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List of Q&A's

COREP Large exposure, validation rule v_1678 related to POCI assets

In case of purchased or originated credit-impaired financial assets (POCI), it is possible that the value for positive 'value adjustments and provisions' exceeds the 'value of total original exposure' can be reported in COREP Large reports. However, DPM validation rule v_1678_m does not allow reporting of such cases.  Since it is possible to have positive impairments that exceed the total original exposure for the POCI assets, could the validation rule or its severity be modified in this respect?

  • 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: 2023_6721
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 06/10/2023

FINREP template F44.03, F44.04

In template  44.3  Staff expenses by type of benefits  in row 0010 “Pension and similar expenses” are requested. In template 44.4 Staff expenses by category of remuneration and category of staff in row 0030 “Staff expenses other than remuneration” are requested.  For the whole template the following validation rules applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error); v8364_s ({F 44.04} >= 0). This is suggesting Pension and similar expenses  and Staff expenses other than remuneration  can never be a negative amount, which we believe is not always the case (as a result of changes in the fair value of the liability recognised). Can you please amend the Validation rules by excluding row 0010 (44.3 Template), row 0020 ((44.4 Template) from those rules?

  • 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: 2023_6720
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Reporting of Counterbalancing capacity (C66.01 of ALMM reporting)

After reporting template C66.01 we received an error related to validation rule: eba_v10660_m. We asume that the validation rule is inconsistent and want to explain. As a result of reporting C66.01b “Withdrawable central bank reserves” (r0740, c0010) you have to report this as a part of “Cummulated Counterbalancing Capacity”(r1080, c0010). You also have to fill C66.01a “Withdrawable central bank reserves” (r0740, c0020) with a negative indicator, but also at “Net change of Counterbalancing Capacity”(r1070, c0020) and  “Cumulated Counterbalancing Capacity” (r1080, c0020). When you report this as mentioned {C 66.01.a, r1080, c0020} is not equal to {C 66.01.b, r1080, c0010} + {C 66.01.a, r1070, c0020} as expected by validation rule v10660. Please can you explain how we have to solve this issue?

  • 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: 2023_6719
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 06/03/2023

Whether values to be reported in template C 08.03 and C 34.07 should be based on original obligor or resultant obligor

Should the values reported in template C 08.03 be based on original obligor (immediate counterparty to whom the original exposure amount is assigned) or resultant obligor (counterparty guaranteeing the original exposure and whose PD or LGD is used for RWA calculation as result of PD/LGD substitution approach)? Consistently, as template C 34.07 has a similar structure as template C 08.03, can the logic applied for reporting values on original/resultant obligor basis in template C 08.03 also be applied to template C 34.07?

  • 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: 2023_6718
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Finrep Templates 44.03 and 44.04

In template 44.3 Staff expenses by type of benefits , in row 0050 Severance payments are requested. For the whole template the following validation rule applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error). This is suggesting severance payments can never be a negative amount, which we believe is not always the case (as a result of reviewing HR restructuring provisions as well as discounting effects of long term employee benefits. The same applies for template 44.04 other staff expense except remuneration (r0030 / c0010), where the amounts reported in 44.3 r0050/c0010 are reported, too. A positive amount reported in this item leads to the violation of the rules v8106_m and  v8364_s. Can you please amend the Validation rule by excluding the items 44.3 r0050/c0010 and 44.4 r0030/c0010 from these rules?

  • 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: 2023_6717
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6716
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Validation rule eba_v0315_m working incorrectly in C07 templates in a column 0216 for derivatives

Could validation rule eba_v0315_m be modified for a column 0216? At the moment it does not work in situations when there are derivative exposures with SME supporting factor in a row 0110 but not in an of which row 0120.

  • 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: 2023_6715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

ESG P3 - Template 2 and 5 - Gross carrying amount for loans collateralized by RRE/CRE and multiple collaterals

Question 1: For loans collateralised by CRE and/or RRE, to be reported in template 2 & 5, does the regulation allow to have their gross carrying amount not matching the gross carrying amount of the same loans reported in FINREP? Question 2: Does Q&A 6517 apply for both template 2 and 5 or only for template 5?

