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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

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List of Q&A's

Clarification about v8741_m and v8443_m

With reference to DPM_3.2, i am writing to ask you for clarification regarding the two following validation rules relating to the same template, C 66.01.a, to the same columns, (0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130 ;0140;0150;0160;0170;0180;0190;0200;0210;0220), but in different rows. Our doubts concern the structure of the validation rules which is identical for both, but referred to different cells. VRule Expression v8741_m {r1070} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000) v8743_m {r1080} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000)   Is there a mistake in the validation rules structure or are they correct?

  • 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_6642
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Clarification on reporting of “Total Assets” within C40.00 {0410;0010}, as defined in Annex XI.

Annex XI defines {C40.00, r0410, c0010} as “the total assets following the scope used in the published financial statements.” Having regard to the meaning of the word “published” used within this context, please confirm whether the total assets to be reported in C 40.oo must necessarily be equivalent to the total assets disclosed in the latest interim or year-end published financial statements. If in the affirmative, this would imply that, for institutions with only semi-annual and year-end publication dates (as opposed to quarterly publications), {C 40.00, r0410, c0010} shall not be updated within two quarters during a calendar year, given that such figure would be held constant as per latest publication. If this treatment is confirmed, our question further extends to the intended reporting of constituent rows, such as C 40.00 r0010, c0010} and {C 40.00, r0090, c0010}. We understand that the scope of reporting shall be consistent across the entire template, therefore for such rows, we would like to confirm whether they shall also be kept constant as per latest published financial statements, given the lack of instruction to these specific 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_6641
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

What day count convention is to be used to determine level 2 securities in Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii)

What day count convention is to be used to determine level 2 securities, in the case of corporate debt securities, that have to comply with a maximum time of maturity at the time of issuance of 10 years ( according to Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii))?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6640
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Secured central bank lending and liquidity buffer adjustment

How to approach unwinding mechanism according to Article 17 (2) of Commission Delegated Regulation (EU) 2015/61 in case institution uses retained covered bonds as a collateral for securities financing transaction where counterparty is domestic central bank?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6639
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

NSFR - presentation operational deposits

Is the instruction in Annex 13 to item 2.6 (C 84.00, r0180, c0030) correct?

  • 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_6638
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Capital buffer applicability and validation rule v8714_m

After validation with our local authorities, the company is not subjet to any buffer in COREP C04.00. Once we post the COREP_OF report at NBB, we get an error v8714_m related to capital buffers.  EBA is expecting a value based on the regultory own funds while it is not applicable for our institution. Is is possible to manage the applicability at report level to disable the validation rule ?  

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6637
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Calculation of a Prudent Value in combination with CET1-Deduction according to article 89 and 90 CRR

In case of applying article 89 CRR in combination with article 90 CRR for a risk exposure (asset) is there a requirement of calculating an additional valuation adjustument (AVA) although the calculated amount of CET1-deduction of the risk exposure already lowers CET1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2022_6636
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Definition of off-balance sheet assets under IFR

Should the assets which an investment firm safeguards and administers for clients (ASA) and assets under management (AUM) be included in the off-balance sheet total of an investment firm for the purpose of calculation of 100 million euro threshold set out in Article 12(1) h of IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6635
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 12/09/2023

Debt securities issued by corporate treasury entities

Can debt securities issued by corporate treasuries organised in separate legal entities be classified as “corporate debt securities” for the purpose of Delegated Regulation (EU) 2015/61?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6634
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Minimum loss coverage for non-performing exposures under Article 469a

In case a default occurred on a debt obligation originated before 26 April 2019, and if the originating bank grants the defaulted obligor a forbearance measure in the form of a partial refinancing of a debt obligation to cover past due payments on the original debt obligation and thus effectively increases the bank’s total exposure towards the obligor, will the original debt obligation, which has not been increased, cease to be subject to the derogation provided for in Article 469a(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6633
  • Topic: Credit Risk – Non performing exposures / loan origination
  • Date of submission:
  • Published as final Q&A: 22/03/2024

DLT issuances that are sold exclusively to retail or corporate investors

In relation with Q&A 2013_288, can fully or partially tokenized issuances that are sold exclusively to retail or corporate investors, when duly proven and verified by DLT technology, be treated as retail stable funding or corporate funding (whichever applies) under the LCR and NSFR metrics ?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6632
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Reporting of central bank exposures - C 40.00

Is the intention of data points {row 0090;col 0010} and {row 0090;col 0020} to exclude central bank claims given individual disclosure in {row 0380;col 0010} under taxonomy 3.0 guidance?

