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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

Reporting of initial margins, variation margins and intraday margins in FINREP

The reporting of initial margins, variation margins and intraday margins in FINREP templates is not clearly defined in Annex V to Regulation (EU) 2021/451 either for IFRS or for national GAAPs institutions. They can be considered financial assets or liabilities and reported in the corresponding evaluation categories according to paragraphs 15, 16, 23 and 24 in Part 1 of Annex V or reported under other assets/other liabilities according to paragraphs 5 and 13 in Part 2 of Annex V.

  • 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_6614
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Validation rule v5697_s

The check v5697_s doesn’t seems to be relevant in the case where gross carrying amount only result from the cumulative change in fair value of hedged items where hedged items are loan comitment given. If the cumulative change in fair value of hedged commitment is negative, the gross carrying amount to report is negative and the check v5697 can't be respected. Is it possible to desactived the check v5697_s  ?   [IFRS9 6.5.8] where a hedge item is an unrecognised firm committment (or a component thereof), the cumulative change in fair value of the hedged item subsequent to it designation is recognised as an asset or liability with a corresponding gain or loss recognised in profit or loss.   [IFRS9 6.5.9], When a hedged item in a fair value hedge is a firm commitment (or a component thereof) to acquire an asset or assume a liability, the initial carrying amount of the asset or the liability that results from the entity meeting the firm commitment is adjusted to include the cumulative change in the fair value of the hedged item that was recognised in the statement of financial position.

  • 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_6595
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

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

F 36 - Reporting of rows "Matching liabilities"

Q&A 682 suggests to follow a ‘quality’ criterion to split the liabilities amount in case of multiple different types of encumbered assets. In our opinion, the meaning of ‘quality' is not clear, because multiple drivers can be used.    

  • 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_6470
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Population of F13.1 & F13.2 with respect to debt securities issued by third parties

With respect to the population of F13.1 & F13.2 there seems to be a contradiction between the information provided in the answer to Q&A 2014_916 and the Annex V instructions Part 2, paragraph 173 (b) (iii) with respect to how pledges of securities by third parties are treated. Q&A 916 states that 'Rest' refers to "loans that have been collateralised with debt securities issued by any third-parties"  and shall include 'pledges of other securities issued by third parties including general government'. This instruction is to be used for the population of Col 0041 in F13.1 and Row 0070 in F13.2. However the Annex V instructions Part 2, paragraph 173 (b) (iii) for 'Equities and debt securities' state that collateral in the form of debt securities issued by third parties should be included within this definition. This instruction is to be used for the population of Col 0032 in F13.1 and Row 0060 in F13.2. Can clarification be provided as to where collateral in the form of securities issued by third parties in 13.01 and by extension repossessed collateral in 13.02 are 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_6469
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

Securitisation - application of look-through methodology

Should a bank follow the same approach for representing the exposure underlying a securitisation in Larex (large exposures reporting) as in COREP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2022_6401
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

See previous question Bank of Lithuania, question 2020_5463

See Question 2020_5463 which was submitted on 24/08/2020. Could you please let me know the timing of answering this question?

  • Legal act: Regulation (EU) 2015/847 (WTR) (recast)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6343
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 08/02/2023

COREP C35 - consistency controls v09703_m and v09711_m

The control claims that for C35.01 row r0070 should be the sum of row r0080-r0100 of C35.02 and row r0070 and row r0120 of C35.03. Should this control be applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6556
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2023

COREP C35 - consistency controls v09683_m; v09684_m and v09691_m

The control claims that for C35.01 row r0050 should sum row r0060 of C35.02 and row r0050 of C35.03. 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: 2022_6555
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2023

Secured lending

Should mortgage loans be classified as secured lending in the LCR reports?

  • 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: 2021_5700
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2023

Reporting of collateral posted / received in the C 66.00 maturity ladder template

What are the specific conditions for the treatment of collateral posted and received in relation to FX swaps and non-FX-related derivative transactions under the C 66.00 maturity ladder template?

  • 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: 2020_5153
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2023

Pillar 3 disclosure on Net Stable Funding Ratio

How should NSFR LIQ2 table for Pillar 3 disclosure be compiled with respect to amounts reported in NSFR regulatory template C80 rows 0040, 0050 and 0060 for the non-HQLA part (i.e., 0010, 0020, 0030, respectively weighted by applicable weights reported in columns 0090, 0100, 0110). Those items seem to be not included in any of the weighted RSF items/components of LIQ2.

  • 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_6560
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 30/01/2023

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

Large exposure treatment of structured derivatives, such as collar financing transactions (‘CFTs’)

For the purposes of large exposures (‘LE’), what is the appropriate treatment for structured derivatives (like covered calls, CFTs, etc.) in the application of the mandatory substitution (‘risk shifting’) rule in accordance with CRR Article 401(4) that requires an institution to treat the portion of the exposure collateralised by the market value of funded credit risk mitigation (‘CRM’) as exposure to the third party (collateral issuer) rather than to the client?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6662
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

What day count convention is to be used to determine level 2 securities in Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii)

What day count convention is to be used to determine level 2 securities, in the case of corporate debt securities, that have to comply with a maximum time of maturity at the time of issuance of 10 years ( according to Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii))?

  • 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_6640
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

LCR treatment of letters of credit backed by deposits and letters of credit backed by committed lines

What is the LCR treatment of (i) letters of credit backed by deposits and (ii) letters of credit backed by committed lines?

  • 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_6608
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Determination of the total deposit balance of "all the client's deposit accounts"

Assuming a natural person has a bank account at a bank as a private individual. At the same time the individual is a (co)-owner of a legal entity, which qualifies as an SME, and the legal entity has a business account at the same bank. Shall the accounts of both the private individual and the legal entity be aggregated when checking the total deposit balance against the threshold of EUR 500,000? If so, how would the bank determine the appropriate share of the account balance of the legal entity (SME) if the individual is only a co-owner (e.g. 100%, 50%, etc.)?  

  • 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_6460
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

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

PD calibration sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a TTC model, clarification is needed on the expectation on the implementation of the back-testing performed in the validation phase: Shall the back-testing at portfolio level verify that the average PD over historical observation period is aligned with LRA DR or, instead, shall the comparison be made between PD estimates current at the validation date and the LRA DR? Does it change according to the rating philosophy? Shall the back-testing always be performed on a 1-year validation sample, regardless the type of TTC calibration philosophy and regardless the length of the calibration sample? How shall the rating philosophy be taken into consideration when assessing the outcome of back-testing at grade level? Provided that the main aim of the calibration is to reflect the LRA DR, is the any case where the alignment to 1-year default rate should get a higher weight in validation assessment, although in a TTC calibration philosophy?

  • 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_6453
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Is the RWA capped at EAD amount for IRBA exposures as suggested by SBP validation check v6210

SBP validation check v6210 is set as an error which prevents the reporting of exposures with RWA higher than 12,5xEAD.  Verification is sought to the legal rationale behind setting such a maximum RWA limit.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2022_6420
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023