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List of Q&A's

Questions on final draft implementing technical standards (ITS) on Pillar 3 disclosures on Environmental, Social and Governance (ESG) risks - template 10

Should the timelines of template 10 align with the EU Taxonomy timelines? And is it allowed to report exposures in template 10 that later will be considered EU Taxonomy aligned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6538
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 11/11/2022

Residential Immovable Property

Paragraph of ANNEX XL - Instructions for disclosure of ESG risks states that "Institutions shall include in this template information on exposures in the banking book (including loans and advances, debt securities and equity instruments not held-for-trading and not held-for-sale), towards non-financial corporates, on loans collateralized with immovable property and on repossessed real estate collaterals, exposed to chronic and acute climate-related hazards, with a breakdown by sector of economic activity (NACE classification) and by geography of location of the activity of the counterparty or of the collateral, for those sectors and geographical areas subject to climate change acute and chronic events." It is not entirely clear to us if retail residential mortgages are in scope of template 5 for Physical Risk Discjosures? or if only loans towards NFCs shoudl be taken into account? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6514
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 11/11/2022

Complusory reserves in F 01.01

In one of countries where we operate, Compulsory (Minimum; Obligatory) reserves are split in to non-restricted (daily due) and restricted (up to one month => “The maintenance period begins on the second Wednesday of a month and lasts to the day preceding the second Wednesday of the following month”). Shall we present them together in a Template F 01.01 row 0030 column 0010 => "Cash balances at central banks", or restricted part should be presented as Loans and Advances (for example as Loans and Advances at amortised cost => Template F 01.01 row 0183 column 0010)?

  • 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)
  • ID: 2022_6352
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 07/11/2022

Determination of own funds requirements for convexity risk ('gamma risk'), according to the Delta plus approach, for options positions in Exchange traded funds with multiple sector components

How should the own funds requirement for convexity risk ('gamma risk') be calculated, for options positions on Exchange traded funds, when the component of the fund are from across several sectors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6577
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

SA-CCR cap margin agreement

How do you calculate the cap for netting sets subject to a contractual margin agreement mentioned in Article 274(3) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6571
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

Scope of internal hedges

Should transactions between non-trading books and trading books closed through clearing houses as market transactions be treated as external market transactions and therefore should they not be subject to the requirements established in Article 106 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5554
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

Independence of the internal control functions

We would like to clarify if the organizational set-up of the control functions can be considered as fully compliant within the applicable regulatory framework to ensure independence of the control functions if the Chief Compliance Officer (CCO) is structurally allocated and subordinated to the Chief Executive Officer (CEO) in a two-tier governance structure model?  

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/05 - Guidelines on internal governance under CRD - repealing EBA/GL/2017/11
  • ID: 2022_6474
  • Topic: Internal governance
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

NACE codes for the sectors that highly contribute to climate change for Pillar 3 ESG risks disclosure, Template 1

Included in the template’s rows of the Sectors that highly contribute to climate change we find also Sector I (Accommodation and food service activities) in row 51, while in the instructions and in the Commission Delegated Regulation it’s clearly stated that such sectors include only NACE Sectors A to H and L. Is it a typo, or else what is the reason behind this? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6516
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

French “EU General Fund” instruments issued by Life Insurance companies: Application of Financial Collateral Comprehensive Method and implication for Large Exposures.

How should EU General Funds instruments issued by Life Insurance Companies in France, characteristics of which are described in background section, be treated in relation to: Credit Risk Mitigation (CRR Part 3, Title II, Chapter 4); Large Exposure Framework (CRR Part 4).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6483
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2022

Reporting of cash flows related to operating expenses / income in the C 66.00 maturity ladder template

What type of operating income and expenses should be considered in the C 66.00 maturity ladder template?

  • 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)
  • ID: 2020_5150
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Correlation G0556 of COREP C14.00

Please, can you review if the correlation G0556 of COREP C14.00 is correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6216
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation Rule v10657_m

Validation Rule v10657_m fails due to rounding of the countercyclical buffer rate.

  • 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_6287
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Amount of holdings to be reported (CA4)

Regarding the reporting of Direct indirect and synthetic holdings by the institution of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments of financial sector entities in template C 04.00 (CA4), it is not clear whether the full holding amount is to be reported in template C 04.00 (CA4), rows 0230 to 0643, or only the deduction amount.   This question applies both where the reporting institution's holdings are above the threshold limit and where they are within threshold limit: Is full holding amount to 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: 2022_6342
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • 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_6366
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v09805_m, size of the derivatives business

Is validation rule v09805_m applicable?

  • 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_6377
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Reporting requirement of C34.01

Are all institutions with CCR exposures required to complete the template C 34.01, or only those institutions that use the methods set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR?

  • 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_6429
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C08.07: credit risk only?

Is report C08.07 limited to Credit Risk only, or is Counterparty Credit Risk included in the scope?

  • 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_6441
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

COREP reporting in case of positive impairments for purchased or originated credit-impaired financial assets (POCI)

In case of purchased or originated credit-impaired financial assets (POCI), also positive values for value adjustments can be reported in COREP reports. Some DPM validation rules do not allow reporting positive values. Since it is possible to have positive impairments for the POCI assets, could the validation rule be modified in this respect?

  • 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_6447
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Mismatch between the instructions for template C 07.00 and the EBA validation rule (v4755_m)

Should Annex II to Regulation (EU) 2021/451 be amended in a way to remove the mismatch between the instructions for reporting template C 07.00 and the EBA validation rule (v4755_m)?

  • 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_6452
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rule v4135_m

As we are asked not to report the repos at fair value in the “Repurchase agreements” item on P01.02, while also explicitly required to report MRO, LTRO & TLTRO operations in P02.02, we believe this validation rule cannot be complied with.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/05 – Guidelines on harmonised definitions and templates for funding plans of credit institutions under Recommendation A4 of ESRB/2012/2 - repealing EBA/GL/2014/04
  • ID: 2022_6457
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022