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List of Q&A's

How to report liabilities with notice period in C69.00 and C70.00

How can evergreen repos be reported in the C69.00 template? How can deposits with notice period > 1 day be reported in the C69.00 and C70.00 template?

  • 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_5794
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Disclosures of Staff expenses Management body in its supervisory function in FINREP Template 44.4

In the countries where we operate supervisory board and management board are two separate bodies. The supervisory board also has members which are not employed by the reporting entity but still receive remuneration for their function. We would like to understand, if this remuneration has to be presented in template 44.4 column 0040 and if yes, should those external remuneration be presented consequently in staff expenses (FINREP Template 2 - Statement of profit or loss in a r370, c010 )?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2021_5793
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Public development credit institution - reporting in Rows 0262, 0263, 0264 of C 47

The instructions for rows 0262, 0263, 0264 of the C 47 template (DPM 3.0) refer to same Articles 429a(1)(d), 429a(2) and 429a(3) of the CRR. Further, the guidelines about public development credit institutions referred to in CRR article 429a(2) are the same, and instructions for the rows 0262, 0263 and 0264 of C 47 are similar. How to distinguish the exposures in these 3 rows?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2021_5743
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Validation rule v7378 - securitization templates C 13.01 and C 14.01

Should validation rule v7378 be triggered in case you have 1 entity which leads to a significant risk transfer (SRT) and 1 entity that is not leading to a SRT?

  • 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: 2021_5736
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Treatment for repo / reverse repo of liquid asset transacted outside the segregated pool for institutions operating under Article 8.3.a

1. For a credit institution reporting under article 8.3.a, should liquid asset collateral in repo / reverse repo transactions away from the segregated pool be reported in “of which collateral extended / received meets operational requirements” rows of templates C73 (e.g. row 1035) and C74 (e.g. row 311)? 2. For a credit institution reporting under article 8.3.a, should cash outflow from repo transactions away from the segregated pool be reported in row 070 (“Secured cash 30 day outflows”) but associated liquid asset collateral not be reported in row 060 (“L1 excl. EHQCB collateral 30 day inflows”) of template C76?

  • 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_5692
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Validation rules between template F 18.01 and F 24.01

We have three groups of rules affected: A. There are these validations in template F 18.01 : Template ID columns Formula F 18.01 v7866_m (0010) {r0050} >= {r0070} + {r0080} F 18.01 v7867_m (0010) {r0050} >= {r0090} F 18.01 v7868_m (0010) {r0100} >= {r0110} F 18.01 v7869_m (0010) {r0100} >= {r0120} F 18.01 v8114_m (0010) {r0050} >= {r0060} F 18.01 v8115_m (0010) {r0060} >= {r0070} F 18.01 v8116_m (0020) {r0050} <= {r0060} F 18.01 v8117_m (0020) {r0060} <= {r0070} B. There are validations between these templates: ID Formula v8509_i {F 18.01, r0060, c0010}=={F 24.01, r0020, c0050} v8510_i {F 18.01, r0060, c0020}=={F 24.01, r0120, c0050} v8511_i {F 18.01, r0070, c0010}=={F 24.01, r0020, c0060} v8512_i {F 18.01, r0070, c0020}=={F 24.01, r0120, c0060} v8513_i {F 18.01, r0080, c0010}=={F 24.01, r0020, c0070} v8514_i {F 18.01, r0080, c0020}=={F 24.01, r0120, c0070} v8517_i {F 18.01, r0110, c0010}=={F 24.01, r0020, c0030} v8518_i {F 18.01, r0110, c0020}=={F 24.01, r0120, c0030} C. And this within template F 24.01: ID Template Formula v8051_m F 24.01 {r0320} = {r0010} + {r0020} + {r0120} Knowing that we have to comply with rule group A, rules B and C cannot be complied simultaneously. What set of rules should we follow, B or C?

  • 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_5613
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Treatment of securities received in reverse repo and sold (short position) in F32.04 and F08.01

Our question is about the link between F32.04 and F08.01 for reverse repo, notably if the securities received is sold (short position). Our position is: - Securities in reverse repo don’t have to be reported in F 8.1 (only repo have to be reported) but should be mentioned in cell 160_030 in F32.04, - Securities received and sold have to be reported in F 8.1, cell 040_010, - The sum of row 10 to 110 (column 010) of F32.04 have to be matched with liabilities reported in F08.01. Do you agree with this treatment? If not, could you precise your recommendations?

  • 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_2202
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Specialised Lending Supervisory Slotting Method and CRM Substitution Approach

1) Can the CRM substitution method be used for specialised lending exposures when the supervisory slotting method is applied under the CRR?2) If this answer is yes, can we request that the relevant cells in template C8.01a (i.e. columns 70 and 80) are opened for rows 90-150 to allow banks to report this information correctly?

