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List of Q&A's

Taxonomy 3.2: Are the validation rules v6327_m and v6332_m consistent?

In Annex II to Regulation (EU) 2021/451, chapter 6.1.2 referring to template C 32.01, the row of the line 0120 “shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation”. By this way, the 0120 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK may contain negative values. Refer the annex XV of the same implementing regulation, the corresponding validation rules are defined in the taxonomy 3.2 like this: v6327_m: {c0020} <= {c0010} ; Severity: Error v6332_m: {c0090} <= {c0080} ; Severity: Warning However, when the cell C32.01_A0120_0010 is negative, it will be necessary lower than the cell C32.01_A0120_0020 (OF WHICH: TRADING BOOK) and the control v6327_m is wrongly activated. We have the same analysis between the C32.01_A0120_0080 and C32.01_A0120_0090 for the control v6332_m Should these validation rule should be treated in absolute value to be consistent?

  • 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: 2023_6805
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/07/2023

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  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6829
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/07/2023

near miss

Hi I am looking for the definition and description of near- miss events and if possible also provide some examples. 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6801
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 10/07/2023

Eligibility of communication by AISPs with ASPSP throughout interface used for authentication and communication with the ASPSP's payment services users in case of ASPSP’s exemption from the fall back mechanism

Question no 1:   Does a fact, that based on art. 33(6) RTS, given ASPSP was granted by competent authority with exclusion from the obligation to set up the contingency mechanism described under art. 33(4) RTS, means, that such exemption merely gives this ASPSP a right not to set up the contingency mechanism, and hence, this is up to ASPSP to enjoy and to follow this exclusion, or whether, in opposition, this exemption creates on ASPSP side obligation to bring this exclusion to life.   Question no 2:   Does a fact, that given ASPSP was granted by competent authority with exclusion from the obligation to set up the contingency mechanism described under art. 33(4) RTS, creates on AISP’s end any kind of obligation, for instance lack of right to communicate with ASPSP in question throughout interface made available to the payment service users for the authentication and communication with their ASPSPs.

  • 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: 2023_6753
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as Rejected Q&A: 10/07/2023

requirements for professional experience of representatives and board members of EMIs

Dear Sir/Madam,    In the process of licensing an EMI, the management of the company aplying for a licese is required to have certain professional qualifications: experience, clean record, good reputation,etc... As PSD2 does not regulate this topic, each National Bank has set different requirments. The same pereon may be elidgible under the requirments of central bank of one country while not elidgible for another. Usually, the requirments are for banking and equivalent proffesional background and experience.  Profesionals with technology background (eg. Computer Science, blockchain, software development, AI, information management) are not elidgible. However technology is one of the main drivers of innovation and competitiveness in both banks and fintech.    In this regard, I have two questions:  1. Is EBA discussing any harmonisation of requirments for profesional experience of managing teams of EMIs to be enforced in a new updated PSD2? 2. If yes, does EBA consider allowing technology related profesionals to hold management possitions in EMIs?    Best regards,  Filip Mutafis  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6750
  • Topic: Authorisation and registration
  • Date of submission:
  • Published as Rejected Q&A: 10/07/2023

Initial Capital

What is the initial capital requirement if a payment institution is providing: (a) any of the payment services as referred to in points (1) to (5) of Annex I and service (6) and (7). (b) any of the payment services as referred to in points (1) to (5) of Annex I and service (6) . (c) any of the payment services as referred to in points (1) to (5) of Annex I and service (7).

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6570
  • Topic: Authorisation and registration
  • Date of submission:
  • Published as Rejected Q&A: 10/07/2023

Calculation of the CET1 to be used as available stable funding in NSFR

It is not clear the amount of CET1 that should be part of the NSFR, and whether it can be calculated out of items reported in C01.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6804
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Algorithm to calculate the TOP Institution (resp. Shadow Banking) te report in C27 of Large Exposure Report

How to calculate the TOP 10 Institutions (resp. Shadow Banking) for GCC? Should be have to consider the exposure at countrepart level or consolidated level?

