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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

Scope of the C 08.07 template

Where a group as defined in Article 4 of CRR has both SA and IRB exposures, what should be the scope of the total exposure value subject to SA and IRB as defined on column 0020 of template C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches)? Should the scope only include entities consolidated within the group with permission to use the IRB approach, or should it include all entities consolidated within the Group, even those with no permission to use IRB approach and no IRB exposures?

  • 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_6512
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

v6566_s - Negative FV changes of hedged items (C 32.01)

How should negative fair value changes of the hedged items in portfolio hedge of interest rate risk be reported in the context of the prudent valuation templates in COREP (C 32.01)?

  • 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_6511
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Template 10: other climate change mitigating actions

Should template 10 include exposures to counterparties not included in GAR e.g., exposures to be included in BTAR (template 9) or exposures that is either taxonomy eligible or aligned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6510
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 10: Other climate change mitigating actions - Repurchases double counting

How do we avoid double counting if we invest in our own covered bonds? Both the loan and the covered bond will be in Template 10.

  • 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_6509
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 10: Other climate change mitigating actions - Covered bonds

Is it correct that a covered bond will be classified as a bond with a credit institution (financial corporation) as counterparty?

  • 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_6508
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 5: climate change physical risk

What is meant by “other relevant sectors” - could it be a sub sector of the sectors in row 1 to 9?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6507
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is column “p” to include the share of gross carrying amount without EPC label, for which there is data on the actual energy consumption from measured consumption in the real estate?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6506
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is it allowed to use more precise information about the energy consumption of the collateral (i.e. primary data on actual building energy consumption) instead of the consumption indicated in the EPC label?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6505
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

C 34.06 – Top twenty counterparties

In the COREP Own Funds reporting template C 34.06 the top 20 counterparties ranked by CCR exposure shall be shown. If a counterparty acts both as QCCP and as Non-QCCP/bilateral counterparty, should the counterparty be listed twice in the template or only once with the higher 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: 2022_6504
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is EBA aware of any data providers that have information of the companies excluded from the EU Paris-aligned Benchmarks in accordance with points (d) to (g) of Article 12.1 and in accordance with Article 12.2 of Climate Benchmark Standards Regulation or are the companies required to publish that kind of information under other EU legislation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6503
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Are you obliged to use the NACE code sector of the specific obligor under the holding company (template 1, point 8 on page 10 in Annex XL)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6502
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Specialised Lending - Interpretation of contractual arrangements that give the lender a substantial degree of control

How shall Article147 (8)(b) CRR be interpreted when identifying ‘contractual arrangements that give the lender a substantial degree of control over the assets and the income that they generate’ in the context of real estate financing?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6501
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

C 06.02 – Reporting of branches

Are branches in the scope of the template C 06.02 (Group Solvency: information on affiliates)? If yes, should information on them - i.e. their contribution to the group solvency - be computed within the subsidiary which they are branches of? Or should they be reported in separates 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_6500
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Consideration of STS in synthetic securitisations

When a synthetic securitisation fulfills STS criteria (Article 243(2) CRR), are all its tranches considered STS in the RWEA calculation and in COREP reporting, or only the senior tranche?  

  • 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_6499
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

validation rule eba_v2708_m

In template F 18.00, the following validation rule is applied: sum({F 18.00.d, (r0005-0335, r0920, r0923, r0930, r0933), c0200}) + sum({F 18.00.c, (r0005-0335, r0920, r0923, r0930, r0933), c0210}) <= sum({F 18.00.a, (r0005-0335, r0920, r0923, r0930, r0933), c0060}) + sum({F 18.00.b, (r0005-0335, r0920, r0923, r0930, r0933), c0150}). We have a problem understanding regarding r0005-0335: In the formula, we have to take the sum from row 0005 to row 0335, but these cells correspond to the sum of the detail cells, with the detail cells and the cells of 'of which'. That seems abnormal as rule, and in the rest of the formula, the 'of which'-cells r0920, r0923, r0930 duplicated.

  • 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_6498
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v10672_m for C 08.01 not relevant

Is EBA validation rule v10672_m for template C 08.01 (CR IRB 1) relevant?

