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Validation rules of templates F 24.01 and F 24.02 specifically EGDQ_0665, EGDG_0666, XBRL v8035_m and XBRL v8052_m. These validations impose that the closing figures of the prior financial year end should tally with the opening figures of the current reporting quarter without allowing for reclassifications or changes of the counterparties’ reporting criteria segregated in F 24.01 and F 24.02, namely collateral type, and SME criteria.

For accounts which do not have a change in non-performing status, how are changes in collateral and/or SME status of the counterparty are to be reported in F 24.01 and F 24.02, since validation rules of templates F 24.01 and F 24.02, specifically EGDQ_0665, EGDG_0666, XBRL v8035_m and XBRL v8052_m, cannot all be complied with simultaneously when such changes occur after the previous financial year end?

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

Template C 08.01 – Validation rule v10667_m - {C 08.01.a, r0070, c0250} * sum({C 08.02, c0110, (rNNN)}) = sum({C 08.02, c0250, (rNNN)} * {C 08.02, c0110, (rNNN)})

Range of applicability of validation rule v10667_m in force starting from June 2023 with DPM 3.2.

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

Modelling the risk of migration from NMDs to term deposits in the context of the constant balance sheet assumption in the NII SOT.

Is it modelling the risk of migration from NMDs to term deposits consistent with the constant balance sheet assumption in the NII SOT?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities

Reporting of liquid assets associated with the issuance of covered bonds

Should the liquid assets, up to net outflows, held as part of the liquidity buffer in the cover portfolio associated with the issuance of covered bonds, be reported as unencumbered?

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

C34.02 - reporting of VM, RC and PFE when EAD is capped for margined business under SA-CCR

Under SA-CCR, when EAD for margined business is being capped at EAD value as if unmargined business (as per CRR Article 274 (3)), should all the atributes of the netting set change in reporting as if it were unmargined business? Namely: - columns 0060 or 0070 should report no value as VM or report the VM posted/received in the margin agreement (in line with ITS)? - column 0100 should report the RC calculated as if unmargined (as per CRR Article 275 (1) formulae) or report the RC calculated based on the status of margined business (as per CRR Article 275 (2)? ; same for column 0110 for PFE - netting set should flow in row 0140, unmargined business, or in 0130, margined business (as it is contractually established)?

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

Reporting Requirements per type of institution

Are small and non-complex/other institutions required to use the simplified set of templates, or can they use the Large format if they already have to produce it, for example, for their holding/parent company?

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

Trading desk requirements for Standardized approach perimeter

Could you please confirm whether all desks in the prudential perimeter, independently from the internal model or standardized approach, should respect the requirements for trading desks reported in Article 104b and other provisions for trading desks?

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

Trading and Banking book positions within a Trading desk

Could an A-IMA eligible Trading desk have trading and banking book positions segregated in different portfolios within the same desk, given that non-trading book positions are carve-out from A-IMA calculations?

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

Classification of Repo Transaction

How can internal repo transactions be managed in the calculation of the regulatory capital requirement in the A-IMA trading desk? Can these transactions be carved out from the scope of regulatory capital requirement of the A-IMA trading desk? Does the regulation prescribe that the funding in repos should be allocated to the trading/banking book accordingly to the funding strategy purpose? (if the funding is for banking book positions, the repos are non-trading instruments, if the funding is for trading book strategy the repos are trading book instruments). Is it possible to have different prudential classification of internal repos and external repo transactions on the market?

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

Prudential Classification of Repo Transaction

What treatment for market risk capital requirement should be adopted for repos included in an A-IMA trading desk where those repos are used for funding of trading positions and valued at accrual and thus excluded from the regulatory trading book, following Basel Committee’s provision?

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

Applicability of the EUR 500 million-limit when calculating the required stable funding associated with CIUs in NSFR

Does the EUR 500 million-limit for the integration of CIUs in the liquidity buffer composition requirement indicated in article 15.1 of the LCR delegated act 2015/61 also apply to the CIU RSF in NSFR?

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

Calculation of RWA for assets that are deducted from own funds

As a follow-up question to Q&A 6106, what would be the appropriate risk weight to be used for the purposes of col 0030 'RWEAs: SA exposures' in the case of assets that are deducted from own funds?

