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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.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Scope of CCP liabilities in Article 44(2)f

What is included under 'CCP liabilities' in Article 44(2)f. Does this include liabilities from trade exposure as defined in art 4(1)91 of the CRR (‘trade exposure’ means a current exposure, including a variation margin due to the clearing member but not yet received, and any potential future exposure of a clearing member or a client, to a CCP arising from contracts and transactions listed in points (a), (b) and (c) of Article 301(1), as well as initial margin)? Does this include posted initial margin, or default fund contribution.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6591
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is it correct that the institutions shall only use NACE codes to classify the gross carrying amounts, and this is different from the scope in the reporting according to Article 8 of the Disclosures Delegated Act where the reference to NACE sectors is only indicative?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6490
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is the reporting requirement of L – Real estate activities also covering residential immovable property or is it only commercial immovable property? We are uncertain since it is stated in point 7 on page 10 in Annex XL that it is exposures to non-financial corporations. However, in reporting according to the Disclosure Delegated Act residential immovable property is included.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6492
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 10: other climate change mitigating actions

Should template 10 include exposures to counterparties not included in GAR e.g., exposures to be included in BTAR (template 9) or exposures that is either taxonomy eligible or aligned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6510
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 5: climate change physical risk

What is meant by “other relevant sectors” - could it be a sub sector of the sectors in row 1 to 9?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6507
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is column “p” to include the share of gross carrying amount without EPC label, for which there is data on the actual energy consumption from measured consumption in the real estate?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6506
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 2: banking book - climate change transition risk

Is it allowed to use more precise information about the energy consumption of the collateral (i.e. primary data on actual building energy consumption) instead of the consumption indicated in the EPC label?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6505
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is EBA aware of any data providers that have information of the companies excluded from the EU Paris-aligned Benchmarks in accordance with points (d) to (g) of Article 12.1 and in accordance with Article 12.2 of Climate Benchmark Standards Regulation or are the companies required to publish that kind of information under other EU legislation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6503
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Are you obliged to use the NACE code sector of the specific obligor under the holding company (template 1, point 8 on page 10 in Annex XL)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6502
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

v6298_m

A new validation v6298_m has been added to taxonomy DPM 3.2 which specifies that: [C 24.00,{c140} ({r0010} <= 30)]. This rule has severity 'error' and provides that no more than 30 "Number of overshootings (during previous 250 working days)" can be reported. Article 366, par. 2, requires that "addend shall depend on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at-risk number as set out in Article 365(1)". This paragraph does not indicate any maximum limit of "Number of overshootings " and the column "Number of overshooting" of the table 1 of art 366 has as last range "10 or more". The indications of Article 366 are consistent with the validation rules v6297_m (whit sererity warning) which specifies that : [C 24.00 ({c140} {r0010} <= 250)] but not with rule v6298_m that provides a cap on 30 Number of overshooting.

  • 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: 2022_6440
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

C34.09 Credit Derivative Exposures – Signage of positive and negative fair values for credit derivatives

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.09 requires the fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values). According to validation rules v10325_s and v10481_s for C34.09, the fair values reported in columns 0030 and 0040 for rows 0010 to 0070 must be greater than or equal to zero. Can the EBA clarify if positive fair values should be reported with positive signage and negative fair values should be reported with negative signage in rows 0010 to 0050? Or if the validation rules are correct then is the requirement to report both positive and negative fair values with positive signage in these 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_6417
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

C34.01 Size of the Derivative Business – Application of validation rule v09805_m

The instructions provided in Annex II Reporting on own funds and own funds requirements for template C34.01 states the size of the derivative business must be the sum of the absolute value of long derivative positions and absolute value of short derivative positions.  According to validation rule v09805_m applicable to row {0050} in the C34.01 template, the percentage of the total assets to the size of the derivative business must be less than or equal to one.  Taking the sum of the absolute market value of long and short derivative positions would most likely trigger this warning validation. Can the EBA review the warning validation rule v09805_m for C34.01 and confirm if this needs amendment? 

  • 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_6416
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v4821_m on column c0230 of Template C.08.02.

We wonder if there could be possible exceptions to the Validation rule v4821_m which always requires the LGD reported in column c0230 of Template C.08.02 by Obligor Grades to be always lower than or equal to 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: 2022_6400
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v7371 - Securitization Template C 14.00

Should validation rule v7371 be a blocking error in case of a securitisation transaction under a replenishment period?

  • 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_6397
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v09823

Is the validation rule v09823 correct? How would you understand and interpret the validation 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_6393
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v1376

Is validation rule v1376 applicable when Achmea Bank amortizes the fee expenses, and the intercompany party does not amortizes related fee expenses? As a result of the amortisation, the intercompany fee expenses is greater than the total fee expenses.

  • 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: 2022_6390
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2022_6358
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022