List of Q&As

Variation margin in respect of covered options

Whether Seller and Buyer need to comply with daily variation margin exchange in case of a "covered options" where Buyer is holding the independent amount transferred by Seller via title transfer arrangement in the form and in the amount of securities on which Option was sold?

Legal act: Regulation (EU) No 648/2012 (EMIR) - only RTS 2016/2251

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2251 - RTS on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)

ID: 2019_4944| Topic: Market infrastructures| Date of submission: 11/10/2019

Variation margin and mitigation via independent amount

Can the prime broker (acting as counterparty to the OTC derivative transaction) manage/regulate the amount of Variation Margin in respect of such transactions with its client by requiring the client to keep certain amount as ‘independent amount’ on the client’s account with the prime broker provided that prime broker has the right to adjust such Independent Amount on daily basis? In the situation when the client has exposure to the prime broker but elects not to move the money (in the amount of such exposure) from the prime broker’s account to its (client’s) account (i.e. forgoes the transfer), can variation margin requirement be suspended in such case? What would need to be put in place to ensure regulatory compliancy?

Legal act: Regulation (EU) No 648/2012 (EMIR) - only RTS 2016/2251

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2251 - RTS on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)

ID: 2019_4773| Topic: Market infrastructures| Date of submission: 10/06/2019

Variation margin in respect of covered options

1) Do Seller and Buyer still need to perform daily variation margin exchange even if such exchange is superfluous?2) Are there any exemptions which could be interpreted to apply to this situation?

Legal act: Regulation (EU) No 648/2012 (EMIR) - only RTS 2016/2251

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2251 - RTS on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)

ID: 2019_4772| Topic: Market infrastructures| Date of submission: 10/06/2019

Paragraph 1 of art. 29 of Commission Delegated Regulation (EU) No 2016/2251

Pursuant to paragraph 1 of art. 29 of Commission Delegated Regulation 2016/2251, does the initial margin thresholds stated therein apply on an individual basis (i.e., at each counterparty ‘s level) or on a consolidated basis (i.e., all the in-scope entities belonging to a same group would have to allocate between them the initial margin threshold vis-à-vis its counterparty or other counterparties of the same group, as applicable)? Please note this question was initially submitted to ESMA in January 2018. In January 2019, ESMA replied noting that, as Commission Delegation Regulation 2016/2251 is a joint mandate for the three European Supervisory Authorities, this particular question should be addressed to the European Banking Authority.

Legal act: Regulation (EU) No 648/2012 (EMIR) - only RTS 2016/2251

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2251 - RTS on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)

ID: 2019_4478| Topic: Market infrastructures| Date of submission: 23/01/2019

Application of monetary agreements on PSD2

Do the following monetary agreements apply with regard to some of the provisions of PSD2, namely Art. 2(2-4) and Art. 28 - 29?Monetary agreement between the European Union and the Vatican City State (Art. 8 and Annex), available at https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:22010A0204(01)&from=CS;Monetary agreement between the European Union and the Principality of Andorra (Art. 8 and Annex), available at https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:22011A1217(01)&from=CS;Monetary agreement between the European Union and the Republic of San Marino (Art. 8 and Annex), available at https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:22012A0426(01)&from=CS;Monetary agreement between the European Union and the Principality of Monaco (Art. 9 and Annex), available at https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:22012A1013(01)&from=CS.

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5218| Topic: Other issues| Date of submission: 23/04/2020

Authentication code definition

There is no explicit definition of "Authentication code" in either PSD2 or RTS on PSD2. In terms of purpose of use, is there any other definition of "Authentication code" other than means for client authentication before the issuer of its payment instrument?

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_5145| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 27/02/2020

Assignment of rights under direct debit mandates

Please advise whether: 1. Article 64 of PSD2 in itself should not be construed to prevent any assignment of (i) all its rights under a contract, including the right to any future, recurring receivables against the payer, and (ii) the direct debit mandates for the payee to initiate the execution of these payment transactions, with the effect that any change in the payee (e.g. as a result of an assignment of the underlying, future, recurring receivables) will require the assignee to obtain a new separate direct debit consent to initiate the execution of the payment transaction from the payer; and2. If the laws of each EEA Member State are prohibited from introducing such a restriction given that Article 64 expresses total harmonisation, see Article 107(1) of PSD2.

