List of Q&As

SA-CCR supervisory delta

How are institutions supposed to calculate a supervisory delta for digital options ? Basel in their documentation on SA-CCR are specifying in their Q&A 52.42, to use call/putspreads as a solution. This approach is however nowhere reflected in the EU law text. Instead from article 279a in combination with article 279b 1(c), one could draw the conclusion that for equity and commodity digital options, the digital payoff amount is the notional and the sign should be either +1 or -1 depending on the direction. What method should an institution use to calculate the supervisory delta of digital options.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2020_5072| Topic: Market risk| Date of submission: 02/01/2020

Permission for delta models for back-to-back positions (exceptions)

What is a materiality thresholds for back-to-back position perfectly matching to trigger a model evaluation by the competent Authority for the purposes of own funds requirements for market risk ? Is possible for insufficient non-perfectly matching back-to-back positions to use any exceptions f.e. own funds requirements in amount of total, open position (delta equal to 1) instead of precise delta-coefficient-based approximation ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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: 2019_5069| Topic: Market risk| Date of submission: 31/12/2019

Calculation of net positions under Article 327 (1)

According to Article 327 (1), can we understand that a short (long) position on an OTC derivative on a bond/ equity (single name/index/basket) underlying (such as a total return swap (TRS), equity swap, asset swap, etc.) net off against a long (short) position in its bond/equity underlying as long as the underlying of the OTC derivative contract is exactly the same as the one of the bond/equity position?.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_5052| Topic: Market risk| Date of submission: 18/12/2019

Reporting of data of withdrawals

Are the data of withdrawals made by prepaid card (e-money) are in accordance with Data Breakdown E in Annex 2 of the EBA Guidelines on fraud reporting under PSD2?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/05 - EBA Guidelines on fraud reporting under PSD2 (amended by EBA/GL/2020/01)

ID: 2020_5112| Topic: Fraud reporting| Date of submission: 06/02/2020

Deductible on professional indemnity insurance

Should the EBA Guidelines on the criteria on how to stipulate the minimum monetary amount of the professional indemnity insurance, EBA/GL/2017/08, section 1.4 be interpreted to mean that strictly no deductible is acceptable on professional indemnity insurance?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/08 - Guidelines on the criteria on how to stipulate the minimum monetary amount of the professional indemnity insurance

ID: 2020_5117| Topic: Monetary amount of the professional indemnity insurance| Date of submission: 10/02/2020

EEA Unrated Central Bank ratings

We want to check whether we can use the EEA Member state/country's rating for Standardised risk weight as per CRR Article 114(2) for their Unrated Central Banks?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2019_4981| Topic: Credit risk| Date of submission: 03/11/2019

FINREP form F02 vs. F20.3 - rule v0980_m not consistent to v1355_h and v1356_h

In form F02 row 285 named "Cash contributions to resolution funds and deposit guarantee schemes" has been added. In form F20.3 template F02 has to be split into domestic and non-domestic activities. Some validations rules - e.g. v0980_m, v1355_h and v1356_h are checking the consistency between F02 and F20.3. Because of adding row 285 to F02 and not adding row 285 to F20.3 in the context of DPM 2.9, rule v0980_m causes a validation break.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5193| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 31/03/2020

FINREP F01.03, F02 and F46 validation checks (V1226_m and V0786_m)

The non-xbrl check V1226_m is in contradiction with v0786_m

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5186| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 26/03/2020

Reference validation rule v6248_m in P 02.05 on predicted pricing of deposits

The validation rules issued in DPM 2.8 contain a rule on the predicted pricing of the credit institution's deposits (table P 02.05): v6248_m: [P 02.05 (All rows, c010:020)] (P 02.05) > -0.02. In EBA guidelines on funding plans (EBA/GL/2014/04) we cannot find any reference to the -2% minimum. In the current environment credit institutions that operate worldwide could have predictions that have higher negative rates on deposits (certainly for financial and non-financial corporate counterparties). Therefore we request more clarification on the restriction that is currently in place.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions

ID: 2020_5192| Topic: Supervisory reporting - Funding Plans| Date of submission: 27/03/2020

Validation rule V8450_m

Validation rule v8450_m is understood to be comparing the total maximum collateral (on debt instruments at fair value through other comprehensive income) to the carrying amount. The comparison includes row 903. Shouldn't the calculation be based on just row 201?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5183| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 23/03/2020

Validation check v7378_m (taxonomy 2.9) regarding column 411 of template C14.01

Validation check v7378_m states that the sum of column 411 of C14.1 (exposure value) must be equal to row 10, column 180 of C13.1. However the scope of C14.1 (and C14) is broader with regard to securitization originated by the reporting institution: template C14.1 includes all exposures regardless of whether there has been a significant risk transfer or not, whereas C13.1 only includes exposures for which significant risk transfer is recognized. Hence, the exposure in column 180 of C14.1 may exceed that of row 10, column 180 of C13.1. Could this validation check be de-activated?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5178| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 18/03/2020

