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Calculation of Kirb

According to Article 255(2)(3), Kirb seems to be defined as (EL+UL)*8%/exposure value of the underlying pool. However, considering the fact that, for unexpected loss, banks hold an amount of regulatory capital by UL*8%, but for expected loss not covered by provisions, banks have to deduct it from Tier 1 capital,  As Kirb stands for the averaged capital requirement of the underlying exposures(including expected loss), it should be calculated as (UL*8%+EL)/exposure value of the underlying pool instead.

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

Report charges and rejections

Hello, when will you publish the report specification result of the consultation ?

Legal act: Regulation (EU) 2024/886 (IPR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Own Funds Requirements before Securitisation (%) Ksa

Validation v11650_m states that for the positions reported in the C14.00 template that are not Covered Bonds or Other Liabilities, Own Funds Requirements before Securitisation (%) Ksa (c0223) should be reported. However, is this validation applicable if the positions are issuer loans (held to meet the securitisation risk retention requirements) and the very purpose of the issuer loan is to hold a 5% vertical slice – it is not subject to any credit trenching?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2023/2175 - RTS on the risk retention requirements for originators, sponsors, original lenders, and servicers

Pillar 3 Disclosure: Template EU CQ1: Credit quality of forborne exposures (Col e & f; R090 Loan commitments given ) - Clarification on Mapping Logic

According to the EBA mapping: (Col e & f ; R0090) for row “Loan commitments given” under impairment section are mapped to template F19, which is presented as a positive value in CR1. However, our understanding is that impairment values should be disclose as negative figures in CQ1. Please confirm whether this interpretation is correct. 

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

Pillar 3 Disclosure: Template EU CR1: Performing and non-performing exposures and related provisions (Column g-l; R150-210 Off balance sheet exposure) - Clarification on Mapping Logic

According to the EBA mapping, columns g to l (rows R150–R210) for off-balance sheet exposures are mapped to template F18, which would be presented as a positive value in CR1. However, our understanding is that impairment values should be disclose as negative figures in CR1. Please confirm whether this interpretation is correct.  

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

factor to apply to non performing exposures to which a risk weight is 0% in a performing situation for the purpose of calculating the amount of unsufficient coverage

is it possible to consider that the derogation applied to the part of the non-performing exposure guaranteed or counter-guaranteed by an eligible protection provider referred to in Article 201(1), points (a) to (e), the unsecured exposures to which would be assigned a risk weight of 0 % under Part Three, also applies to unsecured exposures themselves when assigned a risk weight of 0% ?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/06 - Guidelines on management of non-performing and forborne exposures

Pillar 3 Disclosure - EU OV1 – Row 1 ‘Credit risk (excluding CCR)’ mapping clarification

In Template EU OV1, Row 1 "Credit Risk (excluding CCR)", we observe that the current mapping includes the following components from C 02.00: {C 02.00, r0690, c0010} – Other risk exposure amounts minus {C 02.00, r0720, c0010} – Requirements for large exposures minus {C 02.00, r0755, c0010} – Additional RWEA for market risk imposed by supervisor (Art. 110) minus {C 02.00, r0770, c0010} – Additional RWEA for market risk minus {C 02.00, r0780, c0010} – Transitional RWEA for crypto assets (Art. 501d(2))   While this mapping appears to isolate the portion of "Other RWA" not related to market risk, large exposures, or crypto assets, our understanding is that the total reported in row 0690 may still include other risk exposure amounts arising from non-credit risk categories, such as CCR (e.g. RWA induced by IMM PMA). Given that Row 1 of EU OV1 is intended to reflect credit risk excluding CCR, we would like to confirm whether including the residual amount from r0690 (after the above deductions) is appropriate, or if this could lead to misclassification of non-credit risk RWA under credit risk.

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

EBA Mapping Tool Clarification - EU MR3

Template EU MR3 - IMA values for trading portfolios (Row 4/8/12/16) According to the disclosure instruction (Annex XXX) & Article 455, MR3 will need to include related Internal Model Market Risk elements.  However, according to the EBA defined mapping for the above rows, which is mapped to C24.00, some IM elements (e.g. RNIME number) will be missed from the disclosure  

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

EBA Mapping Tool Clarification - EU OV1 & EU CMS1

With regards to the mapping logic used for EU OV1 & EU CMS1, in particularly for the Market Risk related rows, these currently reference the new FRTB related reporting templates with the C 90 series. As the implementation of FRTB is set to be delayed by a further year (refer to communication from the European Commission) until 1st January 2027, we believe that the mapping logic should be updated to reflect, referencing back to the pre-CRR3 Market Risk templates C18.00-C24.00, in addition to C02.00. In addition, we feel that in relation to EU OV1 template, the rows associated to Market Risk may require amendment to reflect the pre-CRR3 breakdown, unless the interim requirement is to mirror the approach to the of reporting (in C02.00), where data is reported under the Simplified standardised approach (S-SA) only.