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)

Non-applicability of the CRR (Capital Requirements Regulation) regarding OCCPs

According to Article 111 CRR, OCCPs must be included in the calculation of the Total Capital Ratio (TCR) under Pillar I, even though their economic risk is fully mitigated by the DvP mechanism. Eurex Clearing AG only includes OCCPs in their balance sheet, as per accounting standards. While the risk of OCCPs is covered in the CCP risk management framework through margins and other lines of defense, they cannot be mitigated through collateralization or netting under the CRR framework. Regarding the information in section 1 and 2, ECAG would like to inquire whether the OCCPs can be exempted from the application of Article 111 CRR.

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

Regular Way Purchase or Sales Awaiting settlement: distinction between trading date and settlement date according to whether the institution has an agent activity or for its own account

How Regular Way Purchases or Sales Awaiting should be properly allocated in Pillar III EU-LR2 template?

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

Data collection regarding high earners that are staff in investment firms subject to Article 25 and 34 of Directive (EU) 2019/2034 when the investment firms are part of a group subject to prudential consolidation.

Point 18 of EBA/GL/2022/08 states: “High-earners data should be submitted (…) by: a. institutions referred to in Subsection 1.1, using the template for the data collection specified under: i. Annex I for high earners that are staff of institutions and other entities in the scope of consolidation; ii. Annex II for high earners that are staff in investment firms subject to Article 25 and 34 of Directive (EU) 2019/2034;” We have found that there are several common data points defined between R 04.00 and R.04.01 (in particular columns 0010, 0020 and 0070 of R 04.01) in XBRL taxonomy version 3.2. which technically prevents the possibility to report according to point 18 of EBA/GL/2022/08. For example, supposing an institution has one member of the MB Supervisory function (column 0010) reported in “Number of other staff” (row 0030) in an investment firm (point ii) and four members of the MB Supervisory function (column 0010) reported in “Number of other staff” (row 0030) in the parent institution (point i), it cannot report one person in R 04.01 and four people in R 04.00 due to the common data points between them.

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/08 – Guidelines on the data collection exercises regarding high earners

Validation rules and warnings

Due to the increase of interest rates, the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' is a negative number on the asset side of the balance sheet. In the NSFR this amount is reported under 'other assets' (C80.00 R1030). However, we obtain multiple warnings eba_v11531_s, eba_v11537_s, eba_v11546_s, eba_v11552_s, eba_v11565_s, eba_v11582_s. Is it possible to report a negative number under other assets, and if not where should we report the negative amount of 'fair value changes of the hedged items in portfolio hedge of interest rate risk'

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

Definition of Financial Institution / Third Country Undertakings

Should the definition of "Financial Institution" as used in IFR be interpreted as excluding firms established in third countries unless otherwise expressly stated?

Legal act: Regulation (EU) No 2019/2033 (IFR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Calculation of K-COH

Should the transactions relating to managing the delegated investment funds’ portfolios be included into COH of the investment firms?

Legal act: Regulation (EU) No 2019/2033 (IFR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Meaning of “without automatic rollover” in the definition of trade finance

The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. Does a financial product meet the aforementioned maturity condition that has a maturity not exceeding one year (i.e. typically less than one year or a maximum of one year) and that is repeatedly extended by another 365 days but where the bank has the contractual right to unilaterally terminate the product prior to any extension?

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

Fulfilment of “fixed short-term maturity, […], without automatic rollover” for trade finance product bank guarantees (“Guarantee”) in case of a contractually agreed clause between the issuing bank and its client instructing the issuing bank to issue the Guarantee (“Instructing Party”) that allows the issuing bank to effectively exit the risk position within a contractually agreed fixed timeframe

The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. We would like to confirm that an open-ended Guarantee, i.e. a guarantee that does not provide for a fixed maturity date, meets the aforementioned definition of trade finance, in case the issuing bank and the Instructing Party agree on contractual provisions that allow the issuing bank to effectively exit the risk position incurred via the Guarantee. In this specific case the issuing bank conducts a regular bank internal review regarding the Guarantee and may – in case it deems this appropriate on the basis of its review – on the basis of a contractual arrangement between the bank and the Instructing Party, at its full discretion, require the Instructing Party to provide the issuing bank within a contractually agreed fixed time period with either a counter-guarantee from another bank in favour of the issuing bank, cash cover collateral or a substitution of the Guarantee by ensuring that another bank issues a Guarantee replacing the issuing bank’s Guarantee.

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

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