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List of Q&A's

v09816_m, v09818_m, v09820_m, v09822_m, v09824_m - Hedging sets

Reporting instructions not clear on how to correctly interpret requirements for calculating and reporting CMV for positions with "Exclusive mapping" to one risk category. In template C 34.03, the columns current market value (CMV), positive (c0050) and Current market value (CMV), negative (c0060) are to be presented on hedging set level and shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. In order to comply with requirements, the CMVs are to be presented on hedging set level. While this is possible for calculating each risk category (e.g. Equity risk (r0230, c0050, c0060), there is a potential issue with reporting part of the hedging sets which are mapped exclusively to one risk category (e.g. for interest rate risk: r0060, c0050, c0060). The hedging sets can contain positions which are mapped exclusively to one risk category and positions which are mapped to more than one risk category. How to approach a possible situation where in an extreme case e.g. CMV on the hedging set can be positive, but the sum of all transaction-level MV  which are exclusively mapped to interest rate are negative, therefore the positive CMV would actually be negative? Is it possible to split the hedging sets into sub hedging sets like it should be already done for multi and single name according to EBA Q&A 2022_6363? There would be sub sets with positions which are exclusively mapped to only one risk category and positions which are mapped to more than one risk category. The CMV would then be determined on those hedging sub-sets? In this case, the netting of positive and negative market values will happen only within the hedging sub-sets.

  • 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_6851
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Template C.14 - Validation rule v11873_m - {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140}

Applicability of validation rule v11873_m introduced with DPM 3.2 in force starting from June 2023, which at the moment does not allow the reporting of values under column c140 – TOTAL AMOUNT OF SECURITISED EXPOSURES lower than the sum of columns c230 (SENIOR), c240 (MEZZANINE) and c250 (JUNIOR) positions of Template C.14.00.

  • 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_6838
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Template C.14 - Validation rules v11662_m - if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0230} > 0)) then ({C 14.00, c0231} != empty and {C 14.00, c0231} != 1) and v11663_m if (({C 14.00, c0110} != {[eba_RS:x1], [eba_RS:x6]}) and ({C 14.00, c0250} > 0)) then ({C 14.00, c0251} != empty and {C 14.00, c0251} != 0)

Range of applicability of validation rules v11662_m and v11663_m introduced with DPM 3.2 in force starting from June 2023.

  • 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_6837
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Definition of ‘turnover’ for the purposes of Country-by-Country reporting

What should be considered as ‘turnover’ for the purposes of country-by-country reporting in Article 89(1) of Directive 2013/36/EU (CRD) in light of amended Accounting directive?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6828
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Treatment of inflows from credit facilities in LCR

Is a credit institution entitled to consider inflows from a credit facility in LCR, if the credit facility contractually expires within 30 calendar days and the client has no contractual option to prolong it beyond its current expiry date?

  • 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: 2024_7000
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024

Applying adjustments and deductions in Article 36 in full

In Article 48(2)(a) of Regulation (EU) No 575/2013 (CRR) it states: 'the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;' Question: When applying the adjustments and deductions in Articles 32 to 36 in full should be deducted the value of deferred tax assets and significant investments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6990
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024

Clarification on How the Guidelines Impact Vendors Whose Products are Not Deemed as Outsourcing Arrangements

In light of the EBA's clarification(pages 88 and 89) we understand that the purchase of standardized/licensed software or services, such as those supporting IT platforms (e.g., web hosting, DDoS systems, data backup processes), does not fall within the scope of outsourcing (as per the EBA's response to related queries). Paragraphs 24 and 25 on page 11, however, require financial institutions to assess risks from third-party arrangements, even if not classified as outsourcing. As a vendor providing non-outsourcing arrangements, we seek clarification on whether the EBA requires financial institutions to mandate compliance with the EBA outsourcing guidelines in our case, considering our offerings are explicitly excluded from the outsourcing definition. Can financial institutions require compliance with these guidelines, citing them as a compulsory regulatory requirement, even when our offerings do not qualify as outsourcing arrangements? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/02 - Guidelines on outsourcing arrangements
  • ID: 2024_6979
  • Topic: Internal Governance
  • Date of submission:
  • Published as Rejected Q&A: 04/03/2024

clarification which EBA Q&A to apply: EBA Q&A 2017_3277 or EBA Q&A 2023_6791

clarification which EBA Q&amp;A to apply: EBA Q&amp;A 2017_3277 or EBA Q&amp;A 2023_6791

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2024_6985
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 04/03/2024

Assignment of a 0% risk weight to equity exposures to subsidiaries that are not institutions

Can a risk weight of 0% be assigned pursuant to Article 113(6) CRR to an equity exposure to a subsidiary which is not an institution, provided that all conditions in Article 113(6)(a) to (e) are met? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6981
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2024

Consideration of CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA

It is possible to consider the CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA without including the perimeter exceptions specified in aticle 382.4?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_6993
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Unweighted delta sensitivities in template C91

