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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

Calculation of 17.65% CET1 threshold

In CRR article 48(2) it 19s defined calculation of threshold as follows:"2. For the purposes of paragraph 1, the threshold amount shall be equal to the amount referred to in point (a) of this paragraph multiplied by the percentage referred to in point (b) of this paragraph: (a) the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;(b) 17,65 %."However in the instruction of the ITS on supervisory reporting on row 210 of CA4 is supported by Article 48(1) of CRR and explains the following:"This item contains the 17.65% threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10% threshold.The threshold is calculated so that the amount of the two items that is recognised must not exceed 15% of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions."As the respective article 48 points (1) or (2) do not refer to 15% threshold, this reference in annex 2, in row 210 of CA4, in last paragraph to, 1815% of the Common Equity Tier 1 19 should be read as '17,65% of the Common Equity Tier 1'?Or does the threshold 17,65% of row 210 of CA4 actually includes calculation of 15% threshold? In this case, how? 

  • 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_1180
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Scaling factor for IRBA securitisations with 1250% risk weight under the Ratings Based Method

Does an institution have to multiply the risk-weighted exposure amount of a banking book IRBA securitisation with a 1250% risk weight under the Ratings Based Method with the scaling factor of 1.06?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1179
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 27/03/2015

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

Calculation of foreign exchange position for non-FX derivatives denominated in foreign currency

Should non-FX derivatives denominated in foreign currency be treated as cash position or net forward position? Should it be treated in market value (as showed in balance sheet) or like FX swaps in principal amount (as showed in off-balance sheet)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1171
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 12/09/2014

Template F 16.01 - Interest income and expenses by instrument and counterparty sector

Template 16.01 requires the interest to be broken down by interest income and expense and also by financial instrument. Institutions use derivatives to manage financial instruments designated at fair value. For those that do not qualify for hedge accounting they act as an economic hedge with changes in the fair value of the hedged item. Typically, derivatives are used to manage fair value movements of debt securities issued, which are designated at fair value. One part of this economic hedge is the recording of net interest income. In IFRS the derivative interest income is netted within interest expense against the debt security issued as these balances are managed together. As FINREP requires the interest to be split out by instrument there would be a negative derivative expense. This negative amount should be presented in interest income so that total interest income is disclosed correctly in row 270. However the amount in row 010 column 020 would cause EBA v3951_s signage validation to fail as it requires a positive balance. Please can EBA advise on whether FINREP can permit a negative derivative expense for derivatives (row 010, column 020).

  • 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_1169
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 11/01/2019

Reference period for items reported on a cumulative basis

According to the Final Q&A 2013_619 (posted on 30/04/2014), ‘information submitted… referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date’, ‘the FINREP templates should be reported on a cumulative basis’.However, the Final Q&A 2013_158 (posted on 14/02/2014), talking about ‘Amount of cumulative change in fair values’, says that ‘Retrospective application back to the date of initial acquisition’ or ‘to apply the requirements retrospectively from the earliest period practicable’.We also saw a reference about certain period in Annex V, Part 2, paragraph 86 of the ITS on Supervisory Reporting that made us doubt: ‘Change in fair value for the period shall include gains or losses from re-measurements of the instruments in the period’.Having these three different alternatives about reporting period’s calculation, which option would be the most appropriate to apply on ‘Amount of cumulative change in fair values’?

  • 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_1165
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Lines 290 to 320 of the CR SA’ state

1/ For lines 290 and 310, are the columns "215" and "220" matching the exposures’ weighted amounts if they were not secured by a mortgage or is it necessary to declare the same weighted amounts shown in line 010 classified according to the category of the exposure’s original counterpart. 2/ For lines 300 and 320, is the column "215" matching the exposures’ weighted amounts if they were not in default or is it necessary to declare the same weighted amounts shown in line 010 classified according to the category of the exposure’s original counterpart. 3/ Lines 300 and 320 of the CR SA’ state concern defaulted exposures for which categories before being in default were as such: - Central governments and central banks - Regional and local administrations - Public Sector Entities - Institutions that are not subjected to an evaluation of short-term credit - Businesses/Corporates that are not the subjected to an evaluation of short-term credit - Retail (customers ) Can you confirm that defaulted exposures secured by a mortgage are not affected by lines 300 and 320 of the CR SA state? However, they will be reported in the column "020" of the line 90 of the CR GB 1 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: 2014_1163
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/09/2014

30% shock - template Part C-34.00-AE-CONT 120-020.

30% shock - template Part C-34.00-AE-CONT 120-020 - regarding Funding for Lending (FLS) pools, we have made an assumption that a 30% shock is applied to the Bank of England Fair Value amount, is this correct?

