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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

C_81.00 ASF from capital items and instruments - Tier 2

It is written in article 428i (CRR2) that 'the amount of available stable funding shall be calculated by multiplying  the accounting value of various categories or types of liabilities and own funds by the available stable funding factors'. Concrete example: please give us the answer If credit institution has on balance sheet under Liabilities: (residual maturity for part of debt securities is more than 1 year and less than 5 years (2 000 000 eur) and other part has residual maturity more than 5 years) 1. Debt securities issued - 10 200 00 eur           1.1 Debt certificates - 10 000 000 eur           1.2 Interests payables on debt certificates - 200 000 eur   What amounts should be reported on NSFR C81.00 on row 0050, column 0030 - should it be 10 200 000 euros? Or amount is without interest - 10 000 000 euros? Or should it be equal to C01.00 row 0771 (where amortization is used for those debt securities that have residual maturity less than 5 years)? Also checked th Question: 2021_6016 - it does not give the aswer about the interests payables - should they be included or not?  

  • 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: 2023_6783
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Reporting of Template C_67.00 including Concentration of Funding by Counterparty.

Since there is no clear guidance on how the above item should be treated, we are requesting feedback on whether the EBA has taken stance on how deposits coming through Online Deposits Platforms should be classified in the Concentration of Funding by Counterparty, template C_67.00, and for liquidity purposes in general. In addition, we would be interested in understanding whether such treatment would differ for other purposes such as Financial Reporting – as an example, the bank in the above scenario indicated that these deposits are in fact covered by DGS, hence indicating that for this purpose the counterparty is the direct household.

  • 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: 2023_6778
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Validation rules: v7374_m, v7375_m and v7377_m

Can EBA confirm that the validation rules v7374, v7375 and v7377 satisfy with paragraph 114 of Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 for investor positions?

  • 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: 2023_6710
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Validation rule v7371_m and v7372_m

Paragraph 114 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting) states that investors in securitisation positions should report among others columns 0310-0470 in C 14.01. Validation rule v7371_m and v7372_m expects column 0140 and 0230 to be filled in C 14.00 when column 0310 in C 14.01 is filled. We believe however that columns 0140 and 0230 in C 14.00 are only to be filled by originators/multi-sellers and not investors.

  • 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_6648
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Pillar 3 ESG Template 7 - Trading book

Should the Trading book be considered in the “Other assets excluded from the numerator for GAR calculation (covered in the denominator)”, as positioned under the EU Taxonomy template 1? Or should it be left in the “Other assets excluded from both the numerator and denominator for GAR calculation” category as in Pillar 3 ESG Template 7, leading to an inconsistency of reporting between the two templates?

  • 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: 2023_6809
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Template 10

The Annex II of the Commission Implementing Regulation (UE) 2022/2453 states that the Template 10 (“Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852”) shall include “exposures of the institutions that are not taxonomy-aligned as referred to in Regulation (EU) 2020/852 according to templates 7 and 8 but that still support counterparties in the transition and adaptation process for the objectives of climate change mitigation and climate change adaptation. Those mitigating actions and activities shall include bonds and loans issued under standards other than the Union standards”. As a consequence, which of this two following options should institutions follow in order to select the Bonds and the Loans that shall be disclosed in Template 10? The Bonds and the Loans that the institution shall select to be disclose in the Template 10 are only those eligible according to the EU Taxonomy, but that are not taxonomy-aligned (i.e. Bonds and Loans that could not be covered in Template 7 or 8); The Bonds and the Loans that the institution shall select to be disclose in the Template 10 are both those eligible according to the EU Taxonomy, but that are not taxonomy-aligned and those that have been defined environmentally sustainable according to standards other than the European Union ones (i.e. Bonds and Loans that are not eligible).  

  • 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: 2023_6810
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

ESG P3 - NACE sector breakdown in Pilar III reporting (templates 1 and 5 and, partially 3)

Should NACE activity codes be consistent between FINREP and Pilar III ESG reporting, or can P3 ESG templates breakdowns be adjusted to differ from FINREP but better align with sustainability linked info?   

