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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

Derivatives - Forward foreign-exchange contracts - RC under IFR

Under Article 28(a) for derivative contracts, RC is determined as the CMV, and according to Article 4 (36) current market value’ or ‘CMV’ means the net market value of the portfolio of transactions or securities legs subject to netting in accordance with Article 31, where both positive and negative market values are used in computing CMV By CMV (and than also RC) do you mean "net position" * "current exchange rate"?  

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6620
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Reporting of critical external providers in template Z 08.00

Does a critical external / third-party provider to a service provider which is not indicated as relevant and listed in template Z 01.00 have to be reported in template Z 08.00?

  • 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
  • ID: 2022_6428
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

M 02.00, r0490 - SNP issued by EU small banks only

Should we limit our reporting to SNP issued by EU small banks only?

  • 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: 2021_6294
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Inclusion of netted derivative positions in maturity profile in MREL template M 06.00

How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?

  • 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: 2021_6288
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Validation rules v10817_m for MREL/TLAC

Is it correct that validation rule v10817_m considers r0550, c0010 of template M 03.00?

  • 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: 2021_6275
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Resolution planning reporting (RES), validation rule v09343_a

How should validation rule v09343_a be used?

  • 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
  • ID: 2021_6090
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Beneficial ownership on Securities Financing Transactions (SFTs)

Is the beneficial ownership the only criterion to be followed for the treatment of securities financing transactions (as stated in Article 428p (2) and Article 428p (3)), even when its application would not be coherent with the accounting rules (as stated in Article 428c (2))? Moreover, as stated by Article 428p (3), for repos, in which the bank has no beneficial ownership on the collateral, would it be correct to report only the ASF impact of the cash leg, without reporting also the impact of the collateral leg (i.e., the encumbered security) on RSF and, by doing this, treating repos like unsecured funding transactions?

  • 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_6655
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

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