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

EBA Mapping Tool Clarification - EU LIQ2

The EBA Mapping Tool logic in relation to EU LIQ2 does not appear to capture the 'Weighted Value' component. The current logic is as follows: {C 81.00, r0150, c0100} + {C 81.00, r0280, c0100}

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

EBA Mapping Tool Clarification - EU CR5

For last Column aa – the mapping prescribed by EBA is ‘col z - {C 07.00, sum of rows [from 140 to 280], c 230, s0002}’ which means: •    Col z (i.e. sum of all the exposure value under different RW) •    C7:o    sum of rows [from 140 to 280] = sum of all RW% o    C230 in C7 = which ‘RISK WEIGHTED EXPOSURE AMOUNT OF WHICH:  WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI’  Our question is why we use exposure value minus RWA with a ECAI assessment? 

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

EBA Mapping Tool Clarification - EU CQ4

We believe that the mapping logic applied to EU CQ4 is incorrect for the following: For EU CQ4, r010, col a - Mapping is "'{F 20.04, sum(r0080, r0140), c0010} - {F20.04, sum(r0080, r0140), c0011}", however, F20.04, r010,r040, r0075 are excluded For EU CQ4, r010, col b - Mapping is "{F 20.04, sum(r0080, r0140), c0025}", however, F20.04, r010,r040, r0075 are excluded For EU CQ4, r010, col c - Mapping is "'{F 20.04, sum(r0080, r0140), c0026}", however, F20.04, r010,r040, r0075 are excluded For EU CQ4, r010, col d - Mapping is "{F 20.04, sum(r0080, r0140), c0012}", however, F20.04, r010,r040, r0075 are excluded For EU CQ4, r010, col e - Mapping is "{F 20.04, sum(r0080, r0140), c0031}", however, F20.04, r010,r040, r0075 are excluded For EU CQ4, r010, col g - Mapping is "{F 20.04, sum(r0080, r0140), c0040}", however, F20.04, r010,r040, r0075 are excluded

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

EBA Mapping Tool Clarification - EU CMS1 (2)

For CCR (Row2) within CMS1 - how would we capture SA IMM for S-TREA?  As the mapping in Column d/ EUd only capture S-TREA under IRB approach but nothing for exposure with SA IMM (which is also needed to recalculate to S-TREA).

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

EBA Mapping Tool Clarification - EU OV1

‘Template C 02.00, row 690 et seq.: according to the mapping tool for CRR3_step1 provided within the consultation on public disclosure (EBA/CP/2023/38) this row is mapped to the template OV1, row 1 “credit risk”. To our understanding additional “other risk exposure amounts” reported in row 690 et seq. could arise from all kinds of risk categories and are not limited to credit risk. More guidance about what is to be reported in row 690 et. seq. is needed, especially what is to be reported in row 760.’ 

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

EBA Pillar 3 Mapping Tool Clarification - EU CMS1

1. CMS1 R8/Col b mapping: [OV1, row 29, column a} - {CMS1, row 8, column a}: We are using OV1 R29a as TREA and then deducted the IM RWA from CMS1 to get the SA RWA.   2. CMS1 R7/ Col b: The mapping is a balance from R8, deducted R1-7; in that case – ‘amounts below the thresholds for deduction (row 25 in Template OV1)’ will be missing from R7 given that’s not include in the TREA (this line item was mentioned in the CMS1 instruction)

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

EBA Mapping Tool - Template EU CC1 Logic

The EBA Mapping Tool that specifies the mapping of the templates and tables for disclosures with those on supervisory reporting is incorrect for Template EU CC1, r57 (Column a).

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

EBA Mapping Tool - Template EU KM1 Logic

In relation to the EBA Mapping Tool that specifies the mapping of the templates and tables for disclosures with those on supervisory reporting, we believe that the logic provided is incorrect for the certain cell references within the EU KM1 Template.