  • 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_6497
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Interaction between (i) CET1 deduction for minimum coverage on NPE and (ii) REA calculated under IRB-Advanced

In accordance with CRR art. 36(1)m and 47c the amount of insufficient coverage for non-performing exposures is to be deducted from CET1. Simultaneously the CRR requires institutions to calculate risk weighted exposure amounts (REA). This may result in a situation whereby for a given exposure the underlying risk is double-counted, once through available funds (deduction of CET1) and once through required funds (REA). Such double-counting is not intended, as also recognized in art. 67 of the ‘EBA REPORT ON STATUTORY PRUDENTIAL BACKSTOPS’. W.r.t. exposures under the IRB-Advanced approach the ‘EBA REPORT ON STATUTORY PRUDENTIAL BACKSTOPS’ further states in art. 69 that ‘In this respect Article 151(1) CRR clarifies that no own fund requirements should be imposed on parts of exposures that have already been deducted from CET1 while parts of exposures that have not yet been deducted from capital should still be risk-weighted to address any unexpected losses.’ While based on CRR art. 151(1) it appears clear that in theory only the exposure remaining after partial CET1 deduction (due to CRR art. 47c) is still to be risk weighted, clarification is sought on how exactly the risk weight on parts of a non-performing exposure is to be calculated in practice under the IRB-Advanced approach. Assume an exposure of 1000, under IRB-Advanced. Both the provision and the ELBE are equal to 300 (30%), while the LGD is equal to 500 (50%). In accordance with Art. 153(1) and 154(1) the REA is then calculated as 1000 * max(0, 12.5 * (LGD – ELBE)) or a REA of 2500. Now assume a minimum coverage expectation in line with art. 47c of 70%, i.e. 700. The resulting insufficient coverage thus equals 400, which is deducted from CET1. Remaining exposure to be risk weighted is 600. How to calculate the REA on this 600 given that ELBE and LGD were modelled based on an original exposure of 1000? Is our understanding correct that the REA on the remaining exposure is intended to be zero as provisions and CET1 deduction combined already exceed the (downturn) LGD? I.e. REA is only required for the 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6496
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Exclusion of intragroup transactions with entities in third country from the CVA risk charge

May a transaction towards an entity of the group be excluded from the CVA own funds requirements under Article 382(4)(b) CRR, when such entity is established in a third country, and for that third country, an equivalence decision under Article 13(2) of Regulation (EU) No 648/2012 has been adopted by the Commission only in relation to certain part of respective requirements?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6495
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/09/2022

Treatment of multi-seller securitisations in CRR

It is not clear from the provisions of the CRR how to treat multi-seller securitisations.  Multi-seller securitisations are those securitisations where there is more than one originator. That is, the underlying pool of the transaction comes from more than one single entity and the originators retaining the securitisation positions are exposed to the risk of the joined portfolio and not only to the risk of the portfolio they have transferred to the SSPE.  In those cases: Should  each originator be considered as such and consider that the significant credit risk associated with its securitised exposures has been transferred to third parties in accordance with Article 244(1)(a), and therefore originators should treat their retained securitisation positions as a positions subject to the securitisation framework? Or should all the originators be considered as investors in the securitisation due to the fact that the proportion of the assets that each originator has transferred to the SSPE represents a minimum share of the overall portfolio in the SSPE?   Would that treatment also apply in those cases where the originators retain all the asset backed securities issued in the securitisation (liquidity purpose securitisation)?   Would the originators be considered as such for the purpose of the overall cap under Article 268?   Should any dominant entity contributing with a majority of assets in the pool be subject to the general SRT rules and the rest of originators be considered as investors? Which percentage should be considered to trigger such a dominant position?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6494
  • Topic: Securitisation and Covered Bonds
  • Date of submission:

Treatment of Non Retail deposits (with a residual maturity of less than 30 days where payout has been agreed) on the LCR outflows template.

We would like to confirm where Non-Retail deposit balances, with a residual maturity of less than 30 days where payout has been agreed, should be reported on the LCR outflows template?  There is no specific row on the outflows template for these balances to be reported. In order to receive 100% outflow weighting should they be included with the Retail balances in Row 1.1.1.2?

  • 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_6493
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022