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5113| Topic: Other issues| Date of submission: 07/02/2020

EMV cards without ODA (SDA, DDA, CDA)

Question 1: Is it PSD2-SCA compliant to issue EMV cards without Offline Data Authentication (ODA)?Question 2: Is signature as Cardholder-verification-method PSD2-SCA compliant?

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_5111| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 06/02/2020

Contactless transaction

Is Contactless transaction (i.e. near field communication (NFC) tap) + Offline PIN consider as strong customer authentication (SCA) compliant? Is it considered as one of the two-factors for authentication?

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_5105| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 29/01/2020

Use of the exemption under Article 18

How to certificate the use of the exemption under Article 18 of the RTS

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: 2019_5025| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 04/12/2019

Mandatory LoA4 processes for binding and issuing credentials

As the processes for binding and issuing credentials currently in use fulfill LoA2 (LoA definition based on ISO/IEC 29115) only, how should the binding and issuing processes be designed to be LoA4 compliant fulfilling directive EU 2018/389 article 24 and GDPR requirements?

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: 2019_4741| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 24/05/2019

Beneficiary's consent on payment order cancellation

Does the requirement regarding the beneficiary's consent stipulated on paragraph 5 have to be explicit ? If a company stipulates in the terms "Transactions may be reversed", does it mean I have given consent for transactions to come or it means that a payment order may be cancelled under the conditions of article 80, but still requires explicit consent if the time of cancellation is beyond the day before the payment (like a rule for customers from outside the EU that have a different law) ? And if it means consent was granted for all future transactions, does it still count if it would result in me getting robbed ? For example if a customer buys a product and then asks the financial institution for the money back and gets away without paying.

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4676| Topic: Other topics| Date of submission: 16/04/2019

SBP DQ check/reporting date 31 12 2019

We are testing the xbrl reporting of our SBP reporting 2019 on reference date 31 12-2019. Analyzing the error IC_QC_SVB2018-01-C180 we assume that the implementation of this rule also takes in account more underlying portfolio-id ‘s then necessary. In particular the portfolio id’s COSP_NFC and GOVT_GOV are taken in account in for Risk=CT (this is not correct) but they are not calculated for RISK=CR or RISK=CT (this is correct)

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5236| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 08/05/2020

Clarification on EBA validation rule: EBA_v6183_M

What should we do if any portfolio will not comply with the validation rule EBA_v6183_M (formula if ({c060} != 1 and {c080} > 0 and {c090} > 0) then {c140} > 0) ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2020_5206| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 09/04/2020

Clarification on EBA validation rule: EBA_v8152_M

What should we do if any portfolio will not comply with the validation rule EBA_v8152_M (formula " if ({c060} != 1 and {c090} > 0) then 0 < {c160} ") ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2020_5205| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 09/04/2020