Article 5(b)(1) is modified in Reporting Framework 2.9 point (1) and specifies that COREP templates 14 and 14.1 have to be submitted with a semi-annual frequency

Validation check v7482_m states that if there is template C13.01 there should also be a template C14.01. However C14.01 only has to be reported with a semi-annual frequency, whereas C13.01 is to be reported with a quarterly frequency. More-over, C14.01 only has to be reported at consolidated level, whereas C13.01 has be reported both on solo and consolidated levels. Hence it is perfectly possible to report a C13.01 without a C14.01. Could this validation check be de-activated?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5177| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 18/03/2020

IFRS9 transitional adjustments on RWA and validation rule v3689_s in template C5.01

In template C05.01 EBA validation rule v3689_s states that in column 040 (RWA) the rows 010 , 140 and many others cannot be negative.

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5174| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 13/03/2020

How to report memorandum items (Row 290 - 320) for defaulted exposures which were originally classified as exposures secured by mortgages (follow up on question 2014_1163)

In follow up of Q and A 2014_1163. The answer of the EBA indicated that exposures secured by mortgages which went into default should also be reported in the memorandum items 300 or 320 on the CA 07. I quote the EBA answer "With reference to question 3, where an exposure secured by mortgages on a real estate (commercial or residential) is in default, it is included in rows 300 or 320 of template C 07.00. ". Could you please elaborate on how exactly this exposure should be reported in the CA 7 based on following example? Example: exposure of 100.000,00€ secured by mortgages (if it had no mortgage as collateral it would have gone to corporate) goes default. Should we fill in the memorandum items as follow: Total CA7 row 300 = 100.000,00 € Corporate CA7 row 300 =100.000,00 € or only, as the original Total CA7 row 300 = 100.000,00 € corporate Ca7 row 300= nothing as originally this was an exposure secured by mortgage and is not part of the exposure classes subject to report the memorandum items Additional follow up question. If the exposure class is " claims on institutions and corporates with a short term credit assessment" and goes to default, how should we fill in the memorandum items. Example: exposure of 100.000,00€ claims on institutions and corporates with a short term credit assessment goes default. Total CA7 row 320 = 100.000,00 € Institution CA7 row 320 =100.000,00 € or only Total CA7 row 320 = 100.000,00 € or nothing Kind regards

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5169| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 11/03/2020

FINREP table 18

According to FINREP ITS paragraph 217, table 18 shall include all debt instruments (debt securities and loans and advances, includinging also cash balances at central banks and other demand deposits). But in EBA guidelines of management NPL, paragraph 12 footnote 4, total exposures in FINREPt table 18 is included in the denominator when calculating gross NPL ratio. Furthermore, in EBA guidelines of disclosure NPL, paragraph 13, it stated clearly that cash balance should not be included in the calculation of NPL ratio. Can you please confirm that cash balance at central banks and other credit institutions are to be excluded when calculating gross NPL ratio?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5162| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 04/03/2020

v6387_m operational risk reporting business lines

According to validation rule v6387_m business lines have to be reported if the Basic indicator approach is not used. However, if the Standardized approach is used article 5-b-2-b of Regulation 680/2014 mentions that under certain conditions business lines don't need to be reported (balance sheet total <1% of the market). Can you pls de-activate or change the validation rule?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5166| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 10/03/2020

Validation rule v0193_m

In line with EBA Q&A 2018_3887: should validation rule v0193_m be amended due to the end of the transitional period as per article 473 CRR?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2020_5108| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 05/02/2020

Amendment of Annex II of the ITS on Resolution

Due to a change in our national DGS Annex II of the ITS on Resolution planning, “II.6.2 Instructions concerning specific positions” c0030 must be amended. Instead of the five DGS in the current version there are only the following two since 1.1.2019 operative: • Sparkassen-Haftungs GmbH •Einlagensicherung AUSTRIA Ges.m.b.H. - ESA

Legal act: Directive 2014/59/EU (BRRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans

ID: 2019_4787| Topic: Other topics| Date of submission: 19/06/2019

Resolution Planning - Internally performed critical services

How can we map self developed critical systems (in Z10.02) to critical services, although it is not allowed to report internally performed contracts (in Z08.00)?

Legal act: Directive 2014/59/EU (BRRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans

ID: 2019_4763| Topic: Resolution plans| Date of submission: 05/06/2019

Inclusion of unrealised gains and losses measured at fair value (FVOCI) in to own funds

Should the insitution make any adjustment to remove from his Common Equity Tier 1 (C 01.00 – R180 – C01) item any unrealised gain on “Loans" classified at fair value throug OCI under IFRS 9?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_5001| Topic: Own funds| Date of submission: 14/11/2019