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List of Q&A's

Missing reporting of Securitization under the Internal Assessment Approach in C14.01 template

Based on ITS instructions, in template C14.01 shall be reported only securitization under the SEC_IRBA, SEC_ERBA, SEC_SA methodology or securitizations weighted according to a RW equal to 1.250%. Is it confirmed that such perimeter doesn’t consider securitizations under the IAA approach, nevertheless such amount is included in CoRep template C13.01?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2020_5549
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/04/2021

Excess collateral held by credit institution that can be contractually called at any times by the counterparty

Do we need to consider all future derivatives inflows or only the future derivatives inflows within the 30-day LCR bucket for the calculation of excess collateral?

  • 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: 2020_5544
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Bill-payment via postal service

Does bill-payment via snail-mail (postal service) fall into the definition of Article 97 1(c) and thus are subject to strong customer authentication (SCA) requirements?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5534
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 06/01/2023

Weighted Average Life calculation for Credit Card Receivables without fixed repayment scheme

Can you provide guidance on how to determine the weighted average life and the residual maturity, of credit card exposures where instalments can vary every month from a minimal amount, mainly covering interest, to the full outstanding balance, fully depending on the preferences of the obligor?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/08 - Guidelines on the STS criteria for ABCP securitisation
  • ID: 2020_5532
  • Topic: Simple Transparent and Standardised securitisation
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Is it correct that, in sheet Z 10.02, the Critical Function ID is not considered as a Key Value?

If the Critical Function ID is not considered as a Key Value, how can we represent the case in which we have a single critical service ID (and a single System identification code) on which there are multiple critical functions impacted?

  • 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: 2020_5529
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2023

Soglia di materialità - Calendar Provisioning - Matheriality threshold - Calendar provisioning

In merito al tema del “Calendar Provisioning” la soglia del 20% stabilita dall’Articolo 47a(3) del Regolamento (EU) No 575/2013 come modificato dal Regolamento 2019/630, sostituisce la soglia di contagio per singolo debitore del 5% attualmente in vigore (e che il 1° gennaio 2021 diventerà dell’1%, vedi Regolamento Delegato (UE) 2018/171)? O si riferisce invece ad altri aspetti? With regard to the subject of ‘calendar provisioning’ is the 20% threshold set in Article 47a(3) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 to be considered to replace the contagion threshold for individual debtors of 5% currently in force (and which will become 1% on 1 January 2021 – see Delegated Regulation (EU) 2018/171)? Or does it refer to other aspects?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2020_5528
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Control of high-quality liquid assets

Does Article 8(3) LCR DR allow for a setup where certain liquidity management services such as the monetisation of high-quality liquid assets are outsourced to an external party, i.e., outside the reporting credit institution?

  • 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: 2020_5523
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Treatment of third country covered bonds under IRB Approach

Which LGD should be applied for third country covered bonds (issued under a dedicated legal framework) which are not eligible for the same LGD as UCITS 52(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5522
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

LCR treatment of maturing securities issued by the reporting credit institution

What is the LCR treatment of maturing securities issued by the reporting credit institution where these securities are treated as deposits for the purpose of accounting?

  • 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: 2020_5518
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Calculation of specific risk own funds requirement for hedges by credit derivatives under Article 346 (4) CRR

Would be applicable the 80% offset stated in article 346(4) for the calculation of the specific risk own funds requirement of a hedged bond by an standardised credit derivative traded in a recognised exchange in case the maturity of the credit derivative is equal or higher to the bond maturity due to the standarization of the derivative.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5517
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2022

Perform SCA by reusing an element used in an authentication exempted from SCA

When an element is used to access the payment account online, in the case the Payment Service Provider (PSP) is allowed not to apply Strong Customer Authentication (SCA) (only applying a single-factor authentication : login + password), is it possible to reuse this element to perform SCA to authenticate a transaction ?

  • 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: 2020_5516
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 15/01/2021

Determination of a default risk-free discount factor

From what interest rates does an institution have to derive a default risk-free discount factor as referred to in Article 132c (2) CRR, as amended by Regulation (EU) 2019/876 – CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5515
  • Topic: Credit risk
  • Date of submission:

EBA/ITS/2020/05 - COREP 35.03, p.72, EBA analysis

If an exposure shall be reported for more than 12 months in template 35.03, would the advantageous coverage factor according to Art. 47c (6) be applied for more than 12 months?