  • 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_1156
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Over collateralising on template 35 incorporation of present value of swaps (F35.00)

Template F35.00 is requesting fields to be populated for Row 020 in columns 080, 210, and 220-250. Although col 080 sits within the “Covered Bond Liabilities” section of the template, the caption itself (and definition) are specific to “cover pool derivative positions”. Accordingly, we assume this could potentially relate only to derivatives associated with the underlying mortgage assets which are included in the cover pool (i.e. as security for the covered bonds in issue) and would not include any derivative positions associated with the covered bond liabilities themselves. (If our assumption in #1 is correct), the definitions of row 20 and columns 080 and 210 further make reference to only those derivative positions that are determined in accordance with the relevant statutory covered bond regime’s rules to be included in the cover pool, are subject to the respective CB protective measures, and are included in determining sufficient coverage – please refer to full definitions below. Asset Specific Value (row 030), col’s 150, 220-250 are not included in the CB regime rules for asset coverage calculations. If this is the case, on the basis of the definitions included, does this mean that our “cover pool derivative positions” for purposes of reporting within this template are nil? If so, then there would be nothing for us to report here. Can the EBA please confirm the position?

  • 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_1155
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Pro-rata of pool to work out encumbered and un-encumbered assets (F32.01, F32.03, F32.04, F33.00, F35.00, F36.01).

Can firms split what counts as encumbered or not encumbered by pro-rating the pool of assets by self-issuance retained and as a proportion of total issuance?

  • 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_1154
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Operational risk - compliance risk

Does the definition of operational risk include compliance risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1153
  • Topic: Operational risk
  • Date of submission:
  • Published as final Q&A: 25/07/2014

Template F 40.1 c095

What should be reported in template 40.1 c 095 "sector of investee"? The designation "sector" is misleading. The explaintation of the column ITS part 2.124 (h) refer to ITS part 1.25: “Sector of investee” means the sector of counterparty as defined in paragraph 25 of Part 1. But the ITS part 1.25 has no relation to template 40.1. The ITS part 1.23 explains that Financial assets shall be distributed among the following classes of instruments: “Cash on hand”, “Derivatives”, “Equity instruments”, “Debt securities”, and “Loan and advances”. Is this a wrong referencing? What should be reported in this column? 1) Should be reported the counterparty, which is described in ITS part 1.35? If yes than in our opinion the counterparty Central banks, General governments and Households must be excluded? 2) Should the sector / branch of the entity be reported in this column? If yes what is the difference between 095 and column 100 "Nace Code"?

  • 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_1152
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/02/2016

Eligible capital under Art. 4(1)(71)(a) and (b) CRR

The position C 04.00, r 220 (ID 11) "Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures" conflates two distinct definitions of "eligible capital", i.e. eligible capital for the purposes of Title III of Part Two CRR (cf. Art. 4(1)(71)(a) CRR) and eligible capital for the purposes of Art. 97 and Part Four CRR (cf. Art. 4(1)(71)(b) CRR). The two definitions of eligible capital differ with regard to the deduction under Art. 36(1)(k)(i) CRR and, if applicable, the resulting limitation in the eligibility of Tier 2 capital (which may not exceed one third of Tier 1 capital for the purposes of both lit. (a) and lit. (b)). Hence it is necessary to split the position into two positions.

  • 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_1150
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 29/10/2014

Validations between F 13.01 and F 05

According to the Final Q&A 2013_512 (posted on 21/03/2014), “the amounts to be reported in templates F 05.00 and F 13.01 diverge. Within F 05.00, the outstanding amount of the loans shall be reported, while in F 13.01, it is the amount of the collateral that shall be declared capped by the amount of the loan”. “(…) That means that the validation rule v1074_m shall be expressed with the sign “<=”, that is, sum({F 13.01, r010, (c010-020)}) <= sum({F 05.00, r090, (c020-060)}”. We understand that if validation rule v1074_m is corrected, other validations that relate templates F13.01 and F05 with the sign“=” should be also modified. Would it be also necessary to correct the sign “=” on validations that are listed below? v1076_m v1077_m v1079_m v1080_m v1082_m v1083_m v1085_m (See example of validations v1076_m or v1077_m in attached document)

  • 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_1141
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 29/01/2016

Maturities in Large exposure report (LE4; top 10)

How should we interpret and apply the reference to the instructions of the maturity ladder template of the additional metrics on liquidity in Annex IX 18Instructions for reporting large exposures and concentration risk 19?

  • 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_1137
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 09/09/2016

CA3 - rows 110 and 120

CA3 row 110 and 120 only need to be populated if a competent authority decides that a bank has to meet a higher target total capital ratio (r120) or has an impact on the total capital ratio (r110). Can you please advise, whether these cells need populating or not.

  • 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_1136
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Validation Rule v3684_s,v3693_s,v3695_s

The fields within the scope of the three rules deliver values for various transitional adjustments to different types of capital.The three rules(v3684_s,v3693_s,v3695_s ) state that these values must be positive. There may be a problem with the sign, as some of the values referenced per CA1 could be negative.As examples I hereby include: -v3684_s : CA1 - field [730,010] Other transitional adjustments to AT1 Capital ; field [960,010] Other transitional adjustments to T2 Capital -v3693_s : CA5.1 - field [140,060] Deductions; field [180,060] IRB shortfall of provisions to expected losses; Are these rules correct ?(perhaps just the scope of the rules needs adjusting)

  • 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_1133
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

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