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Fair-valued assets and liabilities excluded because of partial impact on CET1 – Prudential Filters

Template C32.01 Prudent valuation. Fair-Valued assets and liabilities requires the Prudential filters Fair-valued assets and liabilities excluded because of partial impact on CET1 (col 0050) to be reported in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 of Regulation (EU) No 575/2013. Since Articles 467 and 468 of Regulation (EU) No 575/2013 are related to COVID transitional fix items, should the institution report 0 in this column until the guidance is updated? Additionally, validation v6566 related to this template, states that values reported for Fair-valued assets and liabilities excluded because of partial impact on CET1 – Prudential Filters (c0050) have to be equal to or higher than 0. Could you please confirm if this validation is applicable in all the contra liability balances?

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

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

Validation rules v11886_m and v11887_m

v11886_m states that with regard to C 08.03 {c0050, s0001} = emptyv11887_m states that with regard to C 08.03 {c0070, s0001} = emptyIs it correct that the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB) at total level and that there are no such validation rules for s0002 (FIRB) at total level?When the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB), why is this validation rule not applicable to C34.07 as well as there the same information is requested? In other words, are the validation rules with regard to the exposure weighted average PD %) and exposure weighted average LGD (%) consistently applied throughout the DPM?

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

Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics

Is it allowed to use another scenario than those prescribed by the IEA, as long as it is compatible with 1.5C trajectory and clearly documented in the narratives?

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

Misalignment between scope of reportable exposures against public authorities in template 7 ( CRR) and template 1 ( EU Taxonomy - acc to 2021/2178)

Should rows 280, 290 and 300 from Template 7 under ESG Disclosure only be limited to "Loans and advances" or should the scope of the rows be extended by including also debt security exposures (or other categories of exposures) in order to align with Annex V from European Commission published on 27.6.2023 , updating Section 1.2.1.4 from 2021/2178 ?

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

Template 2 – Total gross carrying amount reported in column A

Should column a be equal to sum (columns b to g + o)*(1- column p) as per XBRL validation rule?

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

Template 5 – Total gross carrying amount reported in column B

Which gross carrying amount should be reported in column b? Should it be the total of the exposures by sector as reported in Template 1 or should it be the total of columns c to f?

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

Alignment of the GAR Templates 7 and 8 with the templates used by the European Commission

According to the European Commission, in the COMMISSION DELEGATED REGULATION (EU) 2023/2486 of 27 June 2023, information on the six objectives must be reported. In addition, there are differences between the EC and Pillar 3 GAR templates, such as the absence of rows for financial corporations not subject to NFRD in Pillar 3, the presence of an "Of which adaptation" in column J, which is redundant as the objective in Pillar 3 is adaptation to climate change, and the presence of columns for the use of proceeds in the EC template, whereas the columns in Pillar 3 are for specialised lending. When will the Pillar 3 ESG reporting templates (6, 7, 8 and 9) be updated in line with those of the EC?

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

ESG P3 - Templates 9.1 and 9.2 Decision Tree KPI BTAR for Financial Corporations

According to the question 2023_6681, the Financial Corporation located outside European Union (EU) and Financial Corporation located in EU but not subject to NFRD disclosures exposures should be reported in the row 44 of the template 7 Other assets (e.g. Goodwill, commodities etc.). In which row/group of rows should be reported in the Template 9.1 - Mitigating actions: Assets for the calculation of BTAR and Template 9.2 - BTAR Since there are only specific rows for Non-Financial Corporation?

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

BTAR Disclosure Requirements

When does it become compulsory for banks to report the BTAR? When will the specifics on BTAR disclosure be published (i.e., what can be counted into BTAR etc.)?

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

Interpretation of ‘ The degree of correlation between the value of the assets relied upon for protection and the credit quality of the obligor shall not be too high.’

In Article 194, Quote Institutions may recognise funded credit protection in the calculation of the effect of credit risk mitigation only where the lending institution has the right to liquidate or retain, in a timely manner, the assets from which the protection derives in the event of the default, insolvency or bankruptcy — or other credit event set out in the transaction documentation — of the obligor and, where applicable, of the custodian holding the collateral. The degree of correlation between the value of the assets relied upon for protection and the credit quality of the obligor shall not be too high. Unquote My question is about the aforementioned correlation. If a obligor’s major asset is a very valuable mine asset, and the mine asset is collateralized by a bank as security for a loan, is it eligible for the bank to consider the value of the mine asset for calculating the ‘risk-weighted asset’? The value of the mine asset is valued by independent & renowned evalution agency and it meets with all other regulatory requirements for eligible collateral.

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/09 - Guidelines on corrections to modified duration for debt instruments under Article 340(3) CRR

Unrated short term claim/exposure

As per CRR Article 120(para 3, subpara c), it states: "If there is a short-term assessment and such an assessment determines a less favourable risk weight than the use of the general preferential treatment for short-term exposures, as specified in paragraph 2, then the general preferential treatment for short-term exposures shall not be used and all unrated short-term claims shall be assigned the same risk weight as that applied by the specific short-term assessment." Question: 1. Is the term claim and exposure used interchangeably and mean the same? 2. What is meant by unrated short term claim in this paragraph? If there is a general issuer rating available for the counterparty, but no issue specific rating for the exposure to the counterparty, will the exposures with residual maturity of less than 3 months be classed as Unrated and not eligible for preferential risk weight treatment as per CRR Article 120 (2)? 3. Also, for ex- if the bank has trading book exposure to this institution for exposure less than 3 months. But this institution has issued short term debt, but the bank has no exposure to it, in that case which rating will be used to risk weight the exposure in the trading book. Will it be the issuer rating or short term debt rating the institution has issued which the bank has no exposure?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Definition of 'explicit guarantee arrangements' for the purpose of classification of non-commercial undertakings as public sector entities

What conditions should be met by a given agreement in order to qualify as an 'explicit guarantee arrangement'? Shall the ‘explicit guarantee arrangements’ for the purpose of definition of public sector entities also be ‘guarantees’ eligible as unfunded credit protection or not? How much should the guarantee cover?

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

Maximum amount of the collateral or guarantee that can be considered in F 13.01 and F 18.00

Could you please more precisely clarify what should be used for “Maximum amount of the collateral or guarantee that can be considered”? Primarily use Market value of collateral as it is prescribed in ESRB Recommendation? or Each Institute can have individual approach, where Internal collateral value (Market value of the assets reduced by a certain percentage => the “haircut”) also can be primarily 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

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

Definition of financial institution and mixed activity insurance holding company

Can a mixed-activity insurance holding company (MAIHC) that has at least one subsidiary credit institution pursuant to Article 4(1)(1) CRR qualify as a financial institution pursuant to Article 4(1)(26) CRR?

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

Specification and operationalisation of the phrase "at all times"

How is the wording in Article 92 (1) CRR to be understood with regard to compliance with own funds requirements “at all times” in terms of verifiability?

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

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

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