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List of Q&A's

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

Maturity reporting for Pillar 3 ESG risks disclosure, Template 1 and 5

How should we treat products without stated maturity (such as on demand, equity, perpetual loans) in the maturity buckets and in the average weighted maturity computation? E.g. perpetual loans will probably end up in the >20 years bucket, but which year should we use for the computation of the average weighted maturity? Or Equity holdings are mentioned in the instructions, but it's not clear in which maturity bucket we should report them and which year to use for the computation of the average weighted maturity.  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6515
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

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

Scope of templates C 08.05 and C 08.05.1

What is the criterion that an exposure class must meet to be included in template C 08.05.1 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”)? Should the exposures included in that template be complementary of those included in template C 08.05 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”) or should an extra detail be provided for certain categories? From the point of view of Pillar 3 disclosures, the same question applies to tables EU CR9.1 and EU CR.9 respectively, as they replicate the content and structure of the mentioned reporting templates.

  • 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_6513
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Scope of the C 08.07 template

Where a group as defined in Article 4 of CRR has both SA and IRB exposures, what should be the scope of the total exposure value subject to SA and IRB as defined on column 0020 of template C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches)? Should the scope only include entities consolidated within the group with permission to use the IRB approach, or should it include all entities consolidated within the Group, even those with no permission to use IRB approach and no IRB exposures?

  • 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_6512
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

v6566_s - Negative FV changes of hedged items (C 32.01)

How should negative fair value changes of the hedged items in portfolio hedge of interest rate risk be reported in the context of the prudent valuation templates in COREP (C 32.01)?

  • 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_6511
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Template 10: other climate change mitigating actions

Should template 10 include exposures to counterparties not included in GAR e.g., exposures to be included in BTAR (template 9) or exposures that is either taxonomy eligible or aligned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6510
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 10: Other climate change mitigating actions - Repurchases double counting

How do we avoid double counting if we invest in our own covered bonds? Both the loan and the covered bond will be in Template 10.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6509
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 10: Other climate change mitigating actions - Covered bonds

Is it correct that a covered bond will be classified as a bond with a credit institution (financial corporation) as counterparty?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6508
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 5: climate change physical risk

What is meant by “other relevant sectors” - could it be a sub sector of the sectors in row 1 to 9?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6507
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is column “p” to include the share of gross carrying amount without EPC label, for which there is data on the actual energy consumption from measured consumption in the real estate?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6506
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is it allowed to use more precise information about the energy consumption of the collateral (i.e. primary data on actual building energy consumption) instead of the consumption indicated in the EPC label?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6505
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

C 34.06 – Top twenty counterparties

In the COREP Own Funds reporting template C 34.06 the top 20 counterparties ranked by CCR exposure shall be shown. If a counterparty acts both as QCCP and as Non-QCCP/bilateral counterparty, should the counterparty be listed twice in the template or only once with the higher exposure?

  • 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_6504
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is EBA aware of any data providers that have information of the companies excluded from the EU Paris-aligned Benchmarks in accordance with points (d) to (g) of Article 12.1 and in accordance with Article 12.2 of Climate Benchmark Standards Regulation or are the companies required to publish that kind of information under other EU legislation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6503
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Are you obliged to use the NACE code sector of the specific obligor under the holding company (template 1, point 8 on page 10 in Annex XL)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6502
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Specialised Lending - Interpretation of contractual arrangements that give the lender a substantial degree of control

How shall Article147 (8)(b) CRR be interpreted when identifying ‘contractual arrangements that give the lender a substantial degree of control over the assets and the income that they generate’ in the context of real estate financing?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6501
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

C 06.02 – Reporting of branches

Are branches in the scope of the template C 06.02 (Group Solvency: information on affiliates)? If yes, should information on them - i.e. their contribution to the group solvency - be computed within the subsidiary which they are branches of? Or should they be reported in separates rows?    

  • 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_6500
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Consideration of STS in synthetic securitisations

When a synthetic securitisation fulfills STS criteria (Article 243(2) CRR), are all its tranches considered STS in the RWEA calculation and in COREP reporting, or only the senior tranche?  

  • 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_6499
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

validation rule eba_v2708_m

In template F 18.00, the following validation rule is applied: sum({F 18.00.d, (r0005-0335, r0920, r0923, r0930, r0933), c0200}) + sum({F 18.00.c, (r0005-0335, r0920, r0923, r0930, r0933), c0210}) <= sum({F 18.00.a, (r0005-0335, r0920, r0923, r0930, r0933), c0060}) + sum({F 18.00.b, (r0005-0335, r0920, r0923, r0930, r0933), c0150}). We have a problem understanding regarding r0005-0335: In the formula, we have to take the sum from row 0005 to row 0335, but these cells correspond to the sum of the detail cells, with the detail cells and the cells of 'of which'. That seems abnormal as rule, and in the rest of the formula, the 'of which'-cells r0920, r0923, r0930 duplicated.

  • 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_6498
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v10672_m for C 08.01 not relevant

Is EBA validation rule v10672_m for template C 08.01 (CR IRB 1) relevant?

  • 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_6497
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022