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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

CRM substitution in case of equal risk weight

Should Credit Risk Mitigation with substitution effects on the exposure be applied (and presented in COREP) in case of an original exposure subject to unfunded credit protection (meeting all applicable eligibility requirements) where the risk weight/risk-weighted exposure amount remains equal after the substitution? Is there any difference depending on the approach? (SA/FIRB/AIRB)

  • 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_6621
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Traditional SRT securitisations with derecognized underlying assets

According to the instructions included in Regulation (EU) 2020/429, the column 0210 of C 14.00 shall show the following: “…Value adjustments shall include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet.” Additionally, based on Q&A 5077, where an inconsistency in validation rule v4797_m in template C 14.00 is raised, the provisions reported in column 0210 are referred to outstanding nominal amount at the reporting date. How should column 0210 be filled in case of traditional SRT securitisations, where the underlying assets are entirely derecognized and for which no provisions are recognized in balance sheet after the origination?

  • 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_6558
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Scope of templates C 08.05 and C 08.05.1

What is the criterion that an exposure class must meet to be included in template C 08.05.1 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”)? Should the exposures included in that template be complementary of those included in template C 08.05 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”) or should an extra detail be provided for certain categories? From the point of view of Pillar 3 disclosures, the same question applies to tables EU CR9.1 and EU CR.9 respectively, as they replicate the content and structure of the mentioned reporting templates.

  • 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_6513
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Credit conversion Factor (CCF) reporting

Our concerns would apply to almost all IRB templates (i.e. COREP C 08.01). What would be the correct option?

  • 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_6479
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Reporting of guarantees/non-financial collaterals in providing further credit risk mitigation for derivatives and SFTs in the credit risk templates C 07.00 / C 08.01

Following the logic of the C07.00/C08.01-templates (with DPM 3.0), probable guarantees/non-financial collaterals of derivatives and securities financing transactions (SFTs) won't be captured in the first part of the form (C07.00: columns 0010-0200/ C08.01: columns 0020-0110) even if available. However, starting with the reporting of the exposure value of the derivatives and SFTs (C07.00: column 0200/ C08.01: column 0110) the guarantees/non-financial collaterals will be considered in the second part of the template (starting with the exposure value-column) as its risk-mitigating effects should flow into the RWA calculation. Does the above-mentioned logic follow the reporting requirements of the C07.00/C08.01 templates under DPM 3.0?

  • 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_6433
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

v6566_s, v6567_s, v6327_m: FV changes of hedged items in portfolio hedge of IRR

Should the warnings from EBA validation rule v6566_s be maintained for data point {C 32.01, r0120, c0010}? And what about EBA validation rule v6327_m for C 32.01, r0120? Consistently, should EBA validation rule v6567_s be amended to exclude rows 0010, 0020 and 0120 from the check?

  • 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_6455
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Validation rules of C 05.01 - IFRS9 transitionals

How should the impacts of the transitional arrangements IFRS9 on impairments be reported in template C 05.01, in particular the impacts on Total Risk Exposure in column 0040? The guidelines for rows r0440 to r0443 and columns 0010 to 0040 are quite clear. But what about the totals for {r0100, c0040} and {r0010, c0040}? 

  • 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_6627
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

v6566_s - Negative FV changes of hedged items (C 32.01)

How should negative fair value changes of the hedged items in portfolio hedge of interest rate risk be reported in the context of the prudent valuation templates in COREP (C 32.01)?

  • 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_6511
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 14/06/2023

Combined buffer requirement on top of MREL consolidation level

Assuming that the consolidated resolution group level pursuant to Article 45c (3) BRRD does not correspond to the prudential consolidation level in accordance with Article 11 CRR, which consolidation level is relevant in terms of distribution restrictions according to Article 16a BRRD?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5792
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

Contributions to Resolution Financing Arrangements - clarification regarding the use of the risk indicator of "Own funds and eligible liabilities held by institution in excess of MREL" in calculation of the contributions to resolution financing arrangements

How to determine the risk indicator "Own funds and eligible liabilities held by the institution in excess of MREL" referred to in Article 6 (2)(a) of the Commission delegated regulation (EU) 2015/63 within the calculation of the ex-ante annual contributions to resolution financing arrangements.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2022_6372
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

MREL determination and resolution plan updating in a group where parent entity is on simplified obligations while the subsidiary does not

In case of a group where the parent  entity applies simplified obligations (according to which the resolution plan is updated every 2 years) while the subsidiary does not apply simplified obligations, how is the joint decision (on the resolution plan and also on MREL) taken?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges
  • ID: 2022_6589
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

EBA VR Taxo v3.2.1, Validation rule v11909_m to v11961_m; and v7820_m; v7821_m

Why there is still some validation rules which control if Financial Garantee and Collateral are less than the Gross Carrying Amount in FINREP 18?

