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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

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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

C34.09 Credit Derivative Exposures – Signage of positive and negative fair values for credit derivatives

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.09 requires the fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values). According to validation rules v10325_s and v10481_s for C34.09, the fair values reported in columns 0030 and 0040 for rows 0010 to 0070 must be greater than or equal to zero. Can the EBA clarify if positive fair values should be reported with positive signage and negative fair values should be reported with negative signage in rows 0010 to 0050? Or if the validation rules are correct then is the requirement to report both positive and negative fair values with positive signage in these 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_6417
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

C34.01 Size of the Derivative Business – Application of validation rule v09805_m

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.01 states the size of the derivative business must be the sum of the absolute value of long derivative positions and absolute value of short derivative positions.  According to validation rule v09805_m applicable to row {0050} in the C34.01 template, the percentage of the total assets to the size of the derivative business must be less than or equal to one.  Taking the sum of the absolute market value of long and short derivative positions would most likely trigger this warning validation. Can the EBA review the warning validation rule v09805_m for C34.01 and confirm if this needs amendment? 

  • 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_6416
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v4821_m on column c0230 of Template C.08.02.

We wonder if there could be possible exceptions to the Validation rule v4821_m which always requires the LGD reported in column c0230 of Template C.08.02 by Obligor Grades to be always lower than or equal to 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_6400
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v7371 - Securitization Template C 14.00

Should validation rule v7371 be a blocking error in case of a securitisation transaction under a replenishment period?

  • 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_6397
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v09823

Is the validation rule v09823 correct? How would you understand and interpret the validation rule?

  • 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_6393
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v1376

Is validation rule v1376 applicable when Achmea Bank amortizes the fee expenses, and the intercompany party does not amortizes related fee expenses? As a result of the amortisation, the intercompany fee expenses is greater than the total fee expenses.

  • 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_6390
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2022_6358
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

[none]

When Institutions calculated the value of exposure value pre-CRM according to Standard approach for counterparty credit risk should it consider as for every counterparty there aren't any margin agreement and collateral exchanged (Variation Margin)?

  • 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_6348
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

missing articles accordance into columns 0010 instructions

Does institutions shall use the exposure value before CRM in accordance with only the Article 166 CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6332
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

wrong column in general remarks 3.3.6.1 / 84

Does columns references are correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6333
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

Treatment of "not designated elements" for the purpose of computing prudential capital requirements

Our entity will apply IFRS 9 provisions regarding hedge accounting to financial reporting starting from January 2022. IFRS 9 §6.5.15 and §6.5.16 introduce a new type of other comprehensive income: when using hedge accounting, an entity may separate some elements considered as a “cost of hedging”, and recognise them in other comprehensive income as “not designated elements”.  Commission Implementing Regulation 2021/451, in its template-related instructions (1.3 Equity §27), mentions that such elements shall be reported in a dedicated line “Hedging instruments [not designated elements]” for the purpose of FINREP. Specifically, this line is distinct from “Hedging derivatives. Cash flow hedges reserve [effective portion]”. However, cash flow hedge reserve and not designated elements are very similar elements: as an evidence, our entity will transfer amounts currently in cash flow hedge reserve to the new category “not designated elements”. We are therefore wondering the regulatory treatment  of “not designated elements” for the purpose of computing prudential capital requirements.  Cash flow hedges reserve shall not be included in any element of own funds (REGULATION (EU) No 575/2013 §33) Should “not designated elements” treatment be aligned on that of the cash flow hedge reserve ? or should “not designated elements” be included in prudential own funds ?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6380
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Reporting of specific information concerning template C106.01: “Instrument 23”

Our issue and its corresponding question rely on the manner we should report a specific information concerning the template C106.01 “SBM.Risk sensitivities by Instrument” – 2022 benchmarking exercise – based on a constraint of this template regarding the number of lines we can report. That is: “Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.” Our doubt is linked to the “instrument 23” and to the new benchmarking sensitivities’ template submission. Concretely, we have received a validation due to a negative volatility we reported within the template. The reason is that “instrument 23” Collar component is based on two transactions: a 7.5% Cap and a 2.5% Floor. The Vega Net sensitivity of both transactions (therefore, the Collar Vega sensitivity) is positive, even though one of the transaction’s Vega is positive while the other one is negative. Since the Collar figures must be reported only with one “line”, it forces us to reach a negative Collar FRTB-SA weighted Vega value with the multiplication of a positive Collar Vega sensitivity and a positive “average” volatility, which mathematically speaking is not possible.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2021_6310
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Article 94 (4) discretion on Remuneration

Does the discretion of article 94(3) (a) provide the member states of the EU with the option to set the said threshold to the ultimate minimum (i.e. to set the threshold at zero)? And if the answer to the above question is yes, does the option not to transpose at all the wording of subparagraph (a) described above, effectively set the threshold at zero?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5609
  • Topic: Remuneration
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Reducing the relevant indicator by using expenditure on the outsourcing of services rendered by third parties which are not subject to rules under, or equivalent to the CRR

May the institution use expenditure on the outsourcing of services to reduce the relevant indicator when calculating own funds requirement under the Basic Indicator Approach (according to Article 316 of the CRR) if the outsourcing services were rendered by third parties which are not subject to rules under, or equivalent to the CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5489
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

The potential future exposure of a netting set with bilaterally exchanged collateral

The potential future exposure of a netting set with clients for which collateral is exchanged bilaterally may be decreased to 42%. Is it applicable only if the investment firm is the recepient of the collateral (initial and variation margin) or it can be also applied if the investment firm is the collateral provider.

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on reporting and disclosure requirements for investment firms
  • ID: 2022_6424
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 09/09/2022

Concentration risk and own risk hedging

As per IFR article 36 paragraph 1 investment firm shall calculate exposure value with regard to a client or group of connected clients for the purposes of concentration risk as the exposure value of contracts and transactions referred to in Article 25(1) with the client in question, calculated in the manner laid down in Article 27. The question is whether the concentration risk should be also calculated for financial counterparties (e.g. members of QCCP) who investment firms hedge their own risk with (hedging of positions arising from derivatives with their clients).

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on reporting and disclosure requirements for investment firms
  • ID: 2022_6423
  • Topic: Concentration risk
  • Date of submission:
  • Published as Rejected Q&A: 09/09/2022

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

Clause of substitution of investor or remarketing for capital or internal MREL

In the context of a bond issued by a subsidiary to the parent company recognized as Own Funds or Eligible Liability, would it be possible to insert a clause of change of control that would allow the parent company, if it is no longer the owner of the subsidiary, to automatically sell the bond to the purchaser of the subsidiary?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6104
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Homogeneously managed exposures

How should “homogeneously managed exposures” be understood for the definition of “type of exposures”, which then in turn defines the scope of a “rating system”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5762
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022