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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.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Mismatch between the instructions for template C 07.00 and the EBA validation rule (v4755_m)

Should Annex II to Regulation (EU) 2021/451 be amended in a way to remove the mismatch between the instructions for reporting template C 07.00 and the EBA validation rule (v4755_m)?

  • 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_6452
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Incorrect Mapping Between Pillar III Template EU CR6-A and Corep Template C 08.07

Should the Mapping Tool for Template EU CR6-A (Annex to Regulation (EU) 2021/637) be amended in a way for Template EU CR 6-A r3,2 to match with COREP Template {C 08.01, r 0080} (SPECIALIZED LENDING SLOTTING APPROACH: TOTAL) instead of COREP Template {C 08.07, r0070}?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR
  • ID: 2022_6451
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 30/01/2023

Defining the risk factor for third-country investment firms in K-TCD calculation

Should the third-country investment firms be classified as investment firms or other counterparties for the purposes of defining the risk factor per counterparty type pursuant to Article 26 IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6450
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Valuation of ASA: financial instruments with a negative fair value

What should be the treatment of the financial instruments with a negative fair value for the purposes of the measurement of client financial instruments safeguarded and administered (ASA)?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6449
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Query – Article 262 of CRR

With respect to Article 262 of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401, we would like to ask whether an institution which calculates risk-weighted exposure amounts under the Standardised Approach (SEC-SA) of Article 261, should apply p=0.5 in all securitisation positions (junior, mezzanine and senior) or such p value should only be applied in the senior securitisation position.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6448
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

COREP reporting in case of positive impairments for purchased or originated credit-impaired financial assets (POCI)

In case of purchased or originated credit-impaired financial assets (POCI), also positive values for value adjustments can be reported in COREP reports. Some DPM validation rules do not allow reporting positive values. Since it is possible to have positive impairments for the POCI assets, could the validation rule 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: 2022_6447
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Reporting of certain COREP templates by entities with deviating accounting year end

Can the reference dates for reporting COREP templates C 08.03 to C 08.07, C 34.07 and C 34.11 be adjusted for an accounting year-end which deviates from the calendar year, considering that they reflect disclosure obligations subject to Article 433 CRR?

  • 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_6444
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Taxonomy 3.0 Validation Rule v3900_s

Our query refers to the EBA v3900_s validation rule of template F 02.00, which despite being non-blocking, we have to justify the module as there are negative amounts. We understand that there may be situations in which the reversal of expenses or income for interests or commissions of the current exercise exceed the expenses or income of the same period. In this situation a negative quantity should be allowed to be reported.

  • 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_6445
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Reporting outflows from covered bonds and asset-backed securities in COREP template C 73.00

In which row of template C 73.00 should institutions report the outflows from debt securities such as covered bonds or asset-backed securities issued by the reporting institution?

  • 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_6443
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 18/04/2023

Equity exposures and other non-credit obligation assets in C 08.07

Should the values in column 0010 of COREP template C 08.07 for rows 0150 (Equity) and 0160 (Other non-credit obligation assets) be reported, which are not in scope of Article 166 CRR?

  • 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_6442
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

v6298_m

A new validation v6298_m has been added to taxonomy DPM 3.2 which specifies that: [C 24.00,{c140} ({r0010} <= 30)]. This rule has severity 'error' and provides that no more than 30 "Number of overshootings (during previous 250 working days)" can be reported. Article 366, par. 2, requires that "addend shall depend on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at-risk number as set out in Article 365(1)". This paragraph does not indicate any maximum limit of "Number of overshootings " and the column "Number of overshooting" of the table 1 of art 366 has as last range "10 or more". The indications of Article 366 are consistent with the validation rules v6297_m (whit sererity warning) which specifies that : [C 24.00 ({c140} {r0010} <= 250)] but not with rule v6298_m that provides a cap on 30 Number of overshooting.

  • 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_6440
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

C08.07: credit risk only?

Is report C08.07 limited to Credit Risk only, or is Counterparty Credit Risk included in the scope?

  • 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_6441
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Preferential risk weight for exposures to central governments and central banks under Article 114(4) of CRR

Does Article 114(4) of CRR apply to both on-balance sheet and off-balance sheet liabilities (including the forward leg of an FX swap) in the same domestic currency and at least the same amount as the exposure to the central government or central bank (on- or off- balance sheet exposures)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6439
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Annex VI - Agentes/distributors

Please clarify whether under Directive 2015/2366, in the exchange of notifications between NCAs, Annex VI of the Commission Delegated Regulation (EU) 2017/2055 should be sent concerning each new agent/distributor or only for the first agent/distributor acting on behalf of a payment/e-money institution.

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/2055 - RTS on passporting under PSD2
  • ID: 2022_6437
  • Topic: Passporting
  • Date of submission:
  • Published as final Q&A: 14/10/2022

Application of Articles 52 and 54 of Regulation No. 575/2013 (CRR) at consolidated level

How should the consolidated level of AT1 instruments where the issuer is a 100% fully owned subsidiary of an EU institution where the subsidiary is established in a third country and has not been designated in accordance with Article 12 of Directive 2014/59/EU (BRRD) as part of a resolution group the resolution entity of which is established in the Union be treated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6436
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 11/11/2022

C 91.00: Relevant scenario for own funds requirements

Could you please indicate how Article 325h(4) CRR should be understood, in order to fill in information in template C 91.00? '4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.' It would make sense to select the most critical scenario and apply this one for all risks, without changing scenario from one risk to another, could you confirm?   

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/453 - ITS with regard to the specific reporting requirements for market risk
  • ID: 2022_6435
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/10/2022

Floors in calculation of RWA- and RWA --

For the purpose of Template C103 institutions shall report RWA- and RWA--. according to the corresponding instructions (Annex IV), RWA- and RWA-- result from the application of PD- and PD-- (instead of the institution’s PD values). For this purpose, shall regulatory PD-floors as defined in Art. 160 (1) and 163 (1) CRR be applied?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
  • ID: 2022_6434
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Reporting of guarantees/non-financial collaterals in providing further credit risk mitigation for derivatives and SFTs in the credit risk templates C 07.00 / C 08.01

Following the logic of the C07.00/C08.01-templates (with DPM 3.0), probable guarantees/non-financial collaterals of derivatives and securities financing transactions (SFTs) won't be captured in the first part of the form (C07.00: columns 0010-0200/ C08.01: columns 0020-0110) even if available. However, starting with the reporting of the exposure value of the derivatives and SFTs (C07.00: column 0200/ C08.01: column 0110) the guarantees/non-financial collaterals will be considered in the second part of the template (starting with the exposure value-column) as its risk-mitigating effects should flow into the RWA calculation. Does the above-mentioned logic follow the reporting requirements of the C07.00/C08.01 templates under DPM 3.0?

  • 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_6433
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Original maturity of credit lines until further notice

For risk classification as off-balance sheet item according to Annex I CRR, is the original maturity longer than one year where non-retail credit lines until further notice (i.e. no fixed maturity) may be cancelled with 3 months advance notification period and even immediately in case the borrower becoming delinquent or declaring bankruptcy?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6432
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 22/12/2022