In the C90 template on market risks - Alternative Standardised Approach Summary - the first two columns must show the unweighted sensitivities broken down by positive and negative aggregated by risk factor.Should positive and negative sensitivities be aggregated from net risk factor sensitivities or risk factor sensitivities for individual positions? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7001
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Treatment of RNIME (Risks not in the model engine) in COREP reporting

What COREP template should be used for the reporting of RNIME? Our NCA has advised us to report RNIME in COREP C02.00 (Own Funds Requirements) row 760, according to Article 3 CRR and the ECB Guidance on Internal Models (chapter Market Risk, page 176, footnote 90), instead of the Market Risk template C 24 MKR IM in accordance with Article 92 (3)(c) 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: 2023_6959
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Corep reporting C 34.06 – Top 20 counterparties - validation rule EBA_v10236

Concerning the Corep reporting C 34.06 – Top 20 counterparties, further clarification is required for validation rule EBA_v10236.Row 0040 (Sector of the counterparty) specifies that one sector must be chosen for each counterparty based on the following FINREP economic sector classifications: (i) x10 Central Banks ; (ii) x1 General Governments; (iii) x12 Credit institutions; (iv) x599 Investment firms as defined in Article 4(1), point (2) of Regulation (EU) No 575/2013; (v) x598 Other financial corporations (excluding investment firms); (vi) x20 Non-financial corporations.However, some counterparties in our EQ options are individuals (households) and do not fall under any of the codes allowed . How to meet the requirements of validation rule EBA_v10236 for the household sector among the 20 largest exposures due to counterparty credit risk?which of the values ('x10', 'x1', 'x12', 'x598', 'x599', 'x20') should be used for physical persons as reporting 'x5-households'  defined in CT16_1 is not permitted?or maybe households are not in a scope of reporting and should be excluded from the table?

  • 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: 2023_6937
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Admissible values to {C34.06, c0040}

According to XBRL rule v10236_a: [C 34.06 (All rows)] {C 34.06, c0040} in {[eba_CT:x10], [eba_CT:x1], [eba_CT:x12], [eba_CT:x598], [eba_CT:x599], [eba_CT:x20]}. On the other hand, "DPM table layout and Datapoint categorization" file available at EBA website, the admissible values are: (CT:x10) Central banks; (CT:x1) General governments;  (CT:x12) Credit institutions;  (CT:x18) Financial corporations other than credit institutions; (CT:x598) Financial corporations other than credit institutions and investment firms; (CT:x599) Investment firms; (CT:x20) Non-financial corporations; (CT:x5) Households.  The EBA xbrl validation rule does not include (CT:x18) "Financial corporations other than credit institutions" nor (CT:x5) "Households". This mismatch has been caused validations warnings. Could you, please, clarify which admissible values should be considered for {C34.06,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: 2023_6913
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Interaction between Qualified CCPs and Reporting C 07.00/C 08.00

Where should institutions report the values of all its trade exposures with QCCP? 

  • 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: 2023_6898
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Sovereign credit assessment to apply to exposure of central government, central bank and government-100%-owned central bank.

1. Is sovereign credit assessment of a country by a nominated ECAI available for assigning a corresponding risk weight to exposures to the central government or central bank of this country? 2. Is sovereign or central government credit assessment applicable to central bank when a central bank is 100% owned by central government?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6970
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2024

Automatic cancellation of commitments qualified as unconditionally cancellable commitments (UCC)

If contractual arrangements of a commitment provide for automatic cancellation due to deterioration in a borrower’s creditworthiness, but the cancellation is not always automatic considering client relationship, can this commitment be considered as an unconditionally cancellable commitment (UCC)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6936
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2024

Clarification on EBA provisions for treatment of Non-Stable and Non-Core NMDs in SOT on NII.

Can banks, in their internal measurement methodologies for calculating the NII SOT baseline scenario, for renewed Non-Stable/Non-Core NMDs assume repricing at the current market interest rate without any commercial margin, in order to avoid stabilisation of NII on unstable funds? Is this approach in line with EBA/GL/2022/14 and permitted under EBA/RTS/2022/10?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities
  • ID: 2023_6830
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 15/02/2024

Reporting of marginal deposit facility amounts (overnight deposits with the central bank) in templates C72 and C74.

It is not clear how the amounts in Central Banks regarding the marginal deposit facility should be treated in the calculation of the LCR and reported in C72 and C74.

  • 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_6789
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 15/02/2024

New EBA Validation rules taxonomy 3.2 in C.14.00 CR SEC Details v7364_m consistency

The information declared in template C13.01 does not exclude the possibility of holding positions in corporate loans for synthetic senior STS securitisations.  However, control v7364_m on template C14.00 restricts the scope of application to SME loan portfolios. Can you change the formula for this control to include corporate portfolios?

  • 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_6953
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/02/2024