a legal entity, shall the accounts of both the natural person and the legal entity aggregated when checking the total deposit balance against the threshold of EUR 500 000? If yes, what shall be the level of legal entity ownership (e.g. 100%, more than 50%, etc.) in order to combine the natural person and the legal entity?

  • 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_6338
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Adequacy of the validation rule v10684_m - Instruments not at FVPL

v10684_m foresees a reconciliation between F 12.01 and F 02.01 in respect of gains/losses from financial instruments not at FVPL. Why is this validation rule expected to work, considering that (a) it encompasses debt instruments at amortized cost, which are identified as purchased or originated credit impaired assets (POCI) or are attributable to Stage 3 at the date of de-recognition and (b) it encompasses debt instruments at fair value through other comprehensive income?

  • 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_6337
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Definition of electronic money

Does the wording “accepted by a natural or legal person other than the electronic money issuer” in the definition of electronic money (article 2.2) imply that a third party (payee) must become the holder of the electronic money as such and thus that there must be a direct contractual arrangement between the e-money issuer and all payees (obligating the payees to accept the issued e-money as a means of payment and granting the payees a right of redemption of the e-money)?  or should the criterion that a third party must “accept the electronically stored monetary value” be considered to be met where a third party payee accepts our customer’s payment with a card that is backed by the customer’s e-money (as per the description above), regardless of the fact that the payee will not become a holder of the issued e-money as such?

  • Legal act: Directive 2009/110/EC (EMD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6336
  • Topic: Not applicable
  • Date of submission:

Definition of small and non-complex institutions and its applicability to SSM significant institutions

Does an institution that has been determined by the ECB as being significant within the meaning of Art. 6 (4) SSM Regulation* due to its membership to a group of significant institutions according to Art. 40 (2) of SSM Framework Regulation** qualify as small and non-complex institution as provided by Art. 4 no. 1 (145) of Regulation 575/2013? *Council Regulation (EU) No. 1024/2013 conferring specific tasks on the ECB concerning policies related to the prudential supervision of credit institutions ** Regulation (EU) No. 468/2014 of the ECB establishing the framework for cooperation within the Single Supervisory Mechanism between the ECB and national competent authorities and with national designated authorities (ECB/2014/17)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6335
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

NSFR - Reporting of certain committed facilities in C 80.00

  Should committed facilities (Annex XII, C 80.00, r1060), the residual contractual maturity of which is equal or longer than six months, but which can be drawn down at any time regardless of their (residual) contractual maturity, be reported in column 0010?

  • 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_6334
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

wrong column in general remarks 3.3.6.1 / 84

Does columns references are correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6333
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

missing articles accordance into columns 0010 instructions

Does institutions shall use the exposure value before CRM in accordance with only the Article 166 CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6332
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

Collateral swaps with underlying collateral baskets

How to create combinations for collateral swaps with underlying collateral baskets for a special case where no asset left for one leg? Please see more details with the example. 

  • 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_6331
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 20/01/2023

Reuse of collateral in a repo transaction with collateral substitution rights

Can a bank record an inflow for a reverse repo with a residual maturity of up to 30 days under the LCR, where collateral is being funded in a repo with a residual maturity of more than 30 days, where collateral is allocated on an automated basis and managed by a third party (ie triparty repo), and where the repo has automatic rights of substitution for collateral of the same or better HQLA classification?

  • 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_6330
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Recording of necessary documentation in relation to the disbursement of the loan

In relation to  46 of the EBA Guidelines on loan origination and monitoring, what is expected in relation to the 'recording of necessary documentation in relation to the disbursement of the loan', specifically in relation to adherence to the institutions' obligations towards AML/CTF requirements?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2022_6329
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

How shall open maturity repos be reported in C 81.00 and with which ASF factor ?

It is not totally clear what the term 'unless otherwise specified' in Article 428k of Regulation (EU) No 575/2013 CRR, as amended by Regulation (EU) 2019/876, means for an open repo. Does the use of the term 'unless otherwise specified' in the sentence 'unless otherwise specified in Articles 428l to 428o, all liabilities without a stated maturity, including short positions and open maturity positions, shall be subject to a 0 % available stable funding factor' mean that an ASF factor corresponding to the type of counterparty must be applied as per the article 428l to 428o CRR first?  One answer is to allocate to the open maturity repo an ASF factor based on the counterparty as for the other kind of liabilities, thus 50% for non financial counterparties and 0% else, considering the open maturity repos are in the first bucket 0-6 months. An alternative is that articles 428l to 428o CRR are only valid for deals with a maturity and thus the ASF factor should be 0% whatever the type of counterparty.  About the reporting C 81.00, in the first case, the proposal is to report the open repo with other liabilities of the same counterparty type, thus potentially in section 2.3 for non-financial customers or section 2.5 for financial ones to keep coherence on the ASF factors. For the alternative, the open repos must be reported in 2.9.4 as specified in the ITS. 

  • 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_6328
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

CCF used for commitment performance bond

Which CCF must be applied to the undrawn/unissued amount if there is a commitment to a performance bond facility?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6327
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/09/2022

C 14.00 - Column 0222: % of retail exposures in IRB pools

Is Column 0222 in C 14.00 (% of retail exposures in IRB pools) supposed to be reported for all securitisation positions?

  • 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_6324
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023