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Template 1 – Equity instruments

The instructions state “Institutions shall disclose the gross carrying amount, referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of those exposures towards non-financial corporates, including loans and advances, debt securities and equity instruments, classified in the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading or held for sale assets”.In this case, should the definition of equity instruments also include investments in subsidiaries, joint ventures and associates, or should entities consider the definition of accounting portfolios of financial instruments provided by Annex V of FINREP, which specifically excludes investments in subsidiaries, joint ventures and associates?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

New EBA Validation rules taxonomy 3.2 in C.14.00 CR SEC Details v7364_m consistency

The information declared in template C13.01 does not exclude the possibility of holding positions in corporate loans for synthetic senior STS securitisations. However, control v7364_m on template C14.00 restricts the scope of application to SME loan portfolios. Can you change the formula for this control to include corporate portfolios?

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

ESG P3 - Template 1, 5 and 7 disclosure of subsidiaries, joint venture and associates

Does Equity instruments to be reported in Pillar 3 ESG tables include also investment in subsidiaries, joint ventures and associates?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Requirement for loan agents to register as payment service providers under EU's Second Payment Services Directive 2015/2366 ("PSD2").

I would like some clarification on Directive 2015/2366/EU (PSD2) Article 4 paragraphh 22 - Money remittance. If a firm performs administrative services (including but not limited to the calculation of interest/fees and principal owing between lenders and a borrower) and as part of this service is required to regularly transfer money between lenders and a borrower (no fee involved), does this qualify as money remittance? No fees are charged for the transfer of money.

Legal act: Directive 2015/2366/EU (PSD2)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Request for Clarification on Article 28(3) of Regulation (EU) 2022/2554

I am reaching out for clarification regarding a specific provision in the Digital Operational Resilience Act (DORA) – particularly the third paragraph of Article 28. The provision in question stipulates: "As part of their ICT risk management framework, financial entities shall maintain, and keep updated at entity level as well as at sub-consolidated and consolidated levels, a register of information related to all contractual arrangements on the use of ICT services provided by third-party ICT service providers." Similarly, DORA provides in its article 28(2): "The strategy on ICT third-party risk shall include a policy on the use of ICT services supporting critical or important functions provided by ICT third-party service providers and shall apply on an individual basis and, where relevant, on a sub-consolidated and consolidated basis". Overall, how should we understand the phrases “where relevant” and “where applicable” in DORA and its policy products when addressing different levels of entities? we seek your confirmation on whether our client is really obligated to maintain both for its specific entity and at the group level: The register of information related to all contractual arrangements on the use of ICT services provided by third-party ICT service providers. The strategy on ICT third-party risk and (or?) the policy on the use of ICT services supporting critical or important functions. Could you also confirm that whenever the phrases "where relevant" and "where applicable" appear in the presence of corporate group, the latter must each time implement the requirement at the level of the entity, at the sub-consolidated level and at the consolidated level?

Legal act: Regulation (EU) No 2022/2554 (DORA)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Secure corporate payment processes and protocols and inactivity time period

May the period time of inactivity required by the (EU) 2018/389 - RTS on strong customer authentication and secure communication (hereinafter: RTS on SCA & CSC) Article 4 (3) (d) be changed from 5 minutes to 20 minutes if the exemption based on Article 17 of RTS on SCA & CSC has been granted by the competent authority to the Payment service provider?

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

Reconciliation between Additional Liquidity? monitoring tools (ALMM) and FINREP

We have two questions pertaining to cross reporting controls.Pursuant to regulation re (UE) 2022/1994, C67 template (total of section 1 and section 2) shall be equal to the total of financial liabilities declared in FINREP.However, both reportings must be produced at different deadlines:- C67, as a monthly reporting, shall be submitted at the 15th calendar day after the reporting reference date- FINREP, as a quarterly report, shall be submitted 12 May, 11 August, 11 November, and 11 FebruaryThe mismatch between these two dates makes it impossible in practice to comply with the new requirement and align the C67 with the FINREP on the same reference date. It also creates an unduly excessive administrative burden to systematically resubmit the C67 each quarter once the FINREP has been completed.Therefore, we would like to confirm with the EBA that the requirement means that institutions may use the figures of the FINREP of the previous quarter when performing the quarterly production of the ALMM (example: use of the Q3 FINREP data to report the Q4 ALMM)Does C68 statement also need to be reconciled with the FINREP? If yes, with which quarter end should be used as a reference, and which line should be used?