  • 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: 2023_6785
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

European Union Allowances (EUA) as credit risk mitigant

Could European Union Allowances (EUA) received by a credit institution as collateral be considered as eligible one from prudential point of view ? If yes, how EUA should be considered ? As financial collateral or as other physical collateral ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6712
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

CRM substitution in case of equal risk weight

Should Credit Risk Mitigation with substitution effects on the exposure be applied (and presented in COREP) in case of an original exposure subject to unfunded credit protection (meeting all applicable eligibility requirements) where the risk weight/risk-weighted exposure amount remains equal after the substitution? Is there any difference depending on the approach? (SA/FIRB/AIRB)

  • 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_6621
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Traditional SRT securitisations with derecognized underlying assets

According to the instructions included in Regulation (EU) 2020/429, the column 0210 of C 14.00 shall show the following: “…Value adjustments shall include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet.” Additionally, based on Q&A 5077, where an inconsistency in validation rule v4797_m in template C 14.00 is raised, the provisions reported in column 0210 are referred to outstanding nominal amount at the reporting date. How should column 0210 be filled in case of traditional SRT securitisations, where the underlying assets are entirely derecognized and for which no provisions are recognized in balance sheet after the origination?

  • 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_6558
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Scope of templates C 08.05 and C 08.05.1

What is the criterion that an exposure class must meet to be included in template C 08.05.1 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”)? Should the exposures included in that template be complementary of those included in template C 08.05 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”) or should an extra detail be provided for certain categories? From the point of view of Pillar 3 disclosures, the same question applies to tables EU CR9.1 and EU CR.9 respectively, as they replicate the content and structure of the mentioned reporting templates.

  • 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_6513
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Credit conversion Factor (CCF) reporting

Our concerns would apply to almost all IRB templates (i.e. COREP C 08.01). What would be the correct option?

  • 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_6479
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Reporting of guarantees/non-financial collaterals in providing further credit risk mitigation for derivatives and SFTs in the credit risk templates C 07.00 / C 08.01

Following the logic of the C07.00/C08.01-templates (with DPM 3.0), probable guarantees/non-financial collaterals of derivatives and securities financing transactions (SFTs) won't be captured in the first part of the form (C07.00: columns 0010-0200/ C08.01: columns 0020-0110) even if available. However, starting with the reporting of the exposure value of the derivatives and SFTs (C07.00: column 0200/ C08.01: column 0110) the guarantees/non-financial collaterals will be considered in the second part of the template (starting with the exposure value-column) as its risk-mitigating effects should flow into the RWA calculation. Does the above-mentioned logic follow the reporting requirements of the C07.00/C08.01 templates under DPM 3.0?

  • 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_6433
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

v6566_s, v6567_s, v6327_m: FV changes of hedged items in portfolio hedge of IRR

Should the warnings from EBA validation rule v6566_s be maintained for data point {C 32.01, r0120, c0010}? And what about EBA validation rule v6327_m for C 32.01, r0120? Consistently, should EBA validation rule v6567_s be amended to exclude rows 0010, 0020 and 0120 from the check?

  • 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_6455
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Validation rules of C 05.01 - IFRS9 transitionals

How should the impacts of the transitional arrangements IFRS9 on impairments be reported in template C 05.01, in particular the impacts on Total Risk Exposure in column 0040? The guidelines for rows r0440 to r0443 and columns 0010 to 0040 are quite clear. But what about the totals for {r0100, c0040} and {r0010, c0040}? 

  • 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_6627
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

v6566_s - Negative FV changes of hedged items (C 32.01)

How should negative fair value changes of the hedged items in portfolio hedge of interest rate risk be reported in the context of the prudent valuation templates in COREP (C 32.01)?

  • 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_6511
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Combined buffer requirement on top of MREL consolidation level

Assuming that the consolidated resolution group level pursuant to Article 45c (3) BRRD does not correspond to the prudential consolidation level in accordance with Article 11 CRR, which consolidation level is relevant in terms of distribution restrictions according to Article 16a BRRD?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5792
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

Contributions to Resolution Financing Arrangements - clarification regarding the use of the risk indicator of "Own funds and eligible liabilities held by institution in excess of MREL" in calculation of the contributions to resolution financing arrangements

How to determine the risk indicator "Own funds and eligible liabilities held by the institution in excess of MREL" referred to in Article 6 (2)(a) of the Commission delegated regulation (EU) 2015/63 within the calculation of the ex-ante annual contributions to resolution financing arrangements.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2022_6372
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023