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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

C08.01: Unclear scope for exposures to be considered in column 0310 “PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT”.

Shall the reporting amount in template C08.01 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting) in the cell r0010;c0310 include “hypothetical risk-weighted exposure amount pre-credit derivates” all exposure types or only contain the exposure types for “counterparty credit risk”-exposures as reported in rows 0040 – 0060 of the same template?

  • 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_6661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • 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_6649
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Filing indicator for reports not in scope of the period

As per the latest update of EBA filing rules, filing indicators have to be present for all the templates in scope of reporting modules. Does this include the reports which are not applicable for the reporting period, e.g. reports which are submitted yearly? should the filing indicator for the yearly scope be present in quarterly submission?

  • 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_6645
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Clarification about v8741_m and v8443_m

With reference to DPM_3.2, i am writing to ask you for clarification regarding the two following validation rules relating to the same template, C 66.01.a, to the same columns, (0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130 ;0140;0150;0160;0170;0180;0190;0200;0210;0220), but in different rows. Our doubts concern the structure of the validation rules which is identical for both, but referred to different cells. VRule Expression v8741_m {r1070} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000) v8743_m {r1080} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000)   Is there a mistake in the validation rules structure or are they correct?

  • 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_6642
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

NSFR - presentation operational deposits

Is the instruction in Annex 13 to item 2.6 (C 84.00, r0180, c0030) correct?

  • 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_6638
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

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

Validation rule v7371_m

The formula of EBA validation rule v7371 _m is the following: [C 14.01 (All rows)] xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140}. This rule is activated in DPM 3.0 for templates C 14.00 and C 14.01, 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: 2022_6569
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Level 2A Assets market value in C 66.01 counterbalancing capacity section.

How should the market value of Level 2A Assets be reported in C66 Maturity Ladder in Section 3.4 Counterbalancing Capacity Level 2A Assets?  

  • 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_6525
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v7380_m and v7381_m

Because of validation rules v7380_m and v7381_m, we perform a check on the computation of the RWEA to ensure consistency of RWEA reported on securitisation transactions between templates C 13.01, C 19.00, C 20.00 vs. C 14.01. To comply with rule EGDQ_0362h_5, it is expected that there are no RWA being reported in template C 14.01 for any securitisation position on underlying identified as 'Covered Bonds' or 'Other liabilities'. How can we fulfill v7380_m and v7381_m, where we have securitisation positions with underlyings identified as 'Covered Bonds' or 'Other liabilities', so that we did not report any RWA in template C 14.01 as requested by rule EGDQ_0362h_5?  

  • 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_6480
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

C 14.00 - Consistency of v7667_a

Is the validation rule v7667_a consistent with the ITS?

  • 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_6478
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Reporting of underlying exposures of a CIU

As per Article 132a(1) CRR, institutions should do the risk weighting all underlying exposures of the CIU as if they were directly held by those institutions. If underlying exposures are of mix approaches (STD and IRB), then should they be reported on C 07.00 and C 08.x and C 34.x respectively?

  • 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_6465
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Validation rule v10248_h

Is this validation rule correct for intitutions which calculate their own funds requirement in accordance with the BIA ?

  • 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_6378
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v5017_a

Should the validation rule v5017_a be deactivated?

  • 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_6365
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

C40 LR1 report Column 0010, 0020

There is a clarification given on Single rule Q & A 2014_1131 that there are 2 accounting standards. IFRS and national GAPP. IFRS guidelines for FINREP reporting Annex XI,  For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet. Thus, IFRS does not permit accounting balance sheet value to be reported net of mitigation of collaterals or margin amounts. In general GAAP accounting also does not permit accounting balance sheet value to be reported net of mitigation of collaterals or margin amounts. As the guidelines are applicable to SFT positions, net amount of cash collateral or security have to be reported. The same are applicable for other on balance sheet positions to be reported in C40, in Column 0010, 0020. Keeping in view of the above, request for clarification what is likely to be the amounts to be reported in Column 0010 from Column 0020.    

  • 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_6349
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

NSFR - Reporting of certain committed facilities in C 80.00

  Should committed facilities (Annex XII, C 80.00, r1060), the residual contractual maturity of which is equal or longer than six months, but which can be drawn down at any time regardless of their (residual) contractual maturity, be reported in column 0010?

  • 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_6334
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

New Pillar III ESG Template 1

In Template 1, we see that sector “I – Accommodation and food service activities” in row 51 is included in the “Exposures towards sectors that highly contribute to climate change”. The asterisk to the latter further specifies: “In accordance with the Commission Delegated Regulation (EU) 2020/1818 supplementing regulation (EU) 2016/1011 as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks -Climate Benchmark Standards Regulation - Recital 6: Sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006”. Sector I is not included in the asterisk as one that highly contributes to climate change. We wonder if Sector I is correctly categorized as a sector that highly contributes to climate change in Template 1, and if the exposures in this row should roll up into the subtotal of row 1, as implied by that template.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6653
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2023

FINREP - v10612_m in F 18.00

Vorremmo sottoporvi un dubbio in merito alla validation rule v10612_m: La regola verifica che i “di cui” per Stage (per i bonis esposti nel F 18.00 alle colonne c0141, c0142 e c0143) corrispondano alla colonna di totale c0140. Il controllo viene effettuato anche sulla riga 0480 che, al suo interno, contiene gli accantonamenti per “Altri impegni dati“ valutati ai sensi dello IAS37 IFRS4 (referenziati nel template F 09.1.1 in colonna 0110) non ripartibili per stage. Il totale bonis e non performing presente in colonna 0130 dell’F 18.00 è invece confrontabile con il totale presente nella Riga 0170 dell’F 09.1.1). Translation We would like to ask a question about the validation rule v10612_m. The rule checks that the ‘Of which’ per stage (for performing exposures shown in F 18.00 in columns c0141, c0142 and c0143) correspond to the total column c0140. The check is also carried out on row 0480, which contains the provisions for ‘Other Commitments given’ assessed under IAS 37 IFRS 4 (referenced in template F 09.1.1 in column 0110) which cannot be broken down by stage. On the other hand, the total performing and non-performing exposures in column 0130 of F 18.00 can be compared with the total in row 0170 of F 09.1.1).  

  • 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_6568
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2023

Definition of EU OV1, row 1 Credit risk (excluding CCR)

Shall the CVA from reporting template CA2, row 0640, respectively from disclosure template EU OV1, row EU 8b, be deducted from EU OV1, row 1 (Credit risk (excluding CCR))?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6308
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/01/2023

Exposure Value in repurchase transaction

Under the accounting framework (IFRS) a repurchase transaction is accounted for as an off balance sheet commitment (encumbrance) for the debt securities given (or 'sold') and a liability for the debt towards the counterparty (representing the future 'repurchase' of the debt securities). With regards to such a transaction we have the following three questions, to confirm that our understanding is correct: A/ Is it correct that for the repurchase operation the final exposure value is to be calculated using the following elements:      E = the (dirty) market value of the debt securities given      C = the (dirty) cash borrowed in respect of the repurchase operation B/ Is this final exposure value E* to be presented as an counterparty credit risk on balance sheet exposure? C/ Does the debt securities itself also still have to be included as seperate exposures (with their respective risk weighted assets) (or does the calculated exposure value for the repurchase operation replace the direct exposure on the debt securities)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6605
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Reporting allocation of overdrafts from financial customers in template C74.00

Where shall overdrafts from financial customers be allocated in LCR C74.00 template?

  • 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_6599
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022