19 Q&As on CRR: Own funds, Supervisory reporting, BRRD Reporting, Transparency and Pillar 3, Model validation and Operational risk

The European Banking Authority (EBA) has published the following 19 new Q&As regarding issues relating to the Capital Requirements Regulation (CRR) and the Bank Recovery and Resolution Directive (BRRD):
+ 2021_5795 – Own funds – CET 1 Minority Interest Calculation and Forex conversion of non-EU subsidiary’s financial statements
Regarding minority interests calculations:
1) Should the Common Equity Tier I items of the subsidiary referred to in Article 81(1) and 84(1)(a) CRR be calculated according to the local accounting framework or according to the consolidated applicable accounting framework, when the two frameworks differ?
2) Should the Other Comprehensive Income that arises from the currency conversion of the local financial statements to the Group’s reference currency be considered in the minority interest computation?
+ 2021_6095 – Supervisory reporting – Leverage ratio – Regular-way purchases under trading date accounting and settlement date accounting
[1] There are guidelines available in C47 for reporting Regular-way purchases under trading date accounting and settlement date accounting.
There are no guidelines in C43 or C40 for reporting the same.
[2] The cash receivable and cash payable a as reported in C47, in which rows of C40 and C43 under other assets out of these positions are to be reported?
[3]As these assets of cash receivables are also reported as other assets in Row0190 are these not duplicated in C47?
+ 2022_6353 – Supervisory reporting – FINREP (incl. FB&NPE) – Validation rule v6053_m__
According to the validation rule v6053 {F 01.02, r0220, c0010} = xsum ({F 09.01.1, (r0010, r0090, r0170, c0040, c0050, c0060, c0065, c0110)}) there must be an exact match between Row 220 “Commitments and guarantees given” of F 01.02 ‚Liabilities” and the sum of the provision on off balance sheet exposures of F 09.01.1. ‚Off-Balance sheet exposures”.
Is it correct to assume that such VR would not be applicable if an entity of the Group has provision on off-balance sheet exposures and, at the reference date, falls under IFRS 5 having as a consequence a representation only on row 0290 “Liabilities included in disposal groups classified as held for sale” instead of row 0220 “Commitments and guarantees given” F 01.02 ‚Liabilities”?
Same phenomenon applies also for validation rule v1385_m: {F 01.02, r0220, c0010} = xsum({F 20.05.b, c0030, (r0010-0030, sNNN)})
+ 2021_5833 – BRRD Reporting – Own funds instruments in template M 06.00
Please clarify how Own Funds shall be reported in template M 06.00.
+ 2022_6445 – Supervisory reporting – FINREP (incl. FB&NPE) – Taxonomy 3.0 Validation Rule v3900_s
Our query refers to the EBA v3900_s validation rule of template F 02.00, which despite being non-blocking, we have to justify the module as there are negative amounts. We understand that there may be situations in which the reversal of expenses or income for interests or commissions of the current exercise exceed the expenses or income of the same period. In this situation a negative quantity should be allowed to be reported.
+ __2022_6542 – Supervisory reporting – FINREP (incl. FB&NPE) – Possible error in v8116_m
Is the following rule v8116_m: [F18.01 (c0020)] {r0050} <= {r0060} correct? + 2021_5810 - BRRD Reporting - CET1 available after meeting the entity’s requirements in case of a MPE approach How should row 0400 ('CET1 (%) available after meeting the entity’s requirements') of Template M 02.00 of the ITS on disclosure and reporting on MREL and TLAC be filled in case of resolution groups with a multiple point of entry approach (MPE), where the resolution group is different from the prudential group? + 2022_6552 - Supervisory reporting - FINREP (incl. FB&NPE) - CRE loans versus Loans collateralised by commercial immovable The question concerns the classification of commercial real estate (CRE) loans and loans collateralised by CRE in template F 18.02 of FINREP. It is not clear whether the two loan categories are mutually exclusive or whether it is possible that a loan can be classified both as a CRE loan and as a loan collateralised by CRE. + 2022_6629 - Supervisory reporting - FINREP (incl. FB&NPE) - Liability for contribution to resolution funds and deposit guarantee schemes in the form of a payment commitment Paragraph 48i of Part 2 of Annex V to Regulation (EU) 2021/451 states: '[...] Where the contribution [to resolution funds and deposit guarantee schemes] is made in the form of a payment commitment, this payment commitment shall be included in ‘provisions or (-) reversal of provisions’, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard'. It is not clear in which row of template F 01.02 should be accounted the liability. Row '0230. Other provisions' seems the best choice, but row '0220. Commitments and guarantees given' could be another choice. + 2022_6654 - Transparency and Pillar 3 - ESG P3 - Template 5 - Collaterals sub - totals In Template 5, we would like to understand