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List of Q&A's

EBA validation rule v5842_h for entities using BIA for OP risk

Is this validation rule correct for the entities using BIA for operational risk, as they only report totals and do not have what to report in business lines?

  • 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_6592
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Scope of CCP liabilities in Article 44(2)f

What is included under 'CCP liabilities' in Article 44(2)f. Does this include liabilities from trade exposure as defined in art 4(1)91 of the CRR (‘trade exposure’ means a current exposure, including a variation margin due to the clearing member but not yet received, and any potential future exposure of a clearing member or a client, to a CCP arising from contracts and transactions listed in points (a), (b) and (c) of Article 301(1), as well as initial margin)? Does this include posted initial margin, or default fund contribution.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6591
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Scope of temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic

Do exposures to “central governments, regional governments, local authorities and public sector entities” referred to in article 468 (1) of the CRR should be identified before or after applying credit risk mitigation techniques?Do exposures to “central governments, regional governments, local authorities and public sector entities” referred to in article 468 (1) of the CRR should be identified before or after applying credit risk mitigation techniques?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6590
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

MREL determination and resolution plan updating in a group where parent entity is on simplified obligations while the subsidiary does not

In case of a group where the parent  entity applies simplified obligations (according to which the resolution plan is updated every 2 years) while the subsidiary does not apply simplified obligations, how is the joint decision (on the resolution plan and also on MREL) taken?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges
  • ID: 2022_6589
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

Determining MREL for entities of a group for which resolution plan provides that liquidation is credible and feasible

Where liquidation is credible and feasible either for the parent entity or for all of the entities of a group what is the legal basis for determining and reaching a joint decision on MREL?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges
  • ID: 2022_6587
  • Topic: MREL
  • Date of submission:

v7371_m and v7372_m

Validation rule v7371_m is defined as follows: xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140} Validation rule v7372_m is defined as follows: sum({C 14.01, c0310, (sNNN)}) <= {C 14.00, c0230} These validation rules do not satisfy the reporting guidance provided in Regulation (EU) No 2021/451.  Are they correctly defined?

  • 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_6586
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Treatment of reversal features in cash pooling arrangements

Is a reversal of the daily transfer from the original accounts to the target account, as contractually agreed with the customer, at the next business day compliant with the requirements for net reporting of cash pooling arrangements as set out in Article 429b (2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6585
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Consistency in the treatment of multiple defaults

On 18/3/2022 the Final Draft Regulatory Technical Standards EBA/RTS/2016/03 were published in the Official Journal of the European Union and became legal regulations that take precedence over technical documents (Delegated Regulation (UE) 2022/439). In the light of that, should Banks adopt the same approach for treatment of multiple defaults (so-called symmetrical approach) consistently for all parameters (PD, CCF, LGD) in line with Art. 49 of the aforementioned Commission Delegated Regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2022_6584
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Validation rule v6332_m

The validation rule v6332_m for the COREP template C 32.01 - PRUVAL1 - in framework release 3.2.0 is defined as follows: {c0090} <= {c0080}. It is applicable for the rows:  (0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0142;0143;0150;0160;0170;0180;0190;0210;0220;0230). Is this validation rule correctly set that row 0120 is included in the selection of the rows applied?   

  • 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_6583
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C 14.00, columns 0302 and 0303

C 14.00: When is a tranche considered to be sold and must be reported in columns 0302 and 0303?

  • 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_6582
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

PRUVAL - Matching Total fair values liabilities with FINREP

Should the validation Rule v6566_s check the sign of row 0150 (1.2 TOTAL FAIR-VALUED LIABILITIES) of template 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_6581
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Prudential filters to the fair value reserves associated to Cash Flow Hedge

Does the prudential filter established in CRR Article 33(1) apply only to unrealised capital gains and losses?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6580
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

Pillar 3 disclosures prepared from FINREP reporting

In which column in the table EU CR1 should be included purchased or originated credit-impaired financial assets?      

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR
  • ID: 2022_6579
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 don't allow negative values.

Is there a reason for validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 to restrict the population to positive values?

  • 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_6578
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Determination of own funds requirements for convexity risk ('gamma risk'), according to the Delta plus approach, for options positions in Exchange traded funds with multiple sector components

How should the own funds requirement for convexity risk ('gamma risk') be calculated, for options positions on Exchange traded funds, when the component of the fund are from across several sectors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6577
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

MREL – reporting of the impact of general prior permissions

Reporting entities should deduct the pre-determined amount of a general prior permission for eligible liabilities instruments from the amount of their eligible liabilities from the moment the authorisation is granted. Against this background, how should this deduction obligation be reflected by the reporting entities in the reporting templates to be submitted in accordance with Regulation (EU) 2021/763?

  • 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: 2022_6576
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Reporting of Negative Fair Value Hedge Adjustments as exposures

How should the fair value hedge adjustment amounts be reported in template C 08.01 in Annex I of Regulation (EU) 2021/451? Is it acceptable to report the exposures on row 0170 ‘Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights’? Consistently, should EBA validation rules v0330_m, v0333_m, v0334_m, v10312_s and v10485_s be amended in a way not to trigger validation errors in cases where the fair value hedge adjustment amounts get negative values?

  • 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_6575
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Encumbrance of assets

If the reporting institution has a HQLA pledged as collateral for a punctual transaction without any additional liquidity movement (no cash leg) for two days on the reporting date, should this asset be considered buffer as it will be unencumbered within the following 30 calendar days even if in the reporting date it is encumbered? should it be reported as inflow for two days and then as buffer? 

  • 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_6574
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Confirmation of compliance with Article 429b(3c) concerning the interest calculation in Notional Cash Pooling

Can a Notional Cash Pooling which charges or pays interest by using an algorithm which takes into consideration each single current account belonging to the Notional Cash Pooling structure, be considered compliant with art.429b. paragraph 3c of CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6573
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023