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List of Q&A's

Definition of EU OV1, row 1 Credit risk (excluding CCR)

Shall the CVA from reporting template CA2, row 0640, respectively from disclosure template EU OV1, row EU 8b, be deducted from EU OV1, row 1 (Credit risk (excluding CCR))?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6308
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/01/2023

Warning in COREP C42.00 (LR3) template validation regarding column 010, row 010 and row 020

Does COREP C42.00 template expect “Common Equity Tier 1 capital – fully phased-in definition” in row 010 column 010 should match with “Common Equity Tier 1 capital – transitional definition” row 020 column 010?

  • 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: 2021_6307
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2022

Warning in COREP C07.00 (CR SA) template validation regarding column 040 and column 110

Does COREP C07.00 template expect “Exposure net of value adjustments and provisions” in row 070 column 040 to match with “Net exposure after CRM substitution effects pre conversion factors” row 070 column 110? If yes, then how should the effect of CRM in column 050-100 be reported in C07.00 template?

  • 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: 2021_6306
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2022

Articulation and interaction of the second and the third sub-paragraph of Article 74 (1) of the PSD2

In cases where the payer could not possibly detect the loss, theft or misappropriation of his instrument before it was used, is it correct to state that there can be no liability at all, including if the payer has acted with gross negligence?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6305
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 06/01/2023

Reporting of gold positions in C 22.00

What is the correct treatment of gold positions for the purpose of reporting the currency breakdown in COREP template C 22.00?

  • 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: 2021_6304
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/10/2022

Validation rules V08993_M and V08988_M

The below (linked) validation errors were received on the funding plan reporting: V08993_M: (P 01.02, r145, c010) = xsum((F 08.01.a, (r070, r080, r090, c010, c020, c030, c034, c035))) => The vaildation rules compare the outstanding amount under central bank deposits in the FP template (P 01.02) to the carrying amount of central bank deposits in the FINREP template (F08.01.a V08988_M: (P 01.02, r010, c010) = xsum((F 08.01.a, (r100, r150, r200, r250, r300, r350, c010, c020, c030, c034, c035))) => This vaildation rule compare the outstanding amount under repurchase amounts in the FP template (P 01.02) to the carrying amount of repurchase agreements in the FINREP template (F08.01.a)   The Funding Plan instructions specifically mention that the ECB TLTRO should be reported in row 010 of template P 02.02 (Guideline EBA/GL/2019/05). Funding received through central bank funding programmes such as the ECB TLTRO shall be reported in this row independent from the legal form of this transaction, i.e. whether conducted as repo transaction or otherwise. Following validation rule v4135_m, which connects the item in P 02.02, r010 to item P 01.02, r010 (Repurchase agreements), the TLTRO is reported as a repo transaction in row 010 of template P 01.02 in the Funding Plans.   The Finrep instructions (Annex V) define repurchase agreements as transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered repurchase agreements. Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral, and amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement. In our case the TLTRO is performed using the securities of the banks as collateral. However, the banks does not sell securities to the central bank with an agreement to buy them at a later date. As a collateralization technique the central bank uses a pool of assets. A counterparty includes eligible marketable assets in the pool of assets at the central bank by ensuring the maximum pledge on such assets in favour of the central bank. Individual assets are therefore not linked to specific credit operations. Such credit operations are therefore reported in Finrep as Deposits with agreed maturity. Following the above TLTRO is reported differently in Finrep (as a deposit with agreed maturity) as in Funding plans (as a repurchase agreement). Do we have to report the TLTRO operations in Finrep as repurchase operations?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/05 – Guidelines on harmonised definitions and templates for funding plans of credit institutions under Recommendation A4 of ESRB/2012/2 - repealing EBA/GL/2014/04
  • ID: 2021_6303
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2022

Validation rule v8727_m seems to be incorrect

Validation rule v8727_m is incorrect.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2021_6302
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2022

Applicability of the SME supporting factor for financing private purposes

Where a natural person’s business activities meet the criteria for an SME, does the SME supporting factor according to Article 501 CRR also apply to exposures from financing private investments of this natural person not directly related to that business?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6301
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

In template C 34.02, the column Exposure Pre-CRM (column 150) aims to report EAD of all CCR exposures following articles 274 or 281 or 282 (according respective CCR method) and sub-sequent articles defining the effects of margin agreements or aims to report a new EAD value gross of all forms of collaterals and margins included in the margin agreement