how to report exposures that fall into both a sector-specific row (i.e. rows 1-9) as well as a row related to real estate collateral (i.e. rows 10-11). For example, would a loan exposure to a manufacturing corporation that is collateralized by commercial real estate be reported in both row 3 and row 11, or only in row 11 (assuming that both the collateral and the location of the activity of the exposure are within the reported geography)? + 2020_5293 - BRRD Reporting - Z 08.00 - Critical Services What is the procedure that should be followed when the type of service is not in the predefined list available for selection, as one cannot add a new type? + 2020_5266 - BRRD Reporting - P2G ratio in template Z 03.00 Based on Annex II to Regulation (EU) 2018/1264, OCR and Pillar 2 Guidance (P2G) (row 0600 to row 0620 of template Z 03.00) is the sum of OCR ratio (r0500) for row 0600 and the P2G communicated by the competent authority. Should any relief measures due to the COVID-19 outbreak for P2G be taken into account or not? + __2021_6180 - Supervisory reporting - Leverage ratio - Regular-way purchases awaiting settlement (EBA Validation rule in C 43.00 LR4 v4448_m) According to the formula v4448_m: {C 43.00.a, r0010, c0010} <= sum({C 47.00, c0010, (r0150-0180)}) This control checks the off-balance exposure declared in the C 43.00 that is equal to the off-balance declared in the rows 0150 to 0180 in the C 47.00. With CRR2, the off-balance exposures related to regular-way purchases awaiting settlement and declared on row 0188 and 0189 of the C 47.00 are not included in the formula of v4448_m. Should these new lines not be included in the formula? + 2022_6651 - Own funds - Deduction of eligible liabilities instrument pursuant to Article 32b of RTS on Own Funds and Eligible Liabilities How should an institution deduct the amount for which the resolution authority has given its prior permission under Article 78a of Regulation No 575/2013 (CRR) to reduce eligible liabilities instruments and where the permission granted only specifies a total amount of eligible liabilities instruments? + 2022_6527 - Model validation - Return to non default status Can any delay in payments be allowed in the context of the minimum conditions for reclassification to a non-defaulted status as stated in Section 7 of the EBA Guidelines on the new Definition of Default (DoD)? + 2022_6426 - Operational risk - Operational Risk - Refund of interest and fees Do we have to report refunds to customers in combination with incorrectly overchared interest/fee in COREP 17.01? And if so, in which of the following situations: 1. refund by the bank within less than 5 days 2. refund by the bank within a quarter (before the quarterly financial statement is prepared) 3. refund by the bank within one year (before the annual balance sheet and income statement are prepared) 4. refund by the bank after several years The timing of the outflow of the refund to the customer depends in each case on the time at which the error is identified. + 2021_6267 - Supervisory reporting - FINREP (incl. FB&NPE) - Classification of loans collateralized by residential and commercial immovable property According to Annex V (FINREP), ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral. In the case of an exposure collateralized by both a residential and a commercial immovable property, where just one of the two collaterals (e.g. Residential) is capable of securing all of the exposure and is the only collateral allocated so that the commercial immovable property is formally and contractually associated to the exposure but it is not allocated, how shall such loans be represented? • Loan collateralized by residential and commercial immovable property, being the existing formal/contractual relationship; • Loan collateralized by residential immovable property, assessing the real allocation of the collateral in consideration of collateral capacity and ability to back the loan. + 2022_6398 - Own funds - Deduction of indirect holdings of own funds instruments in insurance and reinsurance undertakings which are subsidiaries of insurance holding company from own funds Should indirect holdings of own funds instruments in insurance and reinsurance undertakings which are subsidiaries of insurance holding company be subject to the exemption provided for in Article 15a(2)(a) of Commission delegated regulation No 241/2014? + 2022_6374 - Own funds - Goodwill included in the valuation of significant investments__ 1. For the purposes of Article 37(b) CRR, are the significant investments of the institution limited to the significant investments in financial sector entities (FSE) or should they include all significant investments (i.e. also significant investments in entities that are not financial sector entities)? 2. Should Article 37(b) CRR be applied only when the significant investments outside the prudential perimeter are valued for prudential purposes using the equity method or should it be applied also when the significant investments are valued for prudential purposes at historical cost?