  • 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: 2023_6714
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 13/10/2023

European Union Allowances (EUA) as credit risk mitigant

Could European Union Allowances (EUA) received by a credit institution as collateral be considered as eligible one from prudential point of view ? If yes, how EUA should be considered ? As financial collateral or as other physical collateral ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6712
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Finrep validation v11942_m - Collaterals received on NPL

According to the validation rule v11942_m it has been stated that {F 18.00.d, r0070, c0200} + {F 18.00.c, r0070, c0210} <= {F 18.00.a, r0070, c0060} + {F 18.00.b, r0070, c0150}. However, in our case net amount of total gross carrying amount of non-performing loans (NPL) + Accumulated Impairment is not higher than the amount of total collaterals and financial guarantees received for these loans. Since this validation ID’s severity is being stated as ‘warning’ can we proceed with the actual amounts and report with this situation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6711
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Validation rules: v7374_m, v7375_m and v7377_m

Can EBA confirm that the validation rules v7374, v7375 and v7377 satisfy with paragraph 114 of Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 for investor positions?

  • 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: 2023_6710
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

ESG P3 - Reg 2453/22 - Scope of application

What is the scope of application of Regulation (EU) 2022/2453? 

  • 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: 2023_6708
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/08/2023

COREP v.3.2, C 08.01

Columns 150- 210 :CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT The addition of the following additional instructions “The reported collateral values shall be capped at the exposures value.”is not consistent with answer of FAQ 2017_3349 which specifies “The amount of collateral taken into account for a specific exposure does not have to be capped at the exposure value of the exposure in question.” Should the amounts of collateral declared be capped at the value of the 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: 2023_6707
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Deletion of several columns of COREP reports in Annex I

We have noted the deletion of several columns in several templates of Annex 1 of the COREP, detail below:    C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) Delete column 0210 RECEIVABLES C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) NO 575/2013 (CR IRB 5B) Delete column 0040 OBSERVED AVERAGE DEFAULT RATE (%) C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Delete column 0090 EXPECTED LOSS AMOUNT Instructions for this column are maintained in Annex 2 C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) Delete column 0300 LEGAL FINAL MATURITY DATE These deletions of columns do not seem justified to us, can you confirm that these columns are to be maintained in the different 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: 2023_6706
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP V3.2 – C13.01 – CREDIT RISK: SECURISATION (CR SEC)

The crossing of line 0430 RE-SECURITISATIONS with column 0160 (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data. The crossing of line 0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS with column 0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data.

  • 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: 2023_6705
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP v3.2 – C 33.00

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the direction of the 2nd parenthesis for the period intervals of rows 0170 to 0230, which generates a 'double counting', example below: r0170 [0 – 3M] r0180 [3M – 1Y] r0190 [1Y – 2Y] r0200 [2Y – 3Y] r0210 [3Y – 5Y] r0220 [5Y – 10Y] r0230 [10Y – more] The periods 3M, 1Y, 2Y, 3Y, 5Y and 10Y would be declared on 2 rows each time.

  • 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: 2023_6704
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 13/10/2023

COREP V3.2 - C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the meaning of the 2nd parenthesis for the weighting rate intervals of columns 0071 to 0096, which results in double counting. Example: C0071 [0 – 10%] C0072 [10 – 12%] C0073 [12- 20%] The same weighting rate would be declared in two columns, for example the rate of 12% would be declared in columns 0072 and 0073.

  • 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: 2023_6703
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

Leverage - Traditional securitisations under article 244 (recognition of significant risk transfer) that should be included within the scope of article 429a paragraph 1 point m

Under Article 429a §1-m of CRR2, institutions may exclude from their total exposure measure the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer (SRT), as per article 244(2).  May institutions also exclude from their total exposure measure the securitised exposures from traditional securitisations that are referred to in article 244-1-b) i.e. the securitisations under the 'full deduction' option where the originator institutions apply a risk weight of 1 250% to all retained securitisation positions or where these retained securitisation positions are deducted from Common Equity Tier 1 items in accordance with Article 36(1)(k) of the CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6702
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

COREP v3.2, C 19.00

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in implementing Regulation (EU) 2021/451 changes the meaning of the 2nd parenthesis for the weighting rate intervals of columns 0061 to 0103, which generates 'double counting', example below: C0061 [0 – 10%] C0062 [10 – 12%] C0063 [12 -20%] The same weighting rate would have to be declared in two columns, for example the rate of 10% would have to be declared in column 0061 and in column 0062, which is not logical. In addition, column 0083 has been removed from the C19.00 template in the version of Official Journal of the European Union, while column 0104 is maintained. It doesn't seem consistent to us.  

  • 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: 2023_6701
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023