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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

Consistency in the treatment of multiple defaults

On 18/3/2022 the Final Draft Regulatory Technical Standards EBA/RTS/2016/03 were published in the Official Journal of the European Union and became legal regulations that take precedence over technical documents (Delegated Regulation (UE) 2022/439). In the light of that, should Banks adopt the same approach for treatment of multiple defaults (so-called symmetrical approach) consistently for all parameters (PD, CCF, LGD) in line with Art. 49 of the aforementioned Commission Delegated Regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2022_6584
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 17/03/2023

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

C 14.00, columns 0302 and 0303

C 14.00: When is a tranche considered to be sold and must be reported in columns 0302 and 0303?

  • 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_6582
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

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

Prudential filters to the fair value reserves associated to Cash Flow Hedge

Does the prudential filter established in CRR Article 33(1) apply only to unrealised capital gains and losses?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6580
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

Pillar 3 disclosures prepared from FINREP reporting

In which column in the table EU CR1 should be included purchased or originated credit-impaired financial assets?      

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR
  • ID: 2022_6579
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 30/06/2023

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

Determination of own funds requirements for convexity risk ('gamma risk'), according to the Delta plus approach, for options positions in Exchange traded funds with multiple sector components

How should the own funds requirement for convexity risk ('gamma risk') be calculated, for options positions on Exchange traded funds, when the component of the fund are from across several sectors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6577
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

MREL – reporting of the impact of general prior permissions

Reporting entities should deduct the pre-determined amount of a general prior permission for eligible liabilities instruments from the amount of their eligible liabilities from the moment the authorisation is granted. Against this background, how should this deduction obligation be reflected by the reporting entities in the reporting templates to be submitted in accordance with Regulation (EU) 2021/763?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2022_6576
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Reporting of Negative Fair Value Hedge Adjustments as exposures

How should the fair value hedge adjustment amounts be reported in template C 08.01 in Annex I of Regulation (EU) 2021/451? Is it acceptable to report the exposures on row 0170 ‘Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights’? Consistently, should EBA validation rules v0330_m, v0333_m, v0334_m, v10312_s and v10485_s be amended in a way not to trigger validation errors in cases where the fair value hedge adjustment amounts get negative values?

  • 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_6575
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Encumbrance of assets

If the reporting institution has a HQLA pledged as collateral for a punctual transaction without any additional liquidity movement (no cash leg) for two days on the reporting date, should this asset be considered buffer as it will be unencumbered within the following 30 calendar days even if in the reporting date it is encumbered? should it be reported as inflow for two days and then as buffer? 

  • 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: 2022_6574
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Confirmation of compliance with Article 429b(3c) concerning the interest calculation in Notional Cash Pooling

Can a Notional Cash Pooling which charges or pays interest by using an algorithm which takes into consideration each single current account belonging to the Notional Cash Pooling structure, be considered compliant with art.429b. paragraph 3c of CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6573
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

SA-CCR cap margin agreement

How do you calculate the cap for netting sets subject to a contractual margin agreement mentioned in Article 274(3) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6571
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

Initial Capital

What is the initial capital requirement if a payment institution is providing: (a) any of the payment services as referred to in points (1) to (5) of Annex I and service (6) and (7). (b) any of the payment services as referred to in points (1) to (5) of Annex I and service (6) . (c) any of the payment services as referred to in points (1) to (5) of Annex I and service (7).

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6570
  • Topic: Authorisation and registration
  • Date of submission:
  • Published as Rejected Q&A: 10/07/2023

Validation rule v7371_m

The formula of EBA validation rule v7371 _m is the following: [C 14.01 (All rows)] xsum({C 14.01, (c0310, c0320, c0330, sNNN)}) <= {C 14.00, c0140}. This rule is activated in DPM 3.0 for templates C 14.00 and C 14.01, and states that the total amount of securitized exposures should be equal to or lower than the amount of notes issued in the senior/mezzanine/first loss tranches. However, depending on the characteristics of the securitization structure and the timing of the notes payments date, the amount of securitized exposures can be either higher or lower than the amount of notes issued.

  • 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_6569
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

FINREP - v10612_m in F 18.00

Vorremmo sottoporvi un dubbio in merito alla validation rule v10612_m: La regola verifica che i “di cui” per Stage (per i bonis esposti nel F 18.00 alle colonne c0141, c0142 e c0143) corrispondano alla colonna di totale c0140. Il controllo viene effettuato anche sulla riga 0480 che, al suo interno, contiene gli accantonamenti per “Altri impegni dati“ valutati ai sensi dello IAS37 IFRS4 (referenziati nel template F 09.1.1 in colonna 0110) non ripartibili per stage. Il totale bonis e non performing presente in colonna 0130 dell’F 18.00 è invece confrontabile con il totale presente nella Riga 0170 dell’F 09.1.1). Translation We would like to ask a question about the validation rule v10612_m. The rule checks that the ‘Of which’ per stage (for performing exposures shown in F 18.00 in columns c0141, c0142 and c0143) correspond to the total column c0140. The check is also carried out on row 0480, which contains the provisions for ‘Other Commitments given’ assessed under IAS 37 IFRS 4 (referenced in template F 09.1.1 in column 0110) which cannot be broken down by stage. On the other hand, the total performing and non-performing exposures in column 0130 of F 18.00 can be compared with the total in row 0170 of F 09.1.1).  

  • 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_6568
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2023

Own-conversion factor estimation for fully-drawn facilities

Are observed defaults of credit facilities that are fully-drawn at reference date in scope for estimation of own-conversion factors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6567
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Recognition of plots of land as real estate collateral

There are plots of land that are owned by individuals or businesses that have been purchased for future use without (e.g. dowry, future residential building for own use, commercial exploitation, etc) but without any current indication of what its use will be. It is a form of investment without any current indication of its exploitation. These plots of land are usually in the form of additional collateral for personal loans or business loans. Can these be recognised as commercial real estate collateral under article 126 if all minimum requirements are satisfied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6566
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Inclusion of repurchase transactions in financial assets and exposure value/risk-weighted assets (COREP C33).

What is the method to be followed concerning the inclusion of repurchase transactions in financial assets and exposure value/risk-weighted assets in COREP template C 33.00?

  • 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: 2022_6565
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 15/12/2023