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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

Reporting of balances denominated in renminbi CNY and CNH in C22 MKR SA FX

In C22 MKR SA FX, where a bank is permitted to hold positions denominated in CNY and CNH, should CNH balances be combined with CNY balances in Row460, or included in Row470 under Other currency positions on the basis that CNH has its own readily-verifiable exchange rate and exposure against the reporting currency? For C22 Row020, if CNH balances are reported in Row470, should CNH be included in List of Closely correlated currencies against the Chinese Yuan (CNY) in Annex 1 to ITS ON CLOSELY CORRELATED CURRENCIES UNDER ARTICLE 354(3) OF REGULATION (EU) 575/2013?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_3720
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Reporting of revocable off-balance sheet commitments in FINREP IFRS9 template F 9.1.1

Where should the revocable off-balance sheet commitments be reported in FINREP IFRS9 template F 9.1.1? Annex V, Part 2, paragraph 103 requires that information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. Template F 9.1.1 includes three main categories: "off-balance sheet commitments and financial guarantees under IFRS 9 impairment”; “Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4” and “Commitments and financial guarantees measured at fair value”. A revocable off-balance sheet commitment is not in scope of IFRS 9 Impairment, IFRS4, IAS37 (there is no contractual obligation which is a condition for IAS37) nor is it measured at fair value. Where should such a revocable off-balance sheet commitment be reported in template F 9.1.1? Does it have to be reported in F 9.1.1?

  • 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: 2017_3478
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

FINREP F 12.1 Movements in allowances and provisions for credit losses

How shall the impact of transfers between impairment stages be reported in template F 12.1.?

  • 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: 2017_3474
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

C 09.04, row 40, column 010 - Value of trading book exposures for internal model

Regulation 2016/1702 requires that row 40 only be populated with the exposures value for relevant credit defined in Article 140(4)(b) of Directive 2013/36/EU (CRD), in accordance with Article 104 CRR, namely the sum of the following items: -Fair value of non-derivative positions; -Notional value of derivatives. We remain unsure how the bank should include short positions in the reported exposures. Question: Could you indicate how the bank should include short positions in the reported exposures?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3391
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

VaR Multipliers

How should the figures in VaR and SVaR multiplication factors be reported in C 24.00?

  • 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: 2016_2758
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Toleranzschwellen bei Korrekturmeldungen gemäß Verordnung (EU) Nr. 680/2014

Unterhalb welcher Materialitätsschwellen dürfen Korrekturmeldungen gemäß Verordnung (EU) Nr. 680/2014 unterbleiben? Ab welchen Aufwandsschwellen, die für die nachträgliche Korrektur und Einreichung zu erbringen wären, kann die Einreichung korrigierter Meldungen unterbleiben?

  • 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: 2016_2613
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

FINREP, template F 20.04

If a bank does business with a branch abroad, how does bank report information regarding Geographical breakdown by residence of the counterparty in table F 20.04 – taking into account the country of branches' residence or the country of mothers' residence? For example, Slovenian Bank A does business with Branch B in Italy, which is the part of Bank C in Slovenia. Should the Bank A report in template F 20.04 their exposure to Branch B of Bank C as an exposure to Slovenia (residence of mother) or as an exposure to Italy (residence of branch)?

  • 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: 2014_1677
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Question on CSD capital requirements and investment policy

For collateral to be considered of the best quality for the purpose of CSDR Articles 59(3)(d) and 59(4)(d), debt instruments are required to be liquidated “on a same day basis”. In the same manner, the appropriate timeframe in order to access the asset under the investment policy, as provided by art. 82(2), should be “on the same business day” We ask European Authorities to clarify the meaning of “same day basis” and “same business day” and the settlement period linked to it.

