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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

Template C 08.01 – Validation rule v10667_m - {C 08.01.a, r0070, c0250} * sum({C 08.02, c0110, (rNNN)}) = sum({C 08.02, c0250, (rNNN)} * {C 08.02, c0110, (rNNN)})

Range of applicability of validation rule v10667_m in force starting from June 2023 with DPM 3.2.

  • 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_6867
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2024

Template C 14.00 - Validation rule v11661_m - ({C 14.00, c0231} >= {C 14.00, c0251}) or ({C 14.00, c0265} >= {C 14.00, c0251}) - If value missing (but table prerequisites met) “treat as zero/empty string”, Template C 13.01 – Validation rule v7430_m - {c0710} = {c0720} + {c0740} + {c0760} + {c0830} + {c0850}

Range of applicability of validation rules v11661_m and v7430_m in force starting from June 2023 with DPM 3.2.

  • 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_6866
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/04/2024

C14.00 - v11661_m - Attachment and Detachment points

The EBA Validation Rule v11661_m states that: For all securitization programs (on-balance or off-balance) the attachment point (AP) of the senior tranche must be higher than the detachment point (DP) of the first loss tranche. Should this control be applicable? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6865
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/02/2024

C14.00 - v7364_m - Type of Assets (column 0160)

The EBA Validation Rule v7364_m states that: For securitization programs qualified for differentiated capital treatment and classified as traditional (and Non NPE), synthetic or ABCP, then the asset class of the portfolio (C14.00 - c0160) must be “Loans to SME (treated as corporate)” or “Loans to SME (treated as retail). Should this control be applicable?

  • 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_6864
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/04/2024

Mobile Banking Services and SCA in the same app

We use a mobile app, software installed in a separate sandbox on a multi-purpose device, for the elements of strong customer authentication. Is it correct to assume that Article 9 (in COMMISSION DELEGATED REGULATION (EU) 2018/ 389) does not prevent us from offering mobile banking services through the same app?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2023_6863
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 14/06/2024

materiality of Basis Risk

"Where the sum of floating rate instruments": Does the Sum refer to the 1)Net of reprining notional of Asset/Liability of floating rate instruments; or 2) Asset only ( as the denominator is 5% of assets), or 3)absolute value of Asset plus absolute value of Liability?  

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6862
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

Minority interests ( COREP & Net Stable Funding Ratio)

Are minority interests that arise from a subsidiary, which is a (Mixed) financial holding company in a third country and has obtained exemption for the prudential consolidation from the local regulator, eligible to inclusion in the EU parent entity consolidated? Can parent entity choose to apply CRR articles 84(2)/87(2) to exclude the minority interest of the subsidiary with potential negative equity ? What should be the treatment of the minority interest of the subsidiary with potential negative equity in the NSFR report of the parent entity?   

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6861
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

C34.02 - reporting of VM, RC and PFE when EAD is capped for margined business under SA-CCR

Under SA-CCR, when EAD for margined business is being capped at EAD value as if unmargined business (as per CRR Article 274 (3)), should all the atributes of the netting set change in reporting as if it were unmargined business? Namely: - columns 0060 or 0070 should report no value as VM or report the VM posted/received in the margin agreement (in line with ITS)? - column 0100 should report the RC calculated as if unmargined (as per CRR Article 275 (1) formulae) or report the RC calculated based on the status of margined business (as per CRR Article 275 (2)? ; same for column 0110 for PFE - netting set should flow in row 0140, unmargined business, or in 0130, margined business (as it is contractually established)?

  • 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_6860
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2024

ESG P3 - Template 3 - Indicators of potential climate change transition risk: Alignment metrics

In accordance with COMMISSION IMPLEMENTING REGULATION (EU) 2022/2453 in template 3, the institution shall disclose: 1/ Alignment metric(s) (column d) applied and the closest year of reference (column e) for the alignment metric(s) for each sector. Regarding the reference date, does it refer to the reporting date? Should it therefore have to change biannually depending on the publication of ESG Pillar 3? Otherwise, how often does it have to be updated?  2/ Institutions’ target for 3 years after the year of reference: If the reference year is different from the year of reporting (see question 1), for instance 2020 as reference date, then the target (column g) will be 2023 but as soon as the institution published the reporting for June 2024, this target won’t be relevant. Should the institution updated it and start again from 2023 as the reference date?