  • 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_6795
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 07/06/2023

Structural FX: considering tax effect when calculating maximum open position that can be waived from FX charge

May tax effect be considered when computing the maximum open position that can be waived in the context of the structural FX provision referred to in Article 352(2) of Regulation( EU) No 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2023_6802
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 06/06/2023

Boundary between the banking book and the trading book

A bond issued that has an automatic early redemption option linked to an equity index can be treated as follows: - the market value net of the embedded option related to early redemption is included in the banking book; - the option related to early redemption is unbundled and placed in the trading book so that all risks participate in the market risk requirement? In the case of not being able to unbundle the option related to early redemption and thus placing the equity risk in the trading book, should the institution move the entire bond within the trading book? Or does the bond remain in the banking book and can the early redemption risk from the equity index be managed in the banking book?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6792
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 30/05/2023

Assessing the level of concentration, measures and indicators

What is EBA's opinion regarding the inclusion or not in the determination of the Herfindahl-Hirschman Index (used for determining additional capital in case of credit risk concentration) of the exposures for which the RWA is zero (zero capital allocation) ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/03 - Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing under Directive 2013/36/EU
  • ID: 2023_6787
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 30/05/2023

EBA mapping tool deviation CR7-A column "Total exposures"

Following EBA ITS 2020/04, the instruction to fullfill CR7-A first column - Total exposures- recommands to disclosure :  "Exposure value (post conversion factors) in accordance with Articles 166 to 167 CRR Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee."  => According to our understanding, we select EAD post conversion factor before credit risk mitigation (CRM) and not after CRM

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6740
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 16/05/2023

Reporting of deposit facility (overnight deposits with the central bank) in template C_66.01

It is not clear in which row of template C_66.01 the overnight deposits in central banks such as the deposit facility shall 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: 2023_6784
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 15/05/2023

Definition of residential property

I am bringing a point to your notice where in article 4(75) the residential property is defined as a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden. This has led to quite some confusion in my organisation as to what definition applies in other Nordic countries. Given that we have a presence in all Nordic countries, we expect a generic definition which can be consistently applied for the correct treatment of collateral types. These further also impact how the customer segments (rating systems) are defined as according to the regulation the exposure secured by RRE must be excluded when defining thresholds for retail vs non-retail customers. Therefore, I request you to either 1) modify the definition so that it is clearer if the same definition can be applied in all countries, or 2) Remove the specific country name "Sweden" from the definition, or 3) the institutions can follow local FSAs for such definitions, or 4) They can have their own guidelines for such definitions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6761
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

Opinion to Question 2020_5551, whether an institution is allowed to apply the supporting factor for SMEs and the supporting factor for infrastructure projects simultaneously.

A pending Question 2020_5551 asks an opinion whether an institution is allowed to apply the supporting factor for SMEs (Art 501) and the supporting factor for infrastructure projects (Art 501a) simultaneously. I share here my opinion to help the answer, as it would be important to our institution, and I think the answer is simplier than thought suggested on that question. The pending question I am referring to is under the link https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2020_5551

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6725
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

Collateral swaps where the borrowed and lent collaterals are in different currencies

For a collateral swap where borrowed and lent securities are subject to the separate reporting  as referred to in Article 415(2) of Regulation (EU) 575/2013, we wonder how the transaction must be reported in the c75 , or eventually in 2 different transactions in c73 and c74 but in this case we don't know in which cells and with which weight.  For example, for a settled collateral swap where level 2B USD – market value of 150m is lent and level 2A EUR – market value of 120m is borrowed.  The amounts are already converted into the reporting currency. And we raise the same question if the transaction is forward starting in the LCR window and maturing outside.  

  • 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_6772
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023