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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

Market risk capital requirement for CIUs where a look-through approach is applied

Can the market risk capital requirement for CIUs where a look-through approach based on the underlying investments is applied be capped at the amount applicable if no look-through approach would be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3099
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Own estimates of CCF in the retail exposure class

For which product types has a credit conversion factor (CCF) to be used in the retail exposure class, which is based on own estimates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2397
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 05/05/2017

Deduction from CET1 of significant holdings in financial sector entities (FSE) and protection acquired to limit downside investment exposure

Will the hedge with the 3rd party as described in the example in the background result in the deduction from CET1 (as per Article 36 CRR) being reduced from €750m to €250m?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3132
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Cross-Product Netting

Can a Bank with a netting set to a QCCP counterparty combining cash instruments (already settled) with derivatives apply the cross-product netting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2016_3028
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Basis of risk exposures to take in consderation for calculation of the countercyclical buffer (CcyB)

Should the risk exposure basis to take in consideration for calculation of CCyB be limited to the "relevant exposures" (as defined in Article 140(4) of Directive 2013/36/EU (CRD)) which are considered for assessment of the institution-specific CCyB rate?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3055
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Other items

Does the approach specified in Article 134(5) CRR regarding the risk weight to be applied to assets purchased on a forward basis also apply to assets sold on a forward basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2935
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Risk weighting attributed to gold bullion coins

Are gold bullion coins included in the term ‘gold bullion’ as used in Article 134(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3011
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Thresholds for Common Equity Tier 1

CET1 threshold amounts are requested to report in the CA4 template (C 04.00) in the ID items 8 and 9. On which calculation basis shall the threshold amounts be reported in these items, based on the fully phased-in definition or the transitional definition?

  • 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: 2016_3035
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

v2819_m - Cross-check between FINREP and Asset Encumbrance

Should 'bank covered bonds' be reported in F 04.03, column 030, rows 090-100?

  • 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: 2016_3013
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

C 12.00 - v0519_m

According to the validation rule v0519_m, the following assertion should be evaluated for row r070 and all columns between c010 and c370. For each column, r070 = r080 + r090. We think this equality's rule cannot be applied to c0300 and c0320 columns which are used to report Average Risk weight in %. In fact, that calculating the weighted average of a whole is not equal to summing the weighted average of all its subpart.

  • 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: 2017_3165
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Treatment of CCP Default fund contributions in Leverage Ratio reports

Has the ‘Risk exposure amount for contributions to the default fund of a CCP’ from CA2 (C 02.00) row 460 been taken into account in the Leverage Ratio? If so, in which template (LR1, LR2, LR4, LR Calc) and which row and column shall it be reported?

  • 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: 2016_3014
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Template C 47.00, rows 270 and 280 (Validation rule v4452_s) – treatment of Cash Flow Hedge reserves

The validation rule v4452_s requires that the rows 270 and 280 of the template C 47.00 are always non-positive. This appears to be incorrect. In case of prudential filters increasing the Tier 1 capital, the amounts reported on these rows can be positive as well. Can you please confirm and amend the rule?Should the leverage exposure be adjusted for the complete cash flow hedging reserve or should the reserve be split to parts relating to assets/liabilities and only the part relating to assets be adjusted for (even though the full reserve is filtered from capital)?

  • 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: 2016_3043
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Exposures towards QCCPs under CRR Art. 306(c) under standardised method

Under Article 306(c) CRR, client transactions facing QCCPs where the institution is not liable to the client if said QCCP defaults, should have Exposure Value (C 07.00, column {200}, rows {100}, {120})of zero. Our understanding of the ITS on Supervisory Reporting is that the Original exposure pre conversion factors (C 07.00, column {010}, rows {100}, {120}) of the transactions in question should hence also be zeroed out. The institution is currently reporting the Original exposure pre conversion factors as non-zero. To avoid the blocking errors mentioned below, the institution reports the Exposure Value also as non-zero, which is contrary to Article 306(c) CRR. Could you please confirm if our understanding of the ITS is correct?

