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List of Q&A's

Asset encumbrance template F32.04 Sources of Encumbrance – Reporting, on individual basis and consolidated basis, of “Source of encumbrance” for securitisations.

What should be reported, on an individual basis and on a consolidated basis, as source of encumbrance in case of securitisations in which the securitised assets remain in the balance sheet (i.e, they have not been derecognised)? “Debts securities issued, of which: asset back securities” or “Collateralised deposits other than repurchase agreements”?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2972
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 05/03/2021

What considutes a fair value of encumberred and non-encumberred asset for morgages on immovable property?

We would like to clarify what constitutes a fair value for the purpopse of encumbered and non-encumbered assets which are link to morgage of immovable property. What value should be used for the reporting of the Asset encumbrance template : Market Value (MV) or Mortgage plus interest. In addition tot this, should this amount be restricted to cover the balance of the exposure at the reference date . For example an exposure with an immovable propererty MV of €1million and a mortgage plus interest €850k and a balance of account of €840k; What amount should we report as Fair Value in the 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2017_3094
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Nominal value of collateral received - not available for encumbrance

Point 16 of Annex XVII on Asset Encumbrance reporting states that "Assets are non-available for encumbrance" when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. We understand from the above that 1. we should only report in Column 070 of AE-COL template, the collateral received from our clients up to the amounts of their actual exposure on the reporting day. 2. Question arise on the rule to follow to report the collateral per issuers type/type of securities in column 70. Example: At reporting date: Client 1 has €1,000 cash and €2,000 securities (€500 Govies, €1000 Financial Corps, €500 Non Financial Corps) in its account with our company. Both the cash and securities accounts of client 1 are flagged as pledged in favour of our company in case of client1's default. Client 1 has entered into deals exposing our Company to €1,200 (Exposure in Basel III) In the books (off balance sheet) of the company, the collateral received will amounts to €3,000 In AE report AE COL column 70, base on point 16 of Annex XVII of ITS, we understand that we should not report €3,000 since our company could only sell the collateral up to the level of Client 1 exposure, ie €1,200 + relevant margins. If this this understanding is correct and €1,200 + relevant margins should be reported, question arises on the way we should select this amount amongst the total collateral received. The implemented selection will indeed impact the content of the reporting rows 150 to 230. We could indeed pick up €500 Govies, €500 Non Financial Corps and €200 cash or €1,000 Financial Corps and €200 Non Financial Corps), any other configuration

  • 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: 2017_3512
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Partial and full write-off reporting in COREP

From the paragraph 49 of Part 2 of Annex V of the Draft ITS on Supervisory reporting and the answer to the question 2013_202 it is clear, that accumulated written-off amounts shall be reported in F 07.00 until the total extinguishment of all the institution's rights (by expiry of the statute-of-limitations period, forgiveness or other causes) or until recovery. Does the same principle hold for the COREP tables C09.01 (columns 060, 070)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1076
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Covered Bond issuance on template F35 Asset Encumbrance

Should retained bond nominals be included F35 of consolidated returns?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
  • ID: 2017_3531
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Inclusion of Specialised Lending in CR IP Losses template

Should Specialised Lending and Speculative Immovable Property Financing exposures be reported in the CR IP Losses template?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1177
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting RMBS issued by SSPEs in C51.

Can the EBA confirm that our understanding is that RMBS that according to Basel III are classified as Level 2B assets and are CB eligble should be reported in C51. ID 1.11.1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1030/2014 - ITS on disclosure of values used to identify global systemically important institutions (as amended)
  • ID: 2014_1041
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Validation rule original exposure pre conversion factors

According to the taxonomy the value of C08.01 field row 010 column 100 ('of which off-balance sheet items') should be equal to the value of field row 030 column 090 (Exposure 'off-balance sheet items subkect to credit risk'). In our view this is not correct as the field 030/090 excludes securities financing transactions and derivatives (as part articile 3.3.3.1) while the field 010/100 is for the whole portfolio.

  • 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: 2014_1631
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting of loans collateralised by real estate

Should the loans reported in C 60.00, rows 1260 and 1270 be reported in full regardless of the value of the real estate collateral, or only up to the value of the collateral?

  • 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: 2014_1070
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting of exposures with immovable property as collateral

A bank has its head office in one EU country and has a branch in Luxembourg. Both the head office and the branch are required to submit separately template C15. The Luxembourg branch submits in Luxembourg template C15 with the branch information only. According to Annex VII of the Commission Implementing Regulation (EU) No 680/2014. The exposures to be reported in template C15 relate to exposures whose collateral (immovable property) is used to reduce regulatory own fund requirements. The head office and the Luxembourg branch have some loans secured by immovable property in various countries. However, the immovable property is not used either at the head office or at the Luxembourg branch for reducing regulatory own fund requirements. Therefore, our understanding is that neither the head office nor the Luxembourg branch should report these exposures in C15 template. We would like to confirm this approach following the request of the national competent authority given that there are no separate capital requirements at the Luxembourg branch level.

  • 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: 2015_1996
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Domestic - non-domestic distinction in Corep and Finrep

What should drive the domestic-non domestic distinction for COREP template 4.0 row 850 for the consolidated reporting of an institution with a holding company that is resident in another member state?