  • 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: 2023_6821
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Display of provision during substitution approaches

Due to the future application of the CRR3, the used of the IRB model will be limited. As example, some expositions (Corporates SME especially) considered with IRB method (and so displayed in C08A – CR IRBA form in COREP), are currently guaranteed by an institution or a sovereign which are also today considered with the IRB method. With CRR3, the debtor will probably stay with the IRB method (so still displayed in CR IRBA form in COREP), but there will be an outflow to the CR SA because the Basel method of the guarantor will be standard model. There will be an inflow in CR SA to display the metrics of the expositions after taking into account the characteristics of the guarantor (CRM). Around September 2021, we asked to your team, some precision about the “display of the provision during the substitution approach” under the reference 2021_6220. Our question result from the Q&A 2017_3335 which confirm the possibility to apply the substitution approach when the exposure and the guarantor are treated by the institution under different basel methods. Our Q&A has been rejected considering that the issue it deals with is already explained in section 3.1.1 of Annex II to Regulation (EU) No 2021/451 (ITS on Supervisory Reporting). Without mistake of our part and conversely of your affirmation, we are still considering the display of the provision non taking into account by the Q&A 2017_3335. For reminder, the display of the provision in COREP forms is different according to the Basel method applied: The value is displayed in column 0020 of C07 - CR SA uses the Basel method of the debtor Inversely for the C08 - CR IRB, the value is displayed in column 0290 (as memorandum item) uses the Basel method of the guarantor (if there is any)

  • 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: 2023_6739
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/09/2023

Use simplified approach to calculate additional valuation adjustment (ava)

Is it permitted for an institution to use the simplified approach to calculate additional valuation adjustments (AVA) on the individual level, on condition that: i: the individual threshold ist not above the EUR 15 billion ii: this institut has fair valued positions only on the individual level (on consolidated level (group level) the institution has no fair valued position) iii. this institution is a part of a group breaching the EUR 15 billion threshold on a consolidated basis, but as mentioned before the institution has no contribution to the fair valued positions at consolidated basis

  • 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: 2023_6683
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/09/2023

Update of Q&A 2699

Q&A 2699 should be updated to indicate how to reflect the P2R in the C03 rows available since v2.8 of the COREP taxonomy.

  • 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: 2023_6848
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Securities lent under sale accounting (C40 and C43 treatment)

As per Q&A 6093, clarification has been provided on the disclosure treatment of securities lent in a repurchase transaction that are derecognized due to sales accounting transactions under the applicable accounting framework. The Q&A appears to state that institutions shall reverse all sales-related accounting entries and these securities are to be treated as SFTs in both C40 (row 071) and C43 (row 040 or 060) disclosure. Under sale accounting treatment, the requirement is to reverse the sale treatment and therefore the securities will be reported in its original form, which is expected to be trading portfolio assets. Given this, is the correct treatment not for securities to be reported in C40 (row 090) and C43 (row 070) 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: 2023_6782
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Reporting of securitisations SWAP transactions in C 14.00 and C 14.01

Do the new columns below introduced with Regulation (EU) 2021/451 as amended by Regulation (EU) 2022/1994 (framework release v3.2) need to be completed for securitisations SWAP transactions ? Column 0287 of template C 14.00 : Synthetic excess spread Column 0362 of template C 14.01 : Synthetic excess spread Template C 14.00 Column 0076: TYPE OF EXCESS SPREAD Column 0077: AMORTISATION SYSTEM Column 0078: COLLATERALISATION OPTIONS Column 0254: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: AMOUNT Column 0255: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT It does not seem relevant to us to supply these new columns for the scope of securitisation swaps, in particular when the latter are linked to the nominal loan pool.

