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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.

List of Q&A's

Net interest income measure plus market value changes

Should Mutual Funds which capitalise interests (no payment of interest and accounted at fair value) be taken into account for the net interest income measure plus market value changes ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities

Net interest income measure plus market value changes

Should products accounted at fair value be included in the net interest income measure plus market value change when the fair value of the product is based on expert say and is therefore independent of the level of interest rates ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities

Perimeter of CSRBB

Should such investment products (such as bonds) accounted at amortised cost be included in the CSRBB perimeter when the management intention is to hold the asset until maturity?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities

EBA validation rules v3900_s and v5693_s

Should the severity of EBA validation rules v3900_s  and v5693_s be changed from ‘non-blocking’ to ‘warning’ to allow for the possibility of negative interest income 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

FINREP template F44.03, F44.04

In template  44.3  Staff expenses by type of benefits  in row 0010 “Pension and similar expenses” are requested. In template 44.4 Staff expenses by category of remuneration and category of staff in row 0030 “Staff expenses other than remuneration” are requested.  For the whole template the following validation rules applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error); v8364_s ({F 44.04} >= 0). This is suggesting Pension and similar expenses  and Staff expenses other than remuneration  can never be a negative amount, which we believe is not always the case (as a result of changes in the fair value of the liability recognised). Can you please amend the Validation rules by excluding row 0010 (44.3 Template), row 0020 ((44.4 Template) from those rules?

  • 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

Finrep Templates 44.03 and 44.04

In template 44.3 Staff expenses by type of benefits , in row 0050 Severance payments are requested. For the whole template the following validation rule applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error). This is suggesting severance payments can never be a negative amount, which we believe is not always the case (as a result of reviewing HR restructuring provisions as well as discounting effects of long term employee benefits. The same applies for template 44.04 other staff expense except remuneration (r0030 / c0010), where the amounts reported in 44.3 r0050/c0010 are reported, too. A positive amount reported in this item leads to the violation of the rules v8106_m and  v8364_s. Can you please amend the Validation rule by excluding the items 44.3 r0050/c0010 and 44.4 r0030/c0010 from these rules?

  • 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

Validation rule eba_v0315_m working incorrectly in C07 templates in a column 0216 for derivatives

Could validation rule eba_v0315_m be modified for a column 0216? At the moment it does not work in situations when there are derivative exposures with SME supporting factor in a row 0110 but not in an of which row 0120.

  • 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

Annex XI - Leverage (template C43)

It is not clear from the instructions what exposure amount is expected to be reported for items deducted from capital in the columns dedicated to RWEAs in C43.

  • 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

Clarification on reporting of “Total Assets” within C40.00 {0410;0010}, as defined in Annex XI.

Annex XI defines {C40.00, r0410, c0010} as “the total assets following the scope used in the published financial statements.” Having regard to the meaning of the word “published” used within this context, please confirm whether the total assets to be reported in C 40.oo must necessarily be equivalent to the total assets disclosed in the latest interim or year-end published financial statements. If in the affirmative, this would imply that, for institutions with only semi-annual and year-end publication dates (as opposed to quarterly publications), {C 40.00, r0410, c0010} shall not be updated within two quarters during a calendar year, given that such figure would be held constant as per latest publication. If this treatment is confirmed, our question further extends to the intended reporting of constituent rows, such as C 40.00 r0010, c0010} and {C 40.00, r0090, c0010}. We understand that the scope of reporting shall be consistent across the entire template, therefore for such rows, we would like to confirm whether they shall also be kept constant as per latest published financial statements, given the lack of instruction to these specific 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

Withdrawable Central Bank Reserves in ALMM C 66.01 when considered Liquid Assets

Where should withdrawable Central Bank Reserves that are considered Liquid Assets according to Regulation (EU) 2015/61 be allocated in ALMM C 66.01 Maturity Ladder?

  • 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

Treatment of amortization and interest flows - received within 30 days - from securities

ANNEX XXV REPORTING ON LIQUIDITY (PART 3: INFLOWS) clarifies the treatment of inflows from securities maturing within 30 days Row 190, ID 1.1.5. What is the correct treatment of amortizable securities for which capital repayments occur within 30 calendar days ? What is the LCR treatment of interest inflows from securities that occur within LCR horizon ? 

  • 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

Interpretation of the appropriate estimator for Credit Conversion Factors (CCF)

Is it possible to interpret the concept of “default weighted average from all observed defaults” as described for realised CCFs in article 182 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 as “the arithmetic average of the yearly averages”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Model implementation timeline given the received permission in relation to a material change

In accordance with Article 3(5) of Delegated Regulation 529/2014, “Where competent authorities have provided their permission in relation to a material extension or change, institutions shall calculate the own funds requirements based on the approved extension or change from the date specified in the new permission which shall replace the prior one. The non-implementation on the date specified in the new permission of an extension or change for which permission from competent authorities has been given, shall require a new permission from competent authorities which shall be applied for without undue delay”. It is not clear what does “the date specified in the new permission” refer to.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)

Financial Guarantees in templates Z 05.02 / T 12.00

Annex II states that "Major off-balance sheet counterparties shall be identified by summing up the total nominal amount of commitments and financial guarantees received (as defined for the purposes of FINREP, template F 09) by the entity or group entities for which the template is reported from counterparties or group of connected clients".  With regard to financial guarantees received, do all the financial guarantees received where the Institution is the beneficiary of the guarantee (thus including the guarantees that cover bank's assets and not liabilities) have to be reported in template F 09.02? Or should for templates Z 05.02 / T 12.00, only the financial guarantees where the reporting Credit Institution is the counterparty guaranteed (thus covering its liabilities) be considered or, as for F 09.02, also the financial guarantees received where the reporting Credit Institution is the beneficiary (thus covering its assets)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans

Assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds for NSFR purposes

Does the 85 % required stable funding factor apply to assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds issued directly in the market, as well as to the assets underlying self-issued Covered bonds used as collateral for long term ECB funding or SFT with the market?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Credit risk framework applicable to investments in repack Notes issued by SPEs

What is the applicable credit risk framework in the non-trading book applicable to investments in repack Notes issued by Special Purpose Entities (SPEs)? How should an institution calculate the risk weight of an investment in a Repack Note if it does not consolidate the SPE but is able to look through to the underlying assets at all times?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

MREL/TLAC EBA template – split of liabilities by creditor hierarchy

Does the maturity split of own funds and potentially eligible liabilities for MREL in template M 06.00 of the ITS on disclosure and reporting on MREL and TLAC include prudential filters or not?

  • 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

v10811_m, grandfathered T2 instruments in M 06.00

How shall grandfathered T2 instruments with a residual maturity of less than 1 year be reported in M 06.00 - Creditor ranking (resolution entities) (TLAC3)?

  • 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

Is it correct that, in sheet Z 10.02, the Critical Function ID is not considered as a Key Value?

If the Critical Function ID is not considered as a Key Value, how can we represent the case in which we have a single critical service ID (and a single System identification code) on which there are multiple critical functions impacted?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans

Credit card debt as Credit for Consumption

In order to clarify the answer given to Q&A 5167, should credit card debt be included as Credit for consumption when it comes to FINREP templates?

  • 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