  • 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: 2017_3309
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Instruction on reporting of other transferable assets

In annex XII, table template C 51.00, row 1.3.1 (1.3.1.1 and 1.3.1.2) the institutions should report on other transferable assets representing claims on or guaranteed by transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets. The instructions are not fully clear to us and we have the following questions on what to report on the rows 1.3.1.1-2: Is this only valid for ”Member State” or is the second phrase ”on a region…” an own definition of issuers, and in that case, is municipalities a part of that definition? Is ”domestic currency” only referring to ”third country” or all other previous issuers defined in the sentence (Member State and perhaps ”a region…”)? Is ”if the institution incurs…” referring to all issuers in the sentence, i.e. it is a general requirement that the assets can only be included here if they cover the incurred liquidity risk? Does this mean that if you have an LCR>100%, in the currency or for the institution, no assets are allowed to be included? Or is there another definition of “liquidity risk…that it covers”? To summarize 1.3.1, we would like to know: - What issuers and guarantors are allowed? - Is there any restrictions on any of these assets, e.g. asset issued in domestic currency? - Is there a cap on any of these assets, e.g. only a portion of the assets may be included in the reporting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1216
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Obstacles to the payment initiation service

Can the impossibility for a Third Party Provider (TPP) to add new beneficiaries for payment initiation, coupled with the impossibility to initiate payments for unregistered beneficiaries, be considered as an obstacle? Besides, as a subsequent question, are delays up to 48 hours in the registration of new beneficiaries an obstacle?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2020_5184
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

LR1 on alternative treatment of the exposure measure - accounting balance sheet value

Does the "accounting balance sheet values" as reported in LR1 include credit risk mitigation effects? The difference between column 010 (accounting balance sheet value) and column 020 (accounting value assuming no netting or other CRM) will then be based on credit risk mitigation effects (crm/netting)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1131
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting of of the group of connected clients in C27 Identification of the counterparty (LE1) when the national reporting system DOES NOT provide a unique code for the group of connected clients

It is unclear if the group of connected clients should be reported in C27 Identification of the counterparty (LE1) when the national reporting system DOES NOT provide a unique code for the group of connected clients.

  • 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: 2016_2888
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Account Data required by a ASPSP to execute a payment order via a PISP

In the context of Payment Initiation Service (PIS) where a Payment Service User (PSU) payment order is to be carried out, the Payment Initiation Service Provider (PISP) accesses the PSU e-banking account to require a payment. The PSU may: a) hold a single payment account to be debited or b) hold multiple payment accounts where only one of them is to be debited to finalize the payment order (in this case PSU has to select a payment account).With reference to both use cases and in the presence of an Account Servicing Payment Service Provider (ASPSP)’s dedicated interface, may the PSU be obliged to digit the IBAN of the account to be debited each time she/he initiates a transaction? Is the PISP always required to report the account number to be debited in the payment request or may this parameter be managed bilaterally among ASPSP and PSU (e.g.: default payment account, drop-down selection menu during the strong customer authentication (SCA) procedure, communication over Out-of-Band (OOB) channels, etc.)?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2019_4854
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Compliance of (1) card data (2) SMS OTP and (3) EMV 3DS behaviour-based inherence as an authentication information with the requirements of PSD2 and RTS on SCA

Could the use of (1) card data (2) SMS One Time Password (OTP) and (3) Europay, MasterCard, Visa (EMV) 3-D secure (3DS) behaviour-based inherence information as an authentication solution be considered compliant with the PSD2 and RTS on strong customer authentication and secure communication requirements?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2019_4671
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Liquidity templates and instructions

We found some inconsistencies between the templates, the instructions and the CRR. Please confirm the following: 1. In template C61.00, rows 140-180 (which is 1.2.3.1 to 1.2.3.3.1) should refer to Article 427 CRR instead of Article 414. The rest of those references on sub-article basis seem correct. 2. In Annex XIII, Part I the title for row 540 is different compared to the one in the template and does not correspond the text of Annex III, point 5 of the CRR. The text of Annex XIII should be amended accordingly. The same problem is present in Annex XIII, Part II, row 610 and Annex XIII, Part III, row 590. 3. In Annex XIII, Part I the title for rows 710-730 is different compared to the one in the template. We think that this is the correct title ("... not already reported in 1.10 to 1.11.3") and suggest to change the template accordingly. 4. In Annex XIII, Part I the title for rows 740-760 is different compared to the one in the template. We think this title should be amended because the the title used in the template seems to be the correct one. 5. In Annex XIII, Part I the title for row 820 is different compared to the on in the template. We think this is the correct title ("... reported in 4.6 - 4.10") and suggest to change the template accordingly. Similar issue is present in Annex XIII, Part II, row 890 where the correct title should be the one used in the template. Also such issue is found in Annex XIII, Part III, row 870 where the correct title is the one used in the instructions and the template should be amended accordingly. 6. In Annex XIII, Part II, the title for rows 1110-1120 and the indivudual titles for rows 1110 and 1120 are identical. We suggest to take the correct titles from the template. 7. In Annex XIII, Part III, the title for row 030 is different compared to the one in the template. We think this is the correct title and suggest to change the template accordingly. 8. In Annex XIII, Part V.1, the explanation for rows 140-200 is non conistent with the template. As the instructions seem correct, we suggest yoy amend the template legal reference accordingly.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1227
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

TPP access only with PSU involvement

Can a Payment Service User (PSU) allow a Third party provider (TPP) the access to his account only if he is involved?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2019_4631
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Embedded forbearance clauses

Does it lead to a forborne status of the contract if executing embedded forbearance clauses (e.g. payment holiday and partial write off), incorporated in Dutch Nationale Hypotheek Garantie mortgages?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1411
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021