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List of Q&A's

v10811_m, grandfathered T2 instruments in M 06.00

How shall grandfathered T2 instruments with a residual maturity of less than 1 year be reported in M 06.00 - Creditor ranking (resolution entities) (TLAC3)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6223
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2023

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

Credit card debt as Credit for Consumption

In order to clarify the answer given to Q&A 5167, should credit card debt be included as Credit for consumption when it comes to FINREP 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: 2021_6219
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 14/03/2023

Reporting of Counterbalancing capacity (C66.01 of ALMM reporting)

After reporting template C66.01 we received an error related to validation rule: eba_v10660_m. We asume that the validation rule is inconsistent and want to explain. As a result of reporting C66.01b “Withdrawable central bank reserves” (r0740, c0010) you have to report this as a part of “Cummulated Counterbalancing Capacity”(r1080, c0010). You also have to fill C66.01a “Withdrawable central bank reserves” (r0740, c0020) with a negative indicator, but also at “Net change of Counterbalancing Capacity”(r1070, c0020) and  “Cumulated Counterbalancing Capacity” (r1080, c0020). When you report this as mentioned {C 66.01.a, r1080, c0020} is not equal to {C 66.01.b, r1080, c0010} + {C 66.01.a, r1070, c0020} as expected by validation rule v10660. Please can you explain how we have to solve this issue?

  • 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_6719
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 06/03/2023

COREP v.3.2, C 08.01

Columns 150- 210 :CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT The addition of the following additional instructions “The reported collateral values shall be capped at the exposures value.”is not consistent with answer of FAQ 2017_3349 which specifies “The amount of collateral taken into account for a specific exposure does not have to be capped at the exposure value of the exposure in question.” Should the amounts of collateral declared be capped at the value of the exposure?

  • 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_6707
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

DPM 3.2 validation rule v11366_m for C84

This validation rule checks the following formula:   {C 84.00.z, r0120, c0030} = {C 84.00.x, r0010, c0020} * {C 84.00.w, r0220, c0040}   Our institution reports available funding for USD in datapoint in C 84.00.z, r0120, c0030}.   However our institution does not have any required stable funding for USD to be reported in datapoint {C 84.00.x, r0010, c0020}.  Therefore no USD NSFR ratio can be reported in datapoint {C 84.00.w, r0220, c0040}. Question is how to report these figures to comply to this validation rule in case no required funding and NSFR ratio for USD can 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: 2023_6690
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

How to fill in row 0150 on "Equity" in C 08.07

In the C08.07 report, column 0010 'TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR' refers to Article 166 which applies to exposures to companies, institutions, central governments and central banks and retail customers. If this column concerns the elements mentioned in Article 166, row 0150 “EQUITY” should not be filled in column 0010. Can you tell us if row 0150 “EQUITY” in column 0010 “TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR” must be completed?

  • 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_6657
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Reporting of Negative Fair Value Hedge Adjustments as exposures

How should the fair value hedge adjustment amounts be reported in template C 08.01 in Annex I of Regulation (EU) 2021/451? Is it acceptable to report the exposures on row 0170 ‘Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights’? Consistently, should EBA validation rules v0330_m, v0333_m, v0334_m, v10312_s and v10485_s be amended in a way not to trigger validation errors in cases where the fair value hedge adjustment amounts get negative values?

  • 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_6575
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Deactivating Validationrule v10549_h

The validation rule v10549_h should be deactivated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6313
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Reporting of IRB exposures in the form of units or shares in Collective Investment Undertakings (CIUs) treated under the Fall-Back Approach (FBA)

When applying the credit risk IRB approach, in which template and field shall institutions report exposures in the form of units or shares in CIUs treated under the new FBA (pursuant to Article 152(6) CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_6040
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Own Funds Requirement (OFR) calculation without permission to use articles 325 and 352(2) CRR permission/exemption.

How should institutions, without both the permission referred to in article 325 of the CRR and the permission referred to in article 352(2) of CRR, compute, on a consolidated basis, the overall net foreign exchange position (“ONFEP”), according to article 352(1) of the CRR and subsequent amount of own funds’ requirements for market risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2022_6658
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Inclusion of instruments in aggregated portfolios

In Annex 5, when calclulating risk measures for an aggregated portfolio, an instrument should enter the calclulation only once or each time it forms an individual portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6696
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Time horizon for partial expected shortfall calculation

According to Article 325bc(1) CRR, the Partial Expected Shortfalls (PES) used for the ES computation are determined by applying scenarios of future shocks with a 10-days time horizon. Are 10-days shocks mandatory or are other time horizons rescaled allowed? (Typically, is the use of 1-day shocks rescaled to 10-days horizon permitted?)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6698
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Calculating risk-weighted exposure amounts under the standardised approach for exposures guaranteed by a Member State’s central government denominated in the domestic currency of that central government when the exposure is denominated in a different currency that is the currency of another Member State

For exposures guaranteed by a Member State’s central government where the guarantee is denominated in the domestic currency of that central government, the central government as protection provider shall be assigned a 0% risk weight if the exposure is denominated in a different currency that is the currency of another Member State?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6660
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

Use of credit insurance as credit risk mitigation under the standardised approach for credit risk and application of the CRM eligibility requirements to certain clauses which are typical for credit insurance contracts

Does the inclusion of a general exclusions clause (including for example, an exclusion for losses caused by a so-called nuclear event, war or a loss as a result of a fraud or dispute) in a credit insurance contract render the contract non-compliant with the credit risk mitigation (CRM) eligibility requirements for guarantees in CRR, in particular Article 213(1)(c)(iii) CRR, assuming all other conditions have been fulfilled?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4669
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

Leverage - Traditional securitisations under article 244 (recognition of significant risk transfer) that should be included within the scope of article 429a paragraph 1 point m

Under Article 429a §1-m of CRR2, institutions may exclude from their total exposure measure the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer (SRT), as per article 244(2).  May institutions also exclude from their total exposure measure the securitised exposures from traditional securitisations that are referred to in article 244-1-b) i.e. the securitisations under the 'full deduction' option where the originator institutions apply a risk weight of 1 250% to all retained securitisation positions or where these retained securitisation positions are deducted from Common Equity Tier 1 items in accordance with Article 36(1)(k) of the CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6702
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

Exposure to multilateral development banks

What are the criteria to be assigned a 0% risk weight by the EU under this regulation?  What is the process to apply to be assigned a 0% risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6680
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

Own-conversion factor estimation for fully-drawn facilities

Are observed defaults of credit facilities that are fully-drawn at reference date in scope for estimation of own-conversion factors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6567
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Foreign Exchange Risk – Interest Rate Swaps and Forward Rate Agreements in C 22.00

Are Interest Rate Swaps and Forward Rate Agreements, where only one currency is involved, relevant for reporting FX risk in the template C 22.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6357
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Treatment of expected credit losses (ECL) of financial instruments accounted for under fair value through other comprehensive income (FVOCI)

For debt instruments that are measured at FVOCI under IFRS 9: 1. Do ECL impairments qualify as specific credit risk adjustments? 2. Is the original exposure pre-conversion for the FVOCI debt instrument equal to the carrying value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2021_5735
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023