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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

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

C 34.06 – Top twenty counterparties

In the COREP Own Funds reporting template C 34.06 the top 20 counterparties ranked by CCR exposure shall be shown. If a counterparty acts both as QCCP and as Non-QCCP/bilateral counterparty, should the counterparty be listed twice in the template or only once with the higher exposure?

  • 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_6504
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v6303_m not passed due to market conditions (C 24.00)

Because of the evolutions of the rates, the ratio SVaR/HVaR has dropped such that the SVaR is below the HVaR. In coordination with the local supervisor, we compensate this RWEA underestimation by applying a self-imposed RWA add-on through the application of Article 3 CRR. However, when we report the information of template C 24.00, the validation rule v6303_m blocks the submission because it enforces the following rule v6303_m: [C 24.00 (r0010)] {c0060} >= {c0040} We request de-activation of this rule so that our report can be submitted.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
  • ID: 2022_6543
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

v5839_m vs Q&A 5434

When will the validation rule v5839_m reflect changes recommended in Q&A 5434 of the Single Rulebook Q&As?

  • 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_6549
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Reporting Entry & Exit Criteria

How should Article 4 (entry/exit criteria) of the ITS on Supervisory Reporting be applied for new reporting requirements (e.g. Taxonomy 2.9, new NPE threshold reports)?

  • 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_5201
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C 08.01, v10540_h

The validation rule claims that the sum of rows 0040, 0050 and 0060 of column 300 of template C 08.01 should equal the value reported in C 34.07, row 180, column 030. Is this validation rule applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6553
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Wrong validation at the level of the number of obligors between C08.01 and C34.07.

  May we kindly ask you to disable validation rules v10523_h and v10524_h? These checks are not correct. This item is closely linked to a previous Q&A with the ID 2021_6202, we can however not find this Q&A on the EBA site.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6559
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 don't allow negative values.

Is there a reason for validation rules RRDET_V6567_S_0001, RRDET_V6566_S_0001, and RRDET_V6327_M0001 relating to Template C 32.01 to restrict the population to positive values?

  • 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_6578
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

PRUVAL - Matching Total fair values liabilities with FINREP

Should the validation Rule v6566_s check the sign of row 0150 (1.2 TOTAL FAIR-VALUED LIABILITIES) of template 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_6581
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Validation rule v6332_m

The validation rule v6332_m for the COREP template C 32.01 - PRUVAL1 - in framework release 3.2.0 is defined as follows: {c0090} <= {c0080}. It is applicable for the rows:  (0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0142;0143;0150;0160;0170;0180;0190;0210;0220;0230). Is this validation rule correctly set that row 0120 is included in the selection of the rows applied?   

  • 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_6583
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

C08.07 / CR6-A: Contradictory instructions on inclusion of CCR into reporting and disclosure template

Shall counterparty credit risk exposures be included included in or excluded from CoRep reporting template C08.07?

  • 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_6593
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Definition of “prudential regulation in the Union” in Article 142(1)(4)(b)

Can insurance and re-insurance undertakings located in the EU be considered as non-prudentially regulated and therefore as non-eligible to the definition of large financial sector entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5666
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Credit risk and EBA Clearing instant payment system RT1

  Credit institutions are participating in EBA Clearing instant payment system RT1. Whether the bank’s credit risk exposure related to the system holding balance is to the system operator, ie EBA Clearing or to the European Central Bank as the institution managing the consolidated accounts?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6475
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Article 111 or about

What CCF and provisions should be allocated, if any, in year 1/2/3/4 considering this special situation that I cannot find in the regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6519
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

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