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List of Q&A's

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5738
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Template F 22.02: Assets involved in the services provided

Third party Loan portfolios managed by the institution as loan servicer provider should be reported as memorandum item in template F 22.02? Under which row?

  • 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_6598
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Reporting of (Internet) Savings deposit in template F08.01

In which row do we need to report (Internet) Savings deposits with Households in template F 08.01 ‘Breakdown of financial liabilities by product and by counterparty sector’? Either as being ‘Current accounts/overnights deposits’ row 0320 or as ‘Deposits redeemable at notice’ row 0340?

  • 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_6616
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Template F 11.4

How to report in Template F 11.4 a partially hedged loan portfolio?

  • 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_6617
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Validation Rule EBA_v10013 breaching

Validation rule v_10013 fails due to the positive sign of the amount of automatic exchange rate differences classified in column 0070, row 0060. (‘Outflow due to negative changes in value - Other adjustment (-) - Automatic exchange difference (-)’) With regard to column 0070, there seems to be no other rows available in order to classify the automatic exchange rate differences (either positive or negative). How can we overcome the rule breaching?

  • 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_6628
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Scope of application of Article 449a

Could you please clarify and confirm the scope of application of Article 449a CRR for different kinds of supervisory groups and entities, including situations where the head of the group is a (mixed) financial holding, or the group has credit institutions affiliated with the central body? In general: can a (mixed) financial holding be considered a large institution on a consolidated basis (as per the CRR definition), and therefore would it have the obligation to disclose? Or should the disclosure requirement be on the credit institution underneath? And if the latter, at what level should it disclose, at highest level of consolidation of the group, i.e. the FH or its own level? If the requirements are applicable at the top level, i.e. the (M)FH, if a financial holding is large but not listed and one of the subsidiaries underneath is listed (large or not), shall it be considered that the conditions large and listed are fulfilled?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6652
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Clarification of the definition for "residence"

In the template FIN 20.4, we need to restitute engagement under a geographical breakdown by residence of a counterparty. Immediate counterparty is clearly defined in the annex 5 but the definition of residence is not detailled. Could you give us a more detailed definition for the residence to use for the production of data into this template?

  • 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_6518
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

FINREP V5686_s: for the rows (080;150) Col. 050 > 0

EBA V5686_s signage validation requires positive amounts in column 050 (Macro Hedges - Hedged Items in Portfolio Hedge of Interest Rate Risk). Please can you advise on whether FINREP permits negative amounts in column 050 for rows 080 and 0150?

  • 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_6430
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- Attribution factor for financed emissions

In Template 1 of the final ITS, Commission Implementing Regulation (EU) 2022/2453 the GHG financed emissions should be reported in colimn i. With reference to the Annex 2 of the Regulation, institutions should  "taking into account their exposures [...] compared to total liabilities (accounting liabilities and shareholdes' equity)". This expression refers to an attributions factor that is similarly used in the GHG/PCAF-standard (EVIC, i.e. debt and equity). According to the expression, the attribution factor only applies for the "scope 3 emissions per sector" and is not explicitely named in column j for the "Of which Scope 3 financed emissions". Does the CRR-449a-attribution factor in column i and j apply for scope 1/2/3 of the counterparty? Does the attribution factor deviate from the GHG/PCAF-standard?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6678
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C 24.00: Capital multipliers due to model limitations

Which is the correct way to report add-ons to the Own Funds Requirements in COREP C 24.00 (MKR IM) required by the regulator due to limitations of internal models?

  • 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_6323
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Template 34.02 - Exposure value post-CRM

When Institutions calculate the exposure value post-CRM in accordance with the Standardised approach for counterparty credit risk, should it consider Article 274(3) of CRR?  In other words: if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, should institutions insert the first or the second value into the template? 

  • 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_6291
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Obligation to report risk-weighted exposures under SEC-ERBA and under SEC-SA as memorandum items in COREP template C 14.01

When does the obligation apply to report risk-weighted exposures under SEC-ERBA in column 0447 and under SEC-SA in column 0448 of template C 14.01?

