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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

Failed XBRL Rule v7370_m - Securitisations

Although BPI is identified as the "originator" (BPI's role - column C0110 from template C.14.00 of report COREP_OF)  of the FCT Vasco securitisation (in accordance with Article 2 (3) of Regulation 2017/2402 - the main purpose of this securitisation (issued in 2018) was to close the loan portfolio of Banco BPI's Paris branch), BPI is neither the issuer nor the seller of the FCT Vasco tranches. As columns C0302 and C0303 (template C.14.00) request the "attachment/detachment point of the most subordinated/senior tranche sold", we understood those columns C0302 and C0303 are not applicable to this securitisation. Banco BPI would like to know if you confirm our understanding?

  • 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: 2021_6290
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation rule v10675_m - Collateral received on Other demand deposits - F18 vs F13

The validation rule v10675_m {F 13.01, r0010, c0050} = sum({F 18.00.c, (r0070, r0191, r0221), c0205}) + sum({F 18.00.c, (r0070, r0191, r0221), c0210}) seems to restrictive and should also include the newly created row 005 related to cash balances at central banks and other demand deposits from annex F18. Would it be possible to update the rule in the next DPM publication ?  

  • 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: 2021_6277
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Fair value changes of hedged interest rate items (hedge accounting) in the C 80.00/C 81.00 NSFR templates

Should institutions report fair value changes of hedged interest rate items on NSFR templates C 80.00 and C 81.00? And if so, should it be separately from the positions hedged as is the case on FINREP, or should this value be added to the hedged 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: 2021_6276
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s

Should the net delta sensitivities in columns 0020 and 0030 of template C91.00 be reported as absolute 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
  • ID: 2021_6271
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Threshold calculation for Corep C90.00 sheet

We would like to ask for assistance to determine how to handle our so called „FI Margin” product from 30/09/2021 in the case of threshold calculation for Corep C 90.00 sheet – based on the trading book activity and market risk. The main scope of this particular product is that the investors are allowed to make a bet based on their expectations on the Governement bond market by using only a small amount of margin. (So this product has a high-level leverage.) The risk of the client-based deals are hedged with prompt deals on Government bonds. The two deals (i.e. the client-based and the hedge one) belong to one product which one can rank as a derivative product. As of our understanding, one can net the spot (hedge) and forward (client) leg of the „FI Margin” product, thus no bond interest rate risk position arise and we can report only the open derivative position, which arise from the market value of the two legs together.

  • 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: 2021_6268
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

COREP C91.00 - Consistency control v10242_s

The validation report of the COREP is failing due to the taxonomy rule v10242_s which is expecting positive amounts in the column C0030 on template C91.00. The instructions state that: “Institutions shall report the sum of net all positive and all negative sensitivities to the different delta risk factors within a risk class”. Should this control be reviewed?

  • 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: 2021_6266
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation Rule EGDQ_0480

Is it correct that the Validation Rule doesn’t take into account the total amount of past due >90 days exposures in F07.01 excluding those in C 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
  • ID: 2021_6265
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation rule v6011_h

The validation rule v6011_h checks if the accumulated impairment of loans and advances for non-financial corporations (row 190) is lower than the sum of accumulated impairments of small and medium-sized enterprises (row 200), belonging to non-financial corporations. In most cases the accumulated impairment is negative. e.g.: Impairment = - 40 r190 (Loans and advances NFC) = -40 r200 (of which: SME) = 0 In this case c190 < c200 and the validation rule is not violated. The question is, how should we deal with positive accumulated impairment due to POCI deals? e.g.: Impairment = + 40 r190 (Loans and advances NFC) = +40 r200 (of which: SME) = 0 In this case c190 > c200 and the validation rule is violated, although positive impairment is generally allowed.

  • 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: 2021_6264
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Reporting non performing exposures into days past due time bands

Table F 18.00 of FINREP contains the breakdown by past-due time bands of performing and non-performing exposures. How shall time bands of non-performing exposures be reported? Using days past due or material days past due?

  • 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: 2021_6263
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022