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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

C 70.00 (AMM)

For new or renewed operations in C70-Template, we reported the carrying amount of the operation, namely, the principal amount of the operation plus the amount of accrued interest not yet paid to the client. However, for operations due or canceled early in the month, we only inform the principal amount of the operation and not the interests that have already been paid to the client. Is this interpretation correct regarding the consideration of interests?

  • 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_6346
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Calculation of the exposure value of regular-way purchases and sales awaiting settlement

Should a Regular Way operation (under settlement date accounting and DVP) that doesn't have an underlying security but mere currency be reported in row 188? In other words, is the presence of a security mandatory to qualify what has to be reported in rows 188/189?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6066
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Reduction of own funds according to Article 78(1)(a) CRR

If an institution applies for an own funds reduction with replacement pursuant to Article 78(1)(a) CRR, may such institution include in its own funds at the same time both the replacing instruments and the replaced instruments? Or should a request for a permission under Art 77 CRR be assessed according to Article 78(1)(b) CRR if the institution includes both the replaced and the replacing instruments at any point in time simultaneously in own funds, considering the consequent decrease of own funds that will occur when the replaced instrument is finally called back/repurchased, or redeemed?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6022
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Prudential filter on unrealised gains and losses corresponding to exposures to governments, local authorities and public sector entities and its interaction with hedging activities

Should institutions, remove from the calculation of their Common Equity Tier 1 items, the amount of unrealised gains and losses resulting from hedging the interest rate risk arising from exposures within the definition of paragraph 1of Article 468?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5683
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Treatment of interest rate book positions denominated in foreign currency.

I. According with paragraph 115 (l) of EBA Guideline 2018/02 should minor positions be included or excluded? II. When deciding whether a position is below or above 5% of total non-trading book financial assets or liabilities which value has to be used for the calculation (e.g. book, face or market value)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/02 - Guidelines on the management of interest rate risk arising from non-trading book activities
  • ID: 2020_5179
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

LCR treatment of liquidity inflows stemming from factoring

What is the LCR treatment of liquidity inflows stemming from factoring business?

  • 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: 2020_5075
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Use of 2 % threshold for general credit exposure

When filling out reporting template C 09.04 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting) rows 0150 and 0160, should 'n' be populated in the respective cells for all templates where 'y' is not indicated, or just for the those corresponding to the Member State and the 'Total' for all countries?

  • 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_6669
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

C08.01: Unclear scope for exposures to be considered in column 0310 “PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT”.

Shall the reporting amount in template C08.01 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting) in the cell r0010;c0310 include “hypothetical risk-weighted exposure amount pre-credit derivates” all exposure types or only contain the exposure types for “counterparty credit risk”-exposures as reported in rows 0040 – 0060 of the same template?

  • 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_6661
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • 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_6649
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Filing indicator for reports not in scope of the period

As per the latest update of EBA filing rules, filing indicators have to be present for all the templates in scope of reporting modules. Does this include the reports which are not applicable for the reporting period, e.g. reports which are submitted yearly? should the filing indicator for the yearly scope be present in quarterly submission?

  • 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_6645
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Clarification about v8741_m and v8443_m

With reference to DPM_3.2, i am writing to ask you for clarification regarding the two following validation rules relating to the same template, C 66.01.a, to the same columns, (0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130 ;0140;0150;0160;0170;0180;0190;0200;0210;0220), but in different rows. Our doubts concern the structure of the validation rules which is identical for both, but referred to different cells. VRule Expression v8741_m {r1070} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000) v8743_m {r1080} = sum(r0750, r0820, r0860, r0920, r0990, r0991, r1000)   Is there a mistake in the validation rules structure or are they correct?

  • 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_6642
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

NSFR - presentation operational deposits

Is the instruction in Annex 13 to item 2.6 (C 84.00, r0180, c0030) correct?

  • 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_6638
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v7371_m and v7372_m

Validation rule v7371_m is defined as follows: xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140} Validation rule v7372_m is defined as follows: sum({C 14.01, c0310, (sNNN)}) <= {C 14.00, c0230} These validation rules do not satisfy the reporting guidance provided in Regulation (EU) No 2021/451.  Are they correctly defined?

  • 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_6586
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Validation rule v7371_m

The formula of EBA validation rule v7371 _m is the following: [C 14.01 (All rows)] xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140}. This rule is activated in DPM 3.0 for templates C 14.00 and C 14.01, and states that the total amount of securitized exposures should be equal to or lower than the amount of notes issued in the senior/mezzanine/first loss tranches. However, depending on the characteristics of the securitization structure and the timing of the notes payments date, the amount of securitized exposures can be either higher or lower than the amount of notes issued.

  • 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_6569
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Level 2A Assets market value in C 66.01 counterbalancing capacity section.

How should the market value of Level 2A Assets be reported in C66 Maturity Ladder in Section 3.4 Counterbalancing Capacity Level 2A Assets?  

  • 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_6525
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v7380_m and v7381_m

Because of validation rules v7380_m and v7381_m, we perform a check on the computation of the RWEA to ensure consistency of RWEA reported on securitisation transactions between templates C 13.01, C 19.00, C 20.00 vs. C 14.01. To comply with rule EGDQ_0362h_5, it is expected that there are no RWA being reported in template C 14.01 for any securitisation position on underlying identified as 'Covered Bonds' or 'Other liabilities'. How can we fulfill v7380_m and v7381_m, where we have securitisation positions with underlyings identified as 'Covered Bonds' or 'Other liabilities', so that we did not report any RWA in template C 14.01 as requested by rule EGDQ_0362h_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: 2022_6480
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

C 14.00 - Consistency of v7667_a

Is the validation rule v7667_a consistent with the ITS?

  • 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_6478
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Reporting of underlying exposures of a CIU

As per Article 132a(1) CRR, institutions should do the risk weighting all underlying exposures of the CIU as if they were directly held by those institutions. If underlying exposures are of mix approaches (STD and IRB), then should they be reported on C 07.00 and C 08.x and C 34.x 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: 2022_6465
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Validation rule v10248_h

Is this validation rule correct for intitutions which calculate their own funds requirement in accordance with the BIA ?

  • 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_6378
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v5017_a

Should the validation rule v5017_a be deactivated?

  • 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_6365
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023