  • 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: 2021_6252
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C 34.08 - Collaterals with haircuts

Should the fair value of collaterals (posted or received) used in CCR exposures related to derivative transactions, SFTs and long settlement transactions be reported in template C 34.08 after the haircut (volatility, FX) was applied or without considering the haircut?

  • 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_6117
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C34.08 report - the collaterals which are related to derivatives, long settlement transactions and SFTs and which are not initial or variation margins should be reported in the Initial margin columns

Considering the definition of the initial margin which is provided in CRR, Article 4, paragraph 140, the collaterals posted or received which are related to a SFT transaction / derivative transaction / long settlement transaction and are not initial or variation margin should be reported in the C34.08 report Composition of collaterals for CCR exposures, column 0010 / column 0030 / column 0050 / column 0070 / column 0090 / column 0110 / column 0140 / column 0160 Initial margin?

  • 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_6118
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Application of requirements for NPE prudential backstop in connection with the new COREP templates

The application of the requirements of Articles 47a, 47b and 47c of the CRR is connected with a new COREP reporting requirement for NPE loss coverage envisaged in templates C 35.01, C35.02 and C 35.03. When filling the new COREP reporting templates a several issues have appeared, that are divided into following questions: 1. Do restrictions for specific credit adjustments, which have been recognized during the financial year, apply even for calculation of NPL prudential backstop although RTS on the calculation of credit risk adjustments (RTS 183/2014) that stem from Article 110(4) of the CRR do not include Articles 47a, 47b and 47c of the CRR? 2. Does NPL definition in Article 47a of the CRR (namely requirement for calculating past due days for requirements in Articles 47a(3)(c) and second sub-paragraph, 47a(4)(c), 47a(6)(c) and second sub-paragraph, 47(7)(c)) and forbearance measures definition in Article 47b of the CRR (namely requirement for calculation of past due days for requirements in Article 47b(3)) takes into account material threshold for the assessment of materiality of a credit obligation past due as referred to in Article 178(1)(b) and the RTS 2018/171 or the past due days calculation takes into account any past due exposure of the borrower regardless of the amount?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5860
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- Scope 3 financed emissions including scope 1 and 2 of the counterparty

In Template 1 of the final ITS (Commission Implementing Regulation (EU) 2022/2453) in column j the "Of which Scope 3 financed emissions" should be reported. Reading Annex 2 of the Regulation, "Institutions shall disclose their scope 3 emissions" where "their" refers to "institution" - this would be the scope-3-financed emissoions of the PCAF standard and therefor the total financed  emissions inclusing scope 1 /2 /3 of their (!) counterparties. Is is correct, that here only the counterparties scope-3-emissions should be reported?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6677
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Gross carrying amount of held for trading financial assets in disclosure of non-performing and forborne exposures

Does the 'Carrying amount of Financial assets held for trading' include also the 'Gross carrying amount/nominal amount Performing exposure' in Template 3: Credit quality of performing and non-performing exposures by past due days, and also in the other related templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/10 - Guidelines on disclosure of non-performing and forborne exposures
  • ID: 2021_5813
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- financed emissions to objects (PCAF-Standard) instead of counterparties

Regarding template 1 (ITS Commission Implementing Regulation (EU) 2022/2453) the "GHG financed emissions (scope 1, scope 2 and scope 3 emissions of the counterparty)" [see Annex 1] have to be reported. With respect to Annex 2 of the Regulation, the Reporting Standard of the Financial Industry (PCAF) is referenced (page 13), that is related to the institutions ("their") scope 3 emissions. Therefore, regarding projekt/object finance, we are not clear if the financed emissions of the specified object or the counterparty should be reported. E.g., if a bank finances/leases a car of/to a counterparty, should the scope 1/2/3 emissions of the counterparty (e.g. the company that buy the car that is partially financed by the bank)  be reported or the emissions of the car? So forth, should the attribution factor for the company or the attribution factor for the car (loan) be used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6676
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 5 - NUTS codes for geographical areas outside EU

Does the regulation authorize to disclose any geographical area located outside European Union (EU) and UK?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6679
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 7 Decision tree KPI GAR for Financial Corporation

In which row/group of rows from template 7 should be disclosed Financial Corporation located outside European Union (EU) and Financial Corporation located in EU but not subject to NFRD disclosures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6681
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023