SBP quality checks / reporting 12 2019

Dear , We are testing the XBRL reporting of our SBP reporting, due for 14 April 2020 (on ref date 12 2019). Currently, our XBRL file is rejected, mostly for a large number of errors on DQ checks where there is a test of a global portfolio with underlying sub portfolios . Analyzing this error code, we can not find a solution but in our understanding, all the total values must also include the category ‘other countries’ or those with the code‘X2’ ( exact the difference what the test indicates) which is also mentioned in “Annexe 1’ . Below you will find a list (examples) of DQ checks where this kind of problem is established "ERROR" code="IC_QC_SVB2020_33_C180" "ERROR" code="IC_QC_SVB2020_33_C170" "ERROR" code="IC_QC_SVB2020_33_C120" "ERROR" code="IC_QC_SVB2020_33_C110" "ERROR" code="IC_QC_SVB2020_33_C090" "ERROR" code="IC_QC_SVB2020_33_C080" "ERROR" code="IC_QC_SVB2020_29_C180" "ERROR" code="IC_QC_SVB2020_29_C170" "ERROR" code="IC_QC_SVB2020_29_C120" "ERROR" code="IC_QC_SVB2020_29_C110" "ERROR" code="IC_QC_SVB2020_29_C090" "ERROR" code="IC_QC_SVB2020_29_C080" "ERROR" code="IC_QC_SVB2018_88_C180" "ERROR" code="IC_QC_SVB2018_88_C170" "ERROR" code="IC_QC_SVB2018_88_C150" "ERROR" code="IC_QC_SVB2018_88_C120" "ERROR" code="IC_QC_SVB2018_88_C110" "ERROR" code="IC_QC_SVB2018_88_C090" "ERROR" code="IC_QC_SVB2018_88_C080" "ERROR" code="IC_QC_SVB2018_77_C180" "ERROR" code="IC_QC_SVB2018_77_C170" "ERROR" code="IC_QC_SVB2018_77_C150" "ERROR" code="IC_QC_SVB2018_77_C120" "ERROR" code="IC_QC_SVB2018_77_C110" "ERROR" code="IC_QC_SVB2018_77_C090" "ERROR" code="IC_QC_SVB2018_77_C080" "ERROR" code="IC_QC_SVB2018_74_C180" "ERROR" code="IC_QC_SVB2018_74_C170" "ERROR" code="IC_QC_SVB2018_74_C150" "ERROR" code="IC_QC_SVB2018_74_C120" "ERROR" code="IC_QC_SVB2018_74_C110" "ERROR" code="IC_QC_SVB2018_74_C090" "ERROR" code="IC_QC_SVB2018_74_C080" "ERROR" code="IC_QC_SVB2018_61_C180" "ERROR" code="IC_QC_SVB2018_61_C170" "ERROR" code="IC_QC_SVB2018_61_C150" "ERROR" code="IC_QC_SVB2018_61_C120" "ERROR" code="IC_QC_SVB2018_61_C110" "ERROR" code="IC_QC_SVB2018_61_C090" "ERROR" code="IC_QC_SVB2018_61_C080" "ERROR" code="IC_QC_SVB2018_45_C120" "ERROR" code="IC_QC_SVB2018_45_C110" "ERROR" code="IC_QC_SVB2018_45_C090" "ERROR" code="IC_QC_SVB2018_45_C080" "ERROR" code="IC_QC_SVB2018_30_C180" "ERROR" code="IC_QC_SVB2018_30_C170" "ERROR" code="IC_QC_SVB2018_30_C150" "ERROR" code="IC_QC_SVB2018_30_C120" "ERROR" code="IC_QC_SVB2018_30_C110" "ERROR" code="IC_QC_SVB2018_30_C090" "ERROR" code="IC_QC_SVB2018_30_C080" Is it possible that the programmed validation rule in ONEGATE is not correct ? If you agree, is it possible to obtain a by-pass of these validation rules ? Best regards,

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5199| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 07/04/2020

Structural subordination and clean holding company requirement

How should Holding companies interpret the CRR2 requirement relating to clean holding company, specifically should both excluded liabilities and 'own funds and eligible liabilities' be identified and calculated based on a solo basis of the entity concerned? Should the own funds and eligible liabilities be net of deductions ? If so why prudential deductions should be included in this calculation as they would not appear to add value in the context of NCWO test other than making the calculation more conservative?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4809| Topic: Own funds| Date of submission: 28/06/2019

Interaction between Validation Rule v3689_s C 05.01 and adjustments due to IFRS9 transitional arrangements

In template C 05.01 validation rule v3689_s states that r010 c040 cannot be negative. In certain documented cases, should r010 c040 C 05 be excluded from this validation rule, considering also that in DPM 2.9 for this particular Validation Rules the severity has changed from Non blocking to Warning (diminishing its severity) ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5141| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 25/02/2020

Validation v6272_m may be incorrect.

Validation v6272_m checks the total of columns 100,120,130 on C 08.02 with Row 70 on C 08.01. However this validation is applicable for all the sheets in C08.02 including Total Level sheets. Hence validation is failing.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5136| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 19/02/2020

CR_IRB1 validation rules 4764 & 4765

Following a recovery of the CR_IRB1 state, we are surprised that the anomalous validation rules (4764 to 4765) are blocking. Furthermore, these anomalies are the consequence of an addon imposed by the ECB following the application of the new definition of default. The constraints emanating from the letter of recommendation impose the application of different addons on the RWA of each exposure treated in internal method. These addons must be applied to the weighted amounts, they mechanically generate discrepancies between the declared amounts and the recalculated amounts (EAD * RW%): However, the CR IRBF report does not provide lines with these new weights, nor for "other" lines. How can we resolve the anomaly?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5132| Topic: Supervisory reporting - Other| Date of submission: 17/02/2020