  • 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: 2020_5510
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 19/03/2021

EBA/ITS/2020/05 - COREP-Template 35.03

We kindly ask for clarification which exposures shall be reported in template C 35.03. Do we interpret correctly that only those exposures shall be reported which fulfill the following conditions (of Art. 47c (6)): a) only one forbearance measure was granted after the classification as non-performing of the account b) this first forbearance measure was granted during the 2nd year of classification as non-performing if related to the unsecured part of the exposure/account c) this first forbearance measure was granted during the 3 - 6 year of classification as non-performing if related to the secured part of the exposure/account d) the (first) forbearance measure was granted during the last 12 months

  • 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: 2020_5509
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 19/03/2021

Reporting of margins in C34.02 and in C34.08 under OEM and simplified SA-CCR methods

According to dpm3.0 in the current version, collateral that was taken into account in the calculation of the CCR exposure, must be shown in form C34.02 in columns 0060-0090. The columns 0060-0090 are grayed out for OEM. These margins are to be shown in more detail in form C34.08. The question: within the scope of the calculations according to Art. 282 (OEM) and Art. 281 (simplified SA-CCR), the margins are covered in the formula of replacement costs (RC = TH + MTA). The margins therefore generally have no direct impact on the calculated assessment basis. That is why the margins are not to be reported: - in columns 0060-0090 of form 34.02 for simpl. SA-CCR analogous to OEM and - in form 34.08 for both methods (simplified SA-CCR and OEM). Is this assumption correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2020_5508
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 19/03/2021

Clarification of meanings 'transferring of funds' and 'another payment service provider’ in the context of article 10(1)(a) of PSD2

1) How to understand the meaning 'another payment service provider', specified in Article 10(1)(a) of PSD2? What is the definition of this meaning in the context of Article 10(1)(a) of PSD2? 2) How to understand the meaning ‘transferred to another payment service provider’, specified in Article 10(1)(a) of PSD2? In particular, is it possible to consider as 'transferred to another payment service provider' transferring of funds (which have been received by Payment service provider No. 1 from the payment service users or through another payment service provider for the execution of payment transactions) on payment account of the payment service provider No. 1, that is opened with Payment service provider No. 2? On what legal basis the transfer of funds must take place in order to be considered 'transferred to another payment service provider'?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5502
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 06/01/2023

Benificial Owner in chain of controlle constilations involving nominee shareholders

Request for interpretation of EU law Identifying the beneficial owners in a control chain of enterprises that involves nominee shareholders as part of the control.

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5500
  • Topic: Customer Due Diligence
  • Date of submission:

Payers right to make use of payment initiation service providers for all types of payment transactions

Shall payers be able to make use of payment initiation service providers for transmitting all types of credit-transfer based online payment orders from their payment accounts?

  • 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: 2020_5498
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 17/12/2021

FINREP Loan commitments, financial guarantees and other commitments given

What should be reported in columns 0100 and 0110 for “Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4” for loan commitments given?

  • 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: 2020_5495
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 19/03/2021

Mandatory substitution approach according to Article 403 CRR when applying either the Financial Collateral Comprehensive Method (FCCM) or, in the case of securities financing transactions (SFTs) the Internal Model Method (IMM) or master netting agreements to calculate the exposure value.

Question 1: Has the mandatory substitution approach according to Article 403 CRR to be applied when an institution uses the FCCM? If yes, what is the amount that the institution shall assign to the protection provider/collateral issuer? Question 2: In the case of exposures arising from SFTs referred to in Article 401(2) second paragraph CRR, has the mandatory substitution approach according to Article 403 CRR to be applied when an institution applies master netting agreements, together with either the FCCM or IMM as referred to in Articles 220 CRR and 221 CRR? If yes, what is the exposure amount that shall be assigned to the collateral issuer? Question 3: Also regarding exposures arising from SFTs, has the mandatory substitution approach according to Article 403 CRR to be applied when an institution applies IMM as referred to in Section 6 of Chapter 6 of Title II of Part Three CRR? If yes, what is the exposure amount that shall be assigned to the collateral issuer? Question 4: Does an institution have to use a credit risk mitigation technique for large exposure purposes when it has used it for calculating own funds requirements, or can an institution renounce, for large exposure purposes, applying a credit risk mitigation that it has used for calculating own funds requirements? Question 5: Does an institution also have to apply the substitution approach, for large exposure purposes, in those cases where the collateral is not taken into account for calculating own funds requirements?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5496
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 21/01/2022