​To comply with the requirement of columns 150, 160 of C 34.02 of Annex 1 of Regulation (EU) 2021/451 (ITS on Supervisory Reporting) we seek clarification regarding what is expected to be delivered in these 2 columns. Does any of the below 3 scenarios describe correctly the interpretation of the ITS guidance? If none of below scenarios reflect the correct interpretation, what is the calculation expected to be performed to derive the EAD Pre-CRM and EAD Post-CRM? Scenario 1: for EAD Pre-CRM value apply all SACCR formulas as if the netting set is unmargined and no form of collateral is accepted For banks under SACCR, for margined and un-margined netting sets the EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V)/(2*(1-Floor)*AddOnaggregate)] Exclude from all steps of the EAD calculation: Initial margin given or received Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given Scenario 2: For EAD Pre-CRM value, apply all SACCR formulas as if the netting set is unmargined For banks under SACCR, margined netting sets will be treated as unmargined netting sets. The EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V-C; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V-C)/(2*(1-Floor)*AddOnaggregate)] Where V includes: initial margin given Collaterals or guarantees given identified as NICA Where C includes: Collaterals or guarantees received identified as NICA Initial margin received According to scenario 2, exclude from all steps of the EAD calculation (RC or PFE multiplier) the following items: Variation margin given Variation margin received Scenario 3: For EAD Pre-CRM (col150), apply all SACCR formulas as prescribed in Chapters 4 and 6 of Title II of Part Three CRR, and for EAD Post-CRM (col160) show the effects of a third-party collateral/guarantee received pledging the netting set(s), mitigants of which, are out of the netting or margin agreement with the counterparty EAD Pre-CRM (col 150 of c34.02) calculation follows the respective formulas for SACCR (simplified SACCR or OEM according to Chapters 6 of Title II of Part Three CRR articles 274 or 281 or 282 accordingly) depending if margined or unmargined netting sets. Therefore, EAD Pre-CRM includes all the below items which are contractually part of the margining agreement with the counterparty, and which intrinsically are part of the EAD calculation and do not constitute an actual transfer of risk as per credit risk mitigation: Initial margin given or received to/from Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given EAD Post-CRM (C34.02 col160) reflects the effects of any mitigants given by a third-party (different entity from margin agreement counterparty). These mitigants may pledge one or more, derivative or SFT’s netting sets. As these mitigants are given by a different counterparty from the counterparty with who the reporting entity has a margin agreement, and consequently the covered portions by these mitigants are subject to different risk weight and there is an actual transfer of risk, it is relevant to trace what is the EAD Post-CRM value net of the effects of these mitigants.

  • 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: 2021_6300
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Clarification on the protection requirements of a CustomerID when included in a payer-presented QR-code for the initiation of (instant) credit transfers at the Point of Interaction (POI)

  Are the Customer ID’s security measures (e.g., encryption, tokenisation, transport layer security) mentioned under Q&A 5476 to be always applied in any payer-presented QR code, regardless of who generates it (e.g., including a non-PSP)?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6298
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 14/10/2022

LCR treatment of coins and banknotes stored in a centralized vault owned and operated by an external service provider

What is the LCR treatment of coins and banknotes that are stored in a centralized vault owned and operated by an external service provider?

  • 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: 2021_6297
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Relation between posted cash variation margin in derivative transactions reported in C 47.00, rows 0071, 0190 and 0210