  • 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: 2023_6700
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

C66 taxonomy 3.2

Le « livret jeune » doit-il être déclaré dans la colonne 025 du nouveau C66? Should the livret jeune be reported in column 025 of the new C66?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6659
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Capital buffer applicability and validation rule v8714_m

After validation with our local authorities, the company is not subjet to any buffer in COREP C04.00. Once we post the COREP_OF report at NBB, we get an error v8714_m related to capital buffers.  EBA is expecting a value based on the regultory own funds while it is not applicable for our institution. Is is possible to manage the applicability at report level to disable the validation rule ?  

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6637
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Netting for Asset Encombrance

In the context of the assets encumbrance, are we supposed to match the netted amount carried out in the FINREP reporting (according accounting standards)?

  • 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_6607
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Day One Profit calculations

Can the EBA advise please: 1) If the implementation of the IFRS standard should differentiate between observable and unobservable parts of DOP and only defer the latter? 2) If such treatment would be both more accurately reflect the IFRS standard?  3) If such treatment would be materially beneficial for the EBA institutions and how exactly?  4) If above yes, will it work with IFRS to implement it?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6849
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Impacts on Consolidated Group LCR Deposit Categorisation where a Third Country subsidiary utilises a different threshold

As per Article 3 of the LCR Delegated Act, SME deposits are classified as Retail if their balance is <=€1m threshold. Additionally, Article 25 paragraph 2 defines a €500k threshold criteria for Other Retail Deposits. The national law within the UK has specified these thresholds as £880k and £440k respectively.  We would like to confirm if within the consolidated Group return, the outflow weighting should be applied based on the third country subsidiary regulatory definition or applied based on the LCR Delegated Act definition when converted into the Group’s reporting currency?

  • 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: 2023_6812
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Possibility of treating the amounts deposited on the ECB “Marginal Deposit Facility” as liquidity inflow for determination of the Liquidity Coverage Requirement

Confirmation is requested on the possibility of treating the amounts deposited on the ECB  “Marginal Deposit Facility” as liquidity inflow for determination of the Liquidity Coverage Requirement (LCR ratio), based on the provisions of article 32 of Commission Delegated Regulation (EU) 2015/61

  • 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: 2023_6806
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Reporting of significant currencies (> 5%) according to Article 415 (2) (a) CRR

Article 415 (2) (a) CRR says: 2. An institution shall report separately to the competent authorities the items referred to in the implementing technical standards referred to in paragraph 3 or 3a of this Article, in Title III until such time as the reporting obligation and the reporting format for the net stable funding ratio set out in Title IV have been specified and introduced in Union law, in Title IV and in the delegated act referred to in Article 460(1), as appropriate, in accordance with the following: (a) where items are denominated in a currency other than the reporting currency and the institution has aggregate liabilities denominated in such a currency which amount to or exceed 5 % of the institution's or the single liquidity sub-group's total liabilities, excluding own funds and off-balance-sheet items, reporting shall be done in the currency of denomination; (b) where items are denominated in the currency of a host Member State where the institution has a significant branch as referred to in Article 51 of Directive 2013/36/EU and that host Member State uses another currency than the reporting currency, the reporting shall be done in the currency of the Member State in which the significant branch is located; (c) where items are denominated in the reporting currency, and the aggregate amount of liabilities in other currencies than the reporting currency amounts to or exceeds 5 % of the institution's or the single liquidity subgroup's total liabilities, excluding own funds and off-balance-sheet items, the reporting shall be done in the reporting currency. There has to be breakdown by currencies if the 5% condition is met. ITS article 4 sets the reporting thresholds for entry and exit criteria. Does this means that if the 'significant currency' conditions is not met anymore then exit criteria 'three consecutive reporting reference dates' has to be followed? Or institution can stop reporting other currencies as soon as ratio is < 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: 2023_6799
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Other assets/liabilities in the context of NSFR templates (C 80.00 and C 81.00)

Should institutions report as Other Assets or Other Liabilities also the IFRS accounting corrections deriving from the adoption of a macro-hedging strategy on Interest Rate Risk?  

  • 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: 2023_6796
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023