  • 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: 2016_3064
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Hedging derivatives

Should reporting of derivatives on the asset side (F 20.04) be in line with the instructions of EBA on the liabilities side (F 20.06) and include both trading and hedging derivatives?

  • 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: 2017_3144
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Repurchase Agreements in template F 08.01 versus assets encumbered in template F 15.00 – EBA validation v0912_m

Should we align the template F 08.01 and F 15.00 on repurchase agreement reporting?

  • 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: 2017_3101
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

FinRep validation rules v3079_m and v3080_m

According to the validation rules v3079_m and v3080_m, the loans and receivables for Non-financial corporations of template F 06.00 have to be equal with the loans and receivables for Non-financial corporations of template F 18.00. It is explicitly stated that only DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT have to be reported in table F 18.00. However table F 06.00 includes all debt instruments including HFT. Therefore the validation rule cannot be run with the defined operator "=".

  • 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: 2017_3098
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rule v1384_m

With respect to remeasurement gains (losses) on defined benefit plans, IAS 19, par 120 (c) together with par 122 stipulate that these are to be reported as part of Other comprehensive income and shall not be reclassified to profit or loss. Par. 122 further allows that these remeasurement gains (losses) can be transferred within equity. Based on these rules, remeasurement gains (losses) on defined benefit plans are recorded as part of Other comprehensive income and as part of Retained earnings in our financial statements under IFRS. Hence these effects are reported in table 46.00 in row 200, column 060 as well as in table 03.00 in row 060 (pre-tax) and 090 (related taxes), column 010 in our Finrep submission.Validation rule v1384_m (F 46.00, r200, c050 + c100 = F 03.00 r360,c010) however doesn’t take up this entry made in table 46.00 for remeasurement gains (losses), which are recorded as part of Retained earnings, leading to a validation error.In our view, the validation rule should be amended to also consider template F 46.00, row 200, column 060, so that remeasurement gains (losses on defined benefit plans could be reported in the Finrep submission accordingly as allowed by IAS 19.

  • 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: 2017_3158
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Validation rule on Leverage ratio templates - v4462_m

Should v4462_m validation rule be deactivated or changed?

  • 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: 2017_3159
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Own Credit Spread

Due to the endorsement of IFRS 9 for annual periods beginning before 1 January 2018, an entity may elect to early apply only the requirements for the presentation of gains and losses on financial liabilities designated as at fair value through profit or loss in paragraphs 5.7.1(c), 5.7.7–5.7.9, 7.2.14 and B5.7.5–B5.7.20 without applying the other requirements of IFRS 9. If an entity chooses to early apply those requirements it recognizes gains and losses on financial liabilities designated as at fair value through profit or loss in other comprehensive income instead of in P&L. Therefore, those gains and losses have to be reported in Template F 01.03. However, the taxonomy 2.5.01 for FinRep as at December 31st, 2016 does not yet include a separate row for this item. Where should gains and losses on financial liabilities designated as at fair value through profit or loss recognized in other comprehensive income be reported in template F 01.03 as at December 31st, 2016?

  • 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: 2017_3092
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Seeking clarifications/ remediation on EBA LCR specified taxonomy mapping for Annex XXIV and Annex XXV templates

We have identified a taxonomy anomaly in the EBA LCR 70s Series taxonomy that does not allow for this guidance to be implemented for collateral swaps. Unlike template C 73.00 where ‘counterparty is central bank’ shows a 0% standard weight resulting in a 0 outflow (C 73.00, r930 c040 – c060), template C 75.00 does not provide a specific row to delineate exposure to central banks. Therefore it is not possible to isolate collateral swaps with a central bank to apply 0% outflows in the current template and taxonomy construct as per guidance - Article 28.4 of Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement: ‘Collateral swaps that mature within the next 30 days shall lead to an outflow for the excess liquidity value of the asset borrowed compared to the liquidity value of the asset lent unless the counterparty is a central bank in which case a 0% outflow shall apply’.

  • 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: 2016_2890
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 07/04/2017