  • 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_1604
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Group Solvency report: The distinction between the contents of the columns 350 “Goodwill / Negative goodwill” and 400 “Goodwill / Negative goodwill” of the Group Solvency report

To what extent the contents of the columns 350 “Goodwill / Negative goodwill” and 400 “Goodwill / Negative goodwill” differ from each other? Does the content of the column 400 “Goodwill / Negative goodwill” of the Group Solvency report correspond with the row 300 “Goodwill” of the CA1 report on group level (subgroup level) in case of goodwill (not negative goodwill)? Furthermore, does the content of column 350 “Goodwill / Negative goodwill” of the Group Solvency exclusively concern the goodwill / negative goodwill referring to minority interests? (EBA/ITS/2013/02, Annex II, C 06.00, c350, c400, pp. 59, 60)

  • 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_1397
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Large Exposures Reporting - Reporting of Shadow Banking Positions under EBA Taxonomy 3.0

Institutions are required to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013. The reporting instructions for template C27.00, Column 070 state: The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using “I” for institutions or “S” for shadow banking entities, which carry out banking activities outside the regulated framework. We have reviewed the information in DPM database published on 8-Apr, together with the DPM dictionary and annotated templates published on 18th Mar and note that this states that only 'I' or 'U' can be used in this instance. There is no mention of 'S'. This being the case, please advise how Shadow Banking positions should be classified?

  • 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: 2021_5819
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 06/08/2021

Eligibility of Sovereign Guarantee for which Permanent Partial Use Applies against IRB Exposure

When an institution has received permission for permanent partial use of the Standardised Approach for its home sovereign exposures under Article 150 (d) CRR2, does this violate the stipulation under Article 201(2) CRR2 that a guarantor must be internally rated by the institution where the institution uses the IRB Approach?If it is an eligible guarantee, should the guaranteed portion be risk weighted as a Standardised exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3581
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Applicability of Look through Approach to SPV (Article 132 CRR)

May the look-through approach be applied for exposures in Notes issued by a special purpose vehicle, with no tranches, - which is unclear whether it qualifies as an undertaking for collective investment according to the applicable national law -, where the paid out of the each Note are the net proceeds of the loan receivables portfolio allocated to such Note (provided the additional requirements set for the look through approach are duly met)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4502
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Soglia di materialità - Calendar Provisioning - Matheriality threshold - Calendar provisioning

In merito al tema del “Calendar Provisioning” la soglia del 20% stabilita dall’Articolo 47a(3) del Regolamento (EU) No 575/2013 come modificato dal Regolamento 2019/630, sostituisce la soglia di contagio per singolo debitore del 5% attualmente in vigore (e che il 1° gennaio 2021 diventerà dell’1%, vedi Regolamento Delegato (UE) 2018/171)? O si riferisce invece ad altri aspetti? With regard to the subject of ‘calendar provisioning’ is the 20% threshold set in Article 47a(3) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 to be considered to replace the contagion threshold for individual debtors of 5% currently in force (and which will become 1% on 1 January 2021 – see Delegated Regulation (EU) 2018/171)? Or does it refer to other aspects?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2020_5528
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Obligor level

When applying the default at obligor level for retail, should a credit institution always consider a specific set of individual obligors that have a joint obligation towards an institution as a different obligor (the unit of default takes into consideration the JCO)? Or is this to be applied only for the materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5380
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

RWA formula for defaulted exposures where institutions use own estimates of LGDs

At which level should the flooring in the RWA formula for defaulted exposures (Articles 153(1)(ii) and 154(1)(i) of CRR2) be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5331
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Treatment of loans for LBO financing according to the GLs on high risk items

How should loans which constitute leveraged buyout (LBO) financing be treated according to the Guidelines on  specification of types of exposures to be associated with high risk? Should information, that a loan is collateralised by shares in an unlisted company, have decisive impact on its treatment as potentially being "debt exposure with economic substance similar to non-debt exposure" according to the paragraph 2 of section 4.1 of the Guidelines? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2019_4952
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Strong customer authentication (SCA) Knowledge element: Place of Birth and Date of Birth

Does a payer’s date of birth and place of birth constitute a valid Knowledge Element for strong customer authentication.

  • 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: 2021_5821
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Clarification on where the creation of the authentication code with dynamic linking for strong customer authentication (SCA) for electronic remote payment needs to be done

Should the authentication code be computed and dynamically linked to the transaction data in a unique processing step prior or together with the payer’s authentication on the payer’s device, or can the authentication code be computed and dynamically linked in one or several subsequent steps in the payment process, possibly not on the payer’s device?

  • 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_5366
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 30/07/2021

DPM 3.0 - C80.00 - C84.00 - Inconsistent modelisation and validation rules v10127_m and v10143_m.

Modelisation issue between report C80.00 and C84.00 but only for the sheets giving a breakdown per currency as we have some inconsistent duplicated fact. See background on the question.

  • 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_6038
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 23/07/2021

DPM 3.0 validation rules for C84 total RSF

According to validation rules v10158_m and v10063_m, RSF from derivatives should not be included in total required stable funding row 10 in neither column 10 nor 20. Is this really correct? It indicates that RSF from derivatives is not included in calculating the ratio then.

  • 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_5847
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 23/07/2021