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

Taps on callable Eligible Liabilities

If a subsequent tap of a callable MREL-eligible instrument (Senior preferred or Senior non-preferred instrument) is priced at a spread higher than the secondary market (i.e., the investor buys the new tap below par) in order to align the tap spread to the initial credit spread and the reset spread (following the tightening of the spreads of the initial tranche in the secondary market), would the reset of the margin at the first call date to the initial spread of the original issue be considered an incentive to redeem as per Article 20 of EBA RTS for Own Funds and Eligible Liabilities requirements for institutions? In case of the presence of an incentive to redeem, would this result in a shortening of maturity of eligible liabilities as per Article 72(c)(3) of the CRR for the tap only or for the full instrument (i.e., both the tap and the original instrument?).

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions

Exposures for trades at QCCPs (excluding initial margin and default fund contributions)

Under CRR Article 306/307 only default fund contributions are seperately calculated as an exposure to a CCP. Initial margin would be recognised within the standard exposure calculation per Article 306(3) as such it is unclear how to populate rows 0020 and 0080 seperately particularly as c0010/r0010 is greyed out and therefore no overall accurate exposure value is populatable. The format of the template seems more aligned to the calculation of EAD by the CCP itself for the purposes of calculating KCCP under Article 50b of Regulation 648/2012. This is particularly the case given the expectations set by validation rule v09847_m. Could you please clarify the correct reporting of these rows? Is it correct for example to report the value of initial margin (post any volatility adjustment and alpha) in row 0080/column 0010 and then just subtract the equivalent amount from the overall exposure to the CCP to report the remaining value in row 0020 such that the sum of the two will equal the total EAD to the CCP and maintain consistency with RWA for c0020? Alternatively should the template be resturctured to show only EAD and DFC rows and populate the full EAD as calculated under the CRR including initial margin in row 0020?

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

Disclosure of transactions with zero exposure value

Under Article 274(5) and 273 there are circumstances where transactions may have a zero exposure value e.g. netting sets made up entirely of written options or certain CDS transactions. Should these be reported in the C34.02 with values in columns 0020-0140 and then have c0150 onwards set to 0 (or c0170 onwards?) or should they be disregarded from population of values in any columns as there is no requirement to calculate exposure for these transactions. Similarly should they be included in the same C34.03 columns?

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

Categorisation of indirect exposures to collateral issuers

The guidance for c120 to c170 states "The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’" This example makes intuitive sense for guarantees as the nature of the indirect exposure is based upon the form of the exposure which has been guaranteed and through substitution effect transferred to the guarantor. However should the same logic also apply to exposures secured by collateral where the indirect exposure is based upon a reduction in exposure of the collateral received rather than through a substitution effect to the original type of exposure? For example, if i have a derivative exposure for which i have reduced the original exposure to the client through receipt of a debt instrument as collateral should the indirect exposure arising to the issuer of the collateral be reported in c120 for debt instrument or c140 for derivative?

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

Whether the derogation under Article 500a(2) CRR should also be recognised in Article 395(5) CRR.

