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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

How to fill in row 0150 on "Equity" in C 08.07

In the C08.07 report, column 0010 'TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR' refers to Article 166 which applies to exposures to companies, institutions, central governments and central banks and retail customers. If this column concerns the elements mentioned in Article 166, row 0150 “EQUITY” should not be filled in column 0010. Can you tell us if row 0150 “EQUITY” in column 0010 “TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR” must be completed?

  • 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_6657
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

The Max Single Loss and the Top 5 Largest Loss Controls do not consider losses re-allocated from one business line to another.

Taking into account the background described in the present form, should the EGDQ_0088a and EGDQ_0082 be set up as non-blocking? If not, what should be the financial institution’s approach, regarding BBL allocation, on situations where a past loss has increased and is transferred to another BBL between two reporting period?

  • 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_6656
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Beneficial ownership on Securities Financing Transactions (SFTs)

Is the beneficial ownership the only criterion to be followed for the treatment of securities financing transactions (as stated in Article 428p (2) and Article 428p (3)), even when its application would not be coherent with the accounting rules (as stated in Article 428c (2))? Moreover, as stated by Article 428p (3), for repos, in which the bank has no beneficial ownership on the collateral, would it be correct to report only the ASF impact of the cash leg, without reporting also the impact of the collateral leg (i.e., the encumbered security) on RSF and, by doing this, treating repos like unsecured funding transactions?

  • 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_6655
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

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)?

  • 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_6654
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 31/03/2023

New Pillar III ESG Template 1

In Template 1, we see that sector “I – Accommodation and food service activities” in row 51 is included in the “Exposures towards sectors that highly contribute to climate change”. The asterisk to the latter further specifies: “In accordance with the Commission Delegated Regulation (EU) 2020/1818 supplementing regulation (EU) 2016/1011 as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks -Climate Benchmark Standards Regulation - Recital 6: Sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006”. Sector I is not included in the asterisk as one that highly contributes to climate change. We wonder if Sector I is correctly categorized as a sector that highly contributes to climate change in Template 1, and if the exposures in this row should roll up into the subtotal of row 1, as implied by that template.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6653
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2023

ESG P3 - Scope of application of Article 449a

Could you please clarify and confirm the scope of application of Article 449a CRR for different kinds of supervisory groups and entities, including situations where the head of the group is a (mixed) financial holding, or the group has credit institutions affiliated with the central body? In general: can a (mixed) financial holding be considered a large institution on a consolidated basis (as per the CRR definition), and therefore would it have the obligation to disclose? Or should the disclosure requirement be on the credit institution underneath? And if the latter, at what level should it disclose, at highest level of consolidation of the group, i.e. the FH or its own level? If the requirements are applicable at the top level, i.e. the (M)FH, if a financial holding is large but not listed and one of the subsidiaries underneath is listed (large or not), shall it be considered that the conditions large and listed are fulfilled?

  • 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_6652
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

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?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2022_6651
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Annex XI - Leverage (template C43)

It is not clear from the instructions what exposure amount is expected to be reported for items deducted from capital in the columns dedicated to RWEAs in C43.

  • 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_6650
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • 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_6649
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Validation rule v7371_m and v7372_m

Paragraph 114 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting) states that investors in securitisation positions should report among others columns 0310-0470 in C 14.01. Validation rule v7371_m and v7372_m expects column 0140 and 0230 to be filled in C 14.00 when column 0310 in C 14.01 is filled. We believe however that columns 0140 and 0230 in C 14.00 are only to be filled by originators/multi-sellers and not investors.

  • 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_6648
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Asset amount deducted - Tier 1 capital (Derivatives Cash Flow Hedge)

Derivatives positions can be an Asset or a Liability depending on market situations, while their related CF hedge amount is always a Credit/Debit amount booked on Equity level, thus the CF hedge reserve does not fully match an asset in the leverage ratio. Shall we always deduct the cash flow hedging reserve in Leverage Ratio calculation?

  • 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: 2022_6647
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Actual or contingent obligations to purchase own CET1 instruments value

The deduction of direct holdings (1.1.1.1.4.1) will be based on the book value of the purchased equity shares similarly to Financial reporting, while the price used to value the share of the contingent obligation when purchasing our own CET1 instruments ( 1.1.1.1.5) is not clear if it should be on the nominal value, market value, book value shares valuation,…?

  • 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: 2022_6646
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

Filing indicator for reports not in scope of the period

As per the latest update of EBA filing rules, filing indicators have to be present for all the templates in scope of reporting modules. Does this include the reports which are not applicable for the reporting period, e.g. reports which are submitted yearly? should the filing indicator for the yearly scope be present in quarterly submission?

  • 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_6645
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Use of the substitution approach for retail exposures treated under IRB with a guarantee (unfunded credit protection)

The institution has exposures to retail clients (mortgage loans) that are treated under IRB. Some of these exposures have a guarantee (unfunded credit protection) that is eligible in accordance with the relevant requirements of credit risk mitigation. The institution applies Article 163 (4) and 164 (2) and adjusts PD or LGD estimates subject to requirements as specified in Article 183(1), (2) and (3) and the permission of the competent authorities. Does the institution has to use the substitution approach for this guarantee for large exposures (and thus present the counterparty giving the guarantee, and the guaranteed amount given as indirect exposure as financial guarantee under the large exposure reporting) as indicated in Article 403 (1)a?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6644
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Deferred Tax Liabilities (DTL) that are non-deductible from Deferred tax assets (DTA) as per accounting rule

Where do we book the temporary Deferred Tax Liabilities(DTL) differences that are non deductible from Deferred tax assets (DTA) as per accounting rule?

  • 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_6643
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 13/10/2023

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