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)
  • ID: 2018_3704
  • Topic: Market infrastructures
  • Date of submission:
  • Published as Rejected Q&A: 28/01/2022

COREP form C72

On form C72.00, should there be a calculation for row 020 Total unadjusted level 1 assets?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_2467
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 24/01/2022

Supplementary Reporting

In templates C51.00 to C53.00, which criteria should be applied to determine the items subject to Supplementary Reporting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1272
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 24/01/2022

wrong behaviour of constraint v1141_m (and v1142_m) (COREP: C_16.00.a)

v1141_m: if {r020,c070} > 0 then {r030,c010} > 0 or {r030,c020} > 0 or {r030,c030} > 0 or {r040,c010} > 0 or {r040,c020} > 0 or {r040,c030} > 0 or {r050,c010} > 0 or {r050,c020} > 0 or {r050,c030} > 0 or {r060,c010} > 0 or {r060,c020} > 0 or {r060,c030} > 0 or {r070,c010} > 0 or {r070,c020} > 0 or {r070,c030} > 0 or {r080,c010} > 0 or {r080,c020} > 0 or {r080,c030} > 0 or {r090,c010} > 0 or {r090,c020} > 0 or {r090,c030} > 0 or {r100,c010} > 0 or {r100,c020} > 0 or {r100,c030} > 0 or {r110,c010} > 0 or {r110,c020} > 0 or {r110,c030} > 0 or {r120,c010} > 0 or {r120,c020} > 0 or {r120,c030} > 0 Apparently the constraint also triggers an error when {r020,c070} = 0 which shouldn’t be the case according to the label and syntax of the formula. the same remark concerning v1142_m (similar formula)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1252
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 24/01/2022

Hedging derivatives in country splits of FINREP

Please confirm if hedging derivatives should be reported in the country split forms of FINREP (e.g. 20.04 (assets) and 20.06 (liabilities)) or only trading derivatives should be shown.

  • 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: 2016_2710
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2022

Upside uncertainty and OPR AVA

How shall OPR AVA be treated in relation to Upside uncertainty?

  • 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: 2019_4628
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2022

Control v6363_m - Number of days of the prudent exit period ?

Could you confirm that this control must be deleted or that the number of days is more or equal to zero (and not ten) ?

  • 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: 2019_4553
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2022

Prudent valuation - new template C.32.01

At the analysis of the new template C.32.01 which must be filled starting from reporting date 31.12.2018 we found some constellations which we cannot allocate so easily in the new form. Here we would ask you for guidance. 1. Eurex-Netting Here derivatives of different hedging relation and valuation categories are netted and the netting result is finally shown in only one finrep position which is derivatives – hedge accounting (in the template rows 1.1.9 or 1.2.4). Here are also some derivatives included for which the hedging relation should be shown in column 030 exactly matching. The reason is that the other deal of the hedging relation which is not part of the netting agreement is also shown here. At the rows 1.1.9 or 1.2.4 the column exactly matching is, however, shown greyed out. If we – for instance – evade to column 040 other, then column exactly matching does no longer show the same total on the asset side and the liabilities side what – we suppose – would contradict to the expectations of EBA. How can we show this constellation properly in the template? 2. Portfolio Fair Value Hedge Accounting (rows 1.1.10 and 1.2.5 in the template) We regard the bookings in this balance sheet positions also as a part of hedge accounting and thus cannot understand why in these rows 1.1.10 and 1.2.5 column 040 hedge accounting is shown greyed out. Where can we show in the template the deduction items which we calculate for prudent valuation at portfolio fair value hedge accounting? 3. Change of algebraic sign at some trades There are cases where the total book value is lower than the hedge adjustment included in the book value. This means that after elimination of the hedge adjustment in column 030 or 040 the algebraic sign of the book value changes. In the result column 080 the problem is solved by showing the absolute value for the calculation basis for the prudent valuation of every deal. So undesirable netting effects inside this column are avoided. At the deduction rows 030 – 060 it is not so easily possible to show a transparent calculation. Example: Deal 1 Book value 80 Hedge Adjustment 100 Result 20 (absolute value) Deal 2 Book value 100 Hedge Adjustment 90 Result 10 (absolute value) Then the cells in template show the following figures: Book value 180 Hedge adjustment 190 Result 30 (absolute value) This is correctly calculated, but not transparent and the validation rules are not complied with.

  • 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: 2018_4436
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2022

Validation rule eba_v10610_m

In the template FIN18.0, for the debt instruments other than held for trading or trading (r0330), the carrying amount performing (c0020) must be equal to the sum of the "Of which" columns (c0056+c0057+c0058). The debt instruments other than held for trading or trading (r0330) is the sum of the rows (r0180, r0201, r0231). The validation rule seems inconsistent because for the debt instrument at strict locom, or fair value through profit or loss or through equity not subject to impairment (r0231), the carrying amount performing (c0020) can be feeded but not the columns "of which" (c0056+c0057+c0058) which can't be filled.

  • 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_6292
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

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