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List of Q&A's

NACE codes for the sectors that highly contribute to climate change for Pillar 3 ESG risks disclosure, Template 1

Included in the template’s rows of the Sectors that highly contribute to climate change we find also Sector I (Accommodation and food service activities) in row 51, while in the instructions and in the Commission Delegated Regulation it’s clearly stated that such sectors include only NACE Sectors A to H and L. Is it a typo, or else what is the reason behind this? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6516
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

French “EU General Fund” instruments issued by Life Insurance companies: Application of Financial Collateral Comprehensive Method and implication for Large Exposures.

How should EU General Funds instruments issued by Life Insurance Companies in France, characteristics of which are described in background section, be treated in relation to: Credit Risk Mitigation (CRR Part 3, Title II, Chapter 4); Large Exposure Framework (CRR Part 4).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6483
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2022

Reporting of cash flows related to operating expenses / income in the C 66.00 maturity ladder template

What type of operating income and expenses should be considered in 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_5150
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Correlation G0556 of COREP C14.00

Please, can you review if the correlation G0556 of COREP C14.00 is correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6216
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation Rule v10657_m

Validation Rule v10657_m fails due to rounding of the countercyclical buffer rate.

  • 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_6287
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Amount of holdings to be reported (CA4)

Regarding the reporting of Direct indirect and synthetic holdings by the institution of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments of financial sector entities in template C 04.00 (CA4), it is not clear whether the full holding amount is to be reported in template C 04.00 (CA4), rows 0230 to 0643, or only the deduction amount.   This question applies both where the reporting institution's holdings are above the threshold limit and where they are within threshold limit: Is full holding amount 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_6342
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

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_6366
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v09805_m, size of the derivatives business

Is validation rule v09805_m 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_6377
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Reporting requirement of C34.01

Are all institutions with CCR exposures required to complete the template C 34.01, or only those institutions that use the methods set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR?

  • 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_6429
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C08.07: credit risk only?

Is report C08.07 limited to Credit Risk only, or is Counterparty Credit Risk included in the scope?

  • 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_6441
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

COREP reporting in case of positive impairments for purchased or originated credit-impaired financial assets (POCI)

In case of purchased or originated credit-impaired financial assets (POCI), also positive values for value adjustments can be reported in COREP reports. Some DPM validation rules do not allow reporting positive values. Since it is possible to have positive impairments for the POCI assets, could the validation rule be modified in this respect?

  • 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_6447
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Mismatch between the instructions for template C 07.00 and the EBA validation rule (v4755_m)

Should Annex II to Regulation (EU) 2021/451 be amended in a way to remove the mismatch between the instructions for reporting template C 07.00 and the EBA validation rule (v4755_m)?

  • 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_6452
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rule v4135_m

As we are asked not to report the repos at fair value in the “Repurchase agreements” item on P01.02, while also explicitly required to report MRO, LTRO & TLTRO operations in P02.02, we believe this validation rule cannot be complied with.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/05 – Guidelines on harmonised definitions and templates for funding plans of credit institutions under Recommendation A4 of ESRB/2012/2 - repealing EBA/GL/2014/04
  • ID: 2022_6457
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

NACE use in Pillar III ESG vs FINREP

1. Does further instruction on NACE classification for a particular counterparty as applicable for disclosures purposes in Pillar III ESG (e.g. Template 1 – Banking book – Climate change transition risk: Quality of exposures by sector) also apply for NACE classification for that same counterparty as presented in FINREP (template F06.01)? 2. Can additional clarification be provided for FINREP template F06.01 Section K 'Financial and Insurance activities'?

  • 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_6468
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v10861_m - G-SII- vs LR-reporting

Is the formula of validation rule eba_v10861_m consistent ?

  • 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_6471
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rule eba_v0314_m

 Is the formula of validation rule eba_v0314_m consistent for the columns 216 and 217 ?

  • 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_6472
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rule v09762_m, checks that the LGD (c0070) should be less or equal to 100% in template C 08.03 (CR IRB 3)

According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”. This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”. However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel this rule? According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”. This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”. However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel this rule?

  • 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_6491
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v10672_m for C 08.01 not relevant

Is EBA validation rule v10672_m for template C 08.01 (CR IRB 1) relevant?

  • 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_6497
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

validation rule eba_v2708_m

In template F 18.00, the following validation rule is applied: sum({F 18.00.d, (r0005-0335, r0920, r0923, r0930, r0933), c0200}) + sum({F 18.00.c, (r0005-0335, r0920, r0923, r0930, r0933), c0210}) <= sum({F 18.00.a, (r0005-0335, r0920, r0923, r0930, r0933), c0060}) + sum({F 18.00.b, (r0005-0335, r0920, r0923, r0930, r0933), c0150}). We have a problem understanding regarding r0005-0335: In the formula, we have to take the sum from row 0005 to row 0335, but these cells correspond to the sum of the detail cells, with the detail cells and the cells of 'of which'. That seems abnormal as rule, and in the rest of the formula, the 'of which'-cells r0920, r0923, r0930 duplicated.

  • 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_6498
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C 06.02 – Reporting of branches

Are branches in the scope of the template C 06.02 (Group Solvency: information on affiliates)? If yes, should information on them - i.e. their contribution to the group solvency - be computed within the subsidiary which they are branches of? Or should they be reported in separates rows?    

  • 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_6500
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022