We kindly ask EBA to confirm our understanding regarding the consideration of cash variation margin in C 47.00 or if our understanding is not correct, please give detailed instructions how to consider the variation margin in data points: {0071; 0010}, {0190; 0010}, {0210; 0010} in C 47.00.    (1) By EBA Q&A 2020_5617, the EBA has stated that, preliminary, in data point {0071; 0010} of C 47.00 the value of net eligible cash variation margin received or posted shall be reported according to Article 275 CRR. The amount to be reported here shall be limited to the amount that reduces the replacement cost given in cell {0061; 0010} to zero. Both amounts in {0061; 0010} and {0071; 0010} are multiplied with the factor 1.4. Hence, the amounts of net cash variation margin received or posted reported in {0071;0010} are entirely part of the replacement cost calculation according to Article 275 CRR. We kindly ask EBA for confirmation or correction.    (2) According to Annex XI to Commission Implementing Regulation (EU) 2021/451 receivables for cash variation margin provided where recognized under the operative accounting framework shall also be reported among other assets in position {0190; 0010} of C 47.00, with its valuation according to Article 429b(1) in conjunction with Article 111(1) CRR. Thus, the bank would report in this cell the posted cash variation margin with its accounting value after specific credit risk adjustments and how it’s recognized on the balance sheet, regardless of the treatment of cash variation margin in the positions {0061; 0010} and {0071; 0010} and regardless of the conditions of Article 429c (3) points (a) to (e) CRR. We kindly ask EBA for confirmation or correction.    (3) Annex XI to Commission Implementing Regulation (EU) 2021/451 stated that in data point {0210; 0010} of C 47.00 receivables for variation margin paid in cash to the counterparty in derivatives transactions have to be reported, if the institution is required, under the applicable accounting framework, to recognize these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. Additionally, the amount reported shall also be included in the other assets reported in {0190;0010}.     Regarding to this instruction, we wonder if the amount to be reported in {0210; 0010} has to be the amount according to Article 429b(1) in conjunction with Article 111(1) CRR (thus its accounting value after specific credit risk adjustments) or the amount calculated in accordance with Article 275 CRR multiplied by the alpha factor of 1.4. But if the amount calculated in accordance with Article 275 CRR has to be reported in {0210; 0010}, due to volatility adjustments on the variation margin, this amount could be higher than the carrying amount of the variation margin posted, reported in {0190; 0010}. This would result in a negative effect on the total leverage ratio exposure measures in {0290; 0010} and {0300; 0010}.     Further, it is stated that the amount reported in {0210; 0010} also has to be included in {0190; 0010}. Does that mean the amount of cash variation margin posted included in both data points has to be equal?  We kindly ask EBA for clarification and answering the question. The credit institution is not subject to NICA and applies German nGAAP. 

  • 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: 2021_6295
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 27/01/2023

M 02.00, r0490 - SNP issued by EU small banks only

Should we limit our reporting to SNP issued by EU small banks only?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6294
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Credit protection by an insurer provided directly on the pool of receivables

Can credit protection by an insurer, if provided directly on the pool of receivables (and not on a position held by an investor or originator in a structured transaction, can this protection), under circumstances, be taken into account in determining whether the transaction is tranched?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/09 - Guidelineson the STS criteria for non-ABCP securitisation
  • ID: 2021_6293
  • Topic: Provisions applicable to all securitisations
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Validation rule eba_v10610_m

In the template FIN18.0, for the debt instruments other than held for trading or trading (r0330), the carrying amount performing (c0020) must be equal to the sum of the "Of which" columns (c0056+c0057+c0058). The debt instruments other than held for trading or trading (r0330) is the sum of the rows (r0180, r0201, r0231). The validation rule seems inconsistent because for the debt instrument at strict locom, or fair value through profit or loss or through equity not subject to impairment (r0231), the carrying amount performing (c0020) can be feeded but not the columns "of which" (c0056+c0057+c0058) which can't be filled.

  • 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: 2021_6292
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Template 34.02 - Exposure value post-CRM

When Institutions calculate the exposure value post-CRM in accordance with the Standardised approach for counterparty credit risk, should it consider Article 274(3) of CRR?  In other words: if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, should institutions insert the first or the second value into the template? 

  • 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: 2021_6291
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Failed XBRL Rule v7370_m - Securitisations

Although BPI is identified as the "originator" (BPI's role - column C0110 from template C.14.00 of report COREP_OF)  of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402 - the main purpose of this securitisation (issued in 2018) was to close the loan portfolio of Banco BPI's Paris branch), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 (template C.14.00) request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable to this securitisation. Banco BPI would like to know if you confirm our understanding?

  • 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: 2021_6290
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Interpretation of the provision on the exemption of the exposure calculation

Do custody accounts kept by a Central Securities Depository (CSD) in order to provide custody services fall under Article 390(6)(c) CRR even if the CSD has no licence to provide payment services under Annex C point (c) of CSDR , but it has license to provide services under point (a)?    

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6289
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Inclusion of netted derivative positions in maturity profile in MREL template M 06.00

How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6288
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023