Given there is in place the permission under Article 500a(2) CRR specifying higher limits for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, should there in the Article 395(5)(a) CRR be recognised this new value, or should there be used in Article 395(5)(a) CRR the value of the limit specified in Article 395(1) CRR anyway?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of default for open-end investment funds

Should an open-end investment fund be considered an obligor under Art. 178 (1) CRR, irrespective of whether it has legal personality under a Member States’ regulations on investment funds?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Non-retail and term deposits where a flow is expected within 30 calendar days even if the maturity date is after 30 days

What is the treatment of non-retail deposits where the depositor is not allowed to withdraw the deposit or where there’s a significant penalty in case of withdrawal? What is the treatment of non-retail term deposits where an amortizing amount is due and authorized during the LCR period without a significant penalty ? What is the treatment of retail term deposits where an amortizing is due and authorized during the LCR period without a significant penalty ? What is the treatment of deposits on notice where the notice period is greater than 30 days ?

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

Reporting of off-balance sheet exposures (any undrawn purchase commitment) from factoring contracts in F_09.01.1

In case of off-balance sheet exposures from factoring contracts (with or without recourse), who should be considered as the immediate counterparty when reporting these exposures in F 09.01.01?Should these off-balance sheet exposures be reported as loan commitments given or other commitments given?

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

CVA hedges in the calculation of UCS

When calculating Unearned Credit Spread (UCS) is it allowed to include CVA hedges as well?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Applicability of the Guidelines of the Committee of European Banking Supervisors on the management of operational risks in market-related activities (12 October 2010)

Are the Guidelines of the Committee of European Banking Supervisors on the management of operational risks in market-related activities (12 October 2010) still in force and applicable? Is the same legal reasoning used under Question 2020_5340 applicable?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of elligible capital

Can a parent company give a guarantee to investors of new shares in a bank and back it with their own assets? Or can a sister company invest in a bank? Can a bank lend to a company that already holds AT1 instruments of a bank? If so, is there a deduction? What if that company's investment in the bank is not a significant proportion of its portfolio and the bank's failure would not jeopardise the loan? What if the bank lends to a company that will use the loan to buy the bank's planned issue of AT1 instruments, but the loan is backed by high quality collateral?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Deductions from Common Equity Tier 1 items

1. Bank owns usd 20 million worth of 18% ordinary shares of a financial institution Alpha Bank. Alpha Bank has also invested usd 12 million to this bank's CET1 in order to artificially inflate the capital of both banks. When calculating regulatory capital, USD 12 million reciprocal cross-holding was deducted from CET1. Now, when the bank calculates adjustments for investments in the capital of financial entities, should it count the investment in Alpha Bank as 8 million, and even if so, will it be considered a significant investment or an insignificant investment? 2. Bank has a wholly owned subsidiary, Valeria Ltd, which is a non-financial entity. Valeria Ltd holds 100% of the shares of Karina Insurers, which is a financial institution. Should the bank now consider this as a significant investment (here indirect) in a financial institution and make deductions accordingly, or should the bank consider only Valeria Ltd in deductions (alternatively 1250% RW) as a qualifying non-financial holding? If the first option is the correct answer, should it ignore the investment in Valeria Ltd? 3. A bank has 100 million CET1 and 10 million AT1 capital. The bank then invests 50 mln to buy 100% of an insurance company that holds the bank's 10 mln AT1. When recalculating the regulatory capital, the bank deducts 40 mln (50 - 100*10%) from CET1 as an investment in financial sector entities above the 10% threshold. Now, when calculating AT1, should the bank make an adjustment to 10 mln AT1 because it is considered an investment in own capital? If so, how much?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Interpretation of "exposures attributable to a central government" set forth in Article 400 (1)(d) of CRR

In the context of the application of Article 400 (1)(d) of CRR, which sets forth the types of exposures that shall be exempted from the application of Article 395 (1) of CRR, what exposures shall be considered to be attributable to the central government? May a financial institution exempt exposures to state-owned enterprises that i) provide public services, ii) the economic activities of which are subsidized by the state, iii) where the transfer of financial resources is based on legislative arrangements, provided that such exposures - if they were to exist to the central government, that is the entity to which the exposure is attributable, would be assigned a 0 % risk weight under Part Three, Title II, Chapter 2 of CRR? May the application of Article 400(1)(d) be triggered by demonstrating that there is a risk equivalence between exposures to such state-owned enterprises and exposures to central governments?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

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