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

Disclosure of EU ILAC - Incorrect Mapping Logic

With regards to the disclosure of the EU ILAC template, we believe that the mapping logic provided, relating to M 03.00 is incorrect. For Row EU7 - column b, the mapping logic states: {M 03.00, r0260, c0020} + {M 03.00, r0270, c0020}. However, the reference to {M 03.00, r0270, c0020} relates to a greyed-out cell in M 03.00. For Row EU22 - column b, the mapping logic states: {M 03.00, r0590, c0020}. We believe that the logic is referencing the incorrect cell (Residual maturity of >= 1 year and < 2 years).

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)

Entities conducting limited financial activity which qualify for exemptions from AMLD4

Dear colleagues, Art. 6 Reg. 2024/1624 stipulates that member states may provide exemptions from AML/CFT regulation for entities which engage in financial activity on an occasional or very limited basis where there is little risk of money laundering or terrorist financing. Specifically:    Exemptions for certain financial activities 1.   With the exception of persons engaged in the activity of money remittance as defined in Article 4, point (22), of Directive (EU) 2015/2366, Member States may decide to exempt legal or natural persons that engage in a financial activity as listed in Annex I, points (2) to (12), (14) and (15), to Directive 2013/36/EU on an occasional or very limited basis where there is little risk of money laundering or terrorist financing from the requirements set out in this Regulation, provided that all of the following criteria are met: (a) the financial activity is limited in absolute terms; (b) the financial activity is limited on a transaction basis; (c) the financial activity is not the main activity of such persons; (d) the financial activity is ancillary and directly related to the main activity of such persons; (e) the main activity of such persons is not an activity referred to in Article 3, point (3)(a) to (d) or (g) of this Regulation; (f) the financial activity is provided only to the customers of the main activity of such persons and is not generally offered to the public. 2.   For the purposes of paragraph 1, point (a), Member States shall require that the total turnover of the financial activity does not exceed a threshold which shall be sufficiently low. That threshold shall be established at national level, depending on the type of financial activity. 3.   For the purposes of paragraph 1, point (b), Member States shall apply a maximum threshold per customer and per single transaction, whether the transaction is carried out in a single operation or through linked transactions. That maximum threshold shall be established at national level, depending on the type of financial activity. It shall be sufficiently low in order to ensure that the types of transactions in question are an impractical and inefficient method for money laundering or terrorist financing, and shall not exceed EUR 1 000 or the equivalent in national currency, irrespective of the means of payment. 4.   For the purposes of paragraph 1, point (c), Member States shall require that the turnover of the financial activity does not exceed 5 % of the total turnover of the natural or legal person concerned. 5.   In assessing the risk of money laundering or terrorist financing for the purposes of this Article, Member States shall pay particular attention to any financial activity which is considered to be particularly likely, by its nature, to be used or abused for the purposes of money laundering or terrorist financing. 6.   Member States shall establish risk-based monitoring activities or take other adequate measures to ensure that the exemptions granted pursuant to this Article are not abused.   We are seeking the assistance of colleagues to understand how Member States intend to apply Art. 6.  In this respect (given that the AMLR has yet to come into effect), it would be helpful to understand the approach taken by Member States in respect of Article 2(3) 4AMLD which provides that Member States may decide that persons that engage in a financial activity on an occasional or very limited basis, where there is little risk of money laundering or terrorist financing, do not fall within the scope of 4AMLD. Specifically, it would be helpful to understand:  Has your Member State transposed the exemption provided for under Article 2(3) 4AMLD? If so, does your Member State have a registration process for those entities seeking to avail of the exemption? What is involved in the registration process and are these entities subsequently supervised or monitored in any way in your Member State? Do you conduct risk assessments of these entities on a regular or periodic basis, or at all, given their low risk? If your Member State has not transposed the exemption, how does your Member State treat such entities which are low-risk in nature and conduct limited financial activity?  We would greatly value your assistance.

Legal act: Directive (EU) 2015/849 (AMLD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Credit institutions should not consider as outsourcing

Within Title II, Section 3, Recital 28 Guidelines on outsourcing an exemption what should not be considered an outsourcing is given. Under this exemption can we consider that purchases of goods e.g., standard software or hardware without customization or integration into critical processes, are not outsourcing? For example if the SaaS application is used solely for non-critical, non-banking functions (e.g., HR training platforms, marketing tools), and does not impact the institution’s operational resilience or critical functions, can it be treated from a bank perspective as purchase of goods that fall outside the EBA guidelines on outsourcing arrangements scope?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/02 - Guidelines on outsourcing arrangements

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