  • 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_6631
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting). The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT. A repo transaction is composed by only 2 parameters, the security posted and the cash received. In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions: What is the notional amount of the repo to be reported in column 0030 ? The security value posted (or the security nominal ?) The Cash nominal received The security value posted - the cash received Not relevant, do not populate Other, please indicate What is the current market value of the repo to be reported in column 0040/0050 ? The security value posted The Cash nominal received The security value posted - the cash received The security value posted as a negative position (column 0050) Not relevant, do not populate Other, please indicate What is the exposure value pre-crm to be reported in column 0150 ? The security value posted The security value posted - cash received Other, please indicate

  • 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_6630
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

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.

  • 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_6629
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Validation Rule EBA_v10013 breaching

Validation rule v_10013 fails due to the positive sign of the amount of automatic exchange rate differences classified in column 0070, row 0060. (‘Outflow due to negative changes in value - Other adjustment (-) - Automatic exchange difference (-)’) With regard to column 0070, there seems to be no other rows available in order to classify the automatic exchange rate differences (either positive or negative). How can we overcome the rule breaching?

  • 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_6628
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Validation rules of C 05.01 - IFRS9 transitionals

How should the impacts of the transitional arrangements IFRS9 on impairments be reported in template C 05.01, in particular the impacts on Total Risk Exposure in column 0040? The guidelines for rows r0440 to r0443 and columns 0010 to 0040 are quite clear. But what about the totals for {r0100, c0040} and {r0010, c0040}? 

  • 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_6627
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

ITS ESG P3 - Template 1 - Scope 3 & Sector average emissions intensity

Three questions with regard to Template 1: Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity: 1) column I: How to understand this instruction relating to Scope 3: The estimation of scope 3 emissions per sector shall be done in a proportionate way: e.g. by taking the institution’s exposures (loans and advances, debt securities and equity holdings) towards the counterparty compared to the total liabilities (accounting liabilities and shareholders’ equity) of the counterparty? 2) column I: How will the bank use the estimates of "sector avarage emissions intensity" in template 1? 3) What type of data should the bank disclose in scope 1 and 2? In the template 1 table, there is a separate column for Scope 1, 2, and 3, and separate for Scope 3 itself. Scope 1 and 2 are the consumption of the organization, they do not concern financing – what exactly is the bank to report there?  Full Scope 1 and 2 of  clients or in some proportion?

  • 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_6626
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023

ITS ESG P3 - Template 2 - Column A & Totals in row 5 and 10

Two questions with regard to Template 2:  Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral: 1) Should the columns h-p sum up with b-g and simultaneously with the column a? 2)  In which lines to report a situation in which the bank estimates the energy efficiency of collateral a housing mortgage? Should rows 5 and 10 be a sum of rows 2-4 and 7-9 respectively?

  • 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_6625
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Exemption of exposures to public sector entities

In accordance with Article 429a (1) (j) (iii) of Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, exposures to public sector entities (PSE), treated in accordance with Art. 116 (4) CRR and arising from deposits that the institution is legally obliged to transfer to this PSE for the purpose of funding general interest investment, shall be excluded from the denominator calculation of the institution´s leverage ratio.  Is there any limitation in the type of deposit assets to apply for such exclusion, particularly as regards cash-assimilated instruments (Article 4 (1)(60) CRR), which include certain categories of bonds? What is meant by “legal obligation” and what creates such obligation? Would contractual or statutory obligation qualify as such? Is there furthermore an example for “general interest investment”?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2022_6624
  • Topic: Leverage ratio
  • Date of submission:

ITS ESG P3 - Template 5 - Physical risk models - Template 1 - Power generation thresholds

Question 1: Regarding power generation thresholds as outlined in the EU article 12.1(g) of the EU Paris-aligned Benchmarks Regulation referenced in Template 1: “companies that derive 50 % or more of their revenues from electricity generation with a GHG intensity of more than 100 g CO2 e/kWh.” (a) Should we look at % revenue by separate sources of fuel or %revenue for the combined fossil fuel power generation of this company? (B) This can be interpreted as a dual factor (revenue from power generation and power generation carbon intensity). What happens if one of the factors is fulfilled, i.e. more than 50% of revenue from power generation, but not the other, i.e. less than 100 gCO2e/kWh. Question 2: Regarding Template 5, do banks need to include exposures based in non-EU geographies? There is no explicit guidance on Template 5. Question 3: Regarding Template 5, we would propose a physical risk assessment for the REMIND NDC climate change scenario (roughly 3 degree global warming in 2100) for the year 2050 (and also with data for “today” ). Is this in line with what the EBA expects? Question 4: Regarding Template 5, which option below is the correct information to fill out for column (j) “of which exposures sensitive to impact both from chronic and acute climate change events”? Question 5: Under which circumstances do banks outside the EU (e.g., Switzerland, UK or US Banks) need to report under EBA Pillar 3? Will the EBA provide a list also for these non-EU based banks falling under EBA Pillar 3?

  • 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_6623
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023