  • 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_6859
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 15/12/2023

Treatment of derivative positions in the event of counterparty default

Should the outflows from derivative transactions be taken into account in the calculation of the LCR ratio, when the counterparty is in default?

  • 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: 2023_6858
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 23/10/2023

Treatment of early repayment of the targeted longer-term refinancing operations (TLTROs)

Should a 0% outflow rate be applied to the cash outflow from the early repayment of the TLTRO facility by a bank, which will occur within 30 days?

  • 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: 2023_6857
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

Pillar 3 ESG Template 3 – NACE sectors scoping

The list of minimum NACE sectors provided in the template includes a combination of level 2, level 3 and level 4 NACE codes. Does this mean that if a NACE level 2 sector is mentioned, all the underlying NACE level 4 sectors are included? Or should only the level 4 NACE sectors explicitly mentioned in the list be included?  

  • 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_6856
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 15/01/2024

Pillar 3 ESG Template 3 – Decarbonization scenarios

Is it allowed to alternatively use reliable scenario sources other than the IEA NZE2050 scenario, which are more specific to certain sectors? Examples are the International Maritime Organization (IMO) decarbonization scenario towards 2050 for the maritime shipping sector and the CRREM 1.5C decarbonisation trajectories for commercial real estate.

  • 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_6855
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Validation rules and warnings

Due to the increase of interest rates, the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' is a negative number on the asset side of the balance sheet. In the NSFR this amount is reported under 'other assets' (C80.00 R1030). However, we obtain multiple warnings eba_v11531_s, eba_v11537_s, eba_v11546_s, eba_v11552_s, eba_v11565_s, eba_v11582_s. Is it possible to report a negative number under other assets, and if not where should we report the negative amount of 'fair value changes of the hedged items in portfolio hedge of interest rate risk'

  • 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_6853
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 01/05/2024

MREL-REPORTING OF THE IMPACT OF GENERAL PRIOR PERMISSION

We would appreciate a confirmation of the below described interpretation in order to correctly feed ITS MREL and TLAC template with reference dates before 30.06.2024 (when the new template will be applicable).

  • 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: 2023_6852
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as final Q&A: 31/05/2024

v09816_m, v09818_m, v09820_m, v09822_m, v09824_m - Hedging sets

Reporting instructions not clear on how to correctly interpret requirements for calculating and reporting CMV for positions with "Exclusive mapping" to one risk category. In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with reporting part of the hedging sets which are mapped exclusively to one risk category (e.g. for interest rate risk: r0060, c0050, c0060). The hedging sets can contain positions which are mapped exclusively to one risk category and positions which are mapped to more than one risk category. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but the sum of all transaction-level MV  which are exclusively mapped to interest rate are negative, therefore the positive CMV would actually be negative? Is it possible to split the hedging sets into sub hedging sets like it should be already done for multi and single name according to EBA Q&A 2022_6363? There would be sub sets with positions which are exclusively mapped to only one risk category and positions which are mapped to more than one risk category. The CMV would then be determined on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

  • 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_6851
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Limits to large exposures to a client or group when part of the customer's or group's exposures are covered by the consent referred to in Article 500a

What is a joint limit to the entire group and to exposures in all currencies in a situation where part of the exposure is subject to prior approval from the competent authority issued under Article 500a CRR?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6850
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

Day One Profit calculations

Can the EBA advise please: 1) If the implementation of the IFRS standard should differentiate between observable and unobservable parts of DOP and only defer the latter? 2) If such treatment would be both more accurately reflect the IFRS standard?  3) If such treatment would be materially beneficial for the EBA institutions and how exactly?  4) If above yes, will it work with IFRS to implement it?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6849
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Update of Q&A 2699

Q&A 2699 should be updated to indicate how to reflect the P2R in the C03 rows available since v2.8 of the COREP taxonomy.

  • 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_6848
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Validation rule v11873_m

The formula of EBA validation rule v11873_m is the following: {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140} This rule is activated in DPM 3.2 for template C 14.00, and states that the total amount of securitized exposures should be equal to or lower than the amount of notes issued in the senior/mezzanine/first loss tranches. However, depending on the characteristics of the securitization structure and the timing of the notes payments date, the amount of securitized exposures can be either higher or lower than the amount of notes issued.

  • 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_6847
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/02/2024