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List of Q&A's

Reference of the cells and reports layouts to use for the public disclosures (NOT the XBRL reporting)

Question 1: What are the cells references that must be publicly disclosed into annual and semiannual public disclosures: the reference of the cells from the ITS or the references of the cells from the XBRL? Question 2: What are the reports layouts that must be publicly disclosed into annual and semiannual public disclosures: the layout from the ITS or the layout from the XBRL?

  • 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_6915
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 26/04/2024

Derivates splitting

In Part 5, No. 24 of the Annex 29 (REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATING RISK IN THE BANKING BOOK) is mentioned 'In the case of derivatives, institutions shall report the net amounts of repricing cashflows (i.e., not broken down by receiver/payer legs).' At the same time regarding the repricing cashflows, there is a link to the RTS SA which says in Article 10  'Derivative instruments not subject to optionality shall be separated into a paying and a receiving leg.' Can you please clarify if the Derivates should be shown as net position in J 05.00 or should they be split into their legs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6916
  • Topic: Supervisory reporting - IRRBB
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Weighted average repricing date

In the "ITS ON SUPERVISORY REPORTING FOR IRRBB" is mentioned that the institution has to report the "weighted average repricing date" in J 08.00 and J 09.00: Relevant parameters. Can you please clarify what kind of figure is expected? Does the institutuions has to fill in a date e.g. '30.09.2029' or a number e.g. '5' for five years?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6914
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 22/12/2023

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

Risk retention

In a situation where an entity: is not considering being itself at any time the legal owner of the securitised receivables, but has made its own decision to invest in the receivables by procuring the purchase thereof by an SSPE directly from the seller, based on its own audit of the portfolio, and has negotiated the terms and conditions of the sale and purchase independently and directly with the seller, is contractually and economically irrevocably committed to: procure the purchase of these receivables by an SSPE directly from the seller, not later than an agreed closing date, under a sale and purchase agreement entered into between such entity and the seller, failing which it would be liable for contractual damages to the seller, in an amount significant enough to evidence that it is in its economic interest to avoid such liability by performing its obligation, arrange and appoint any service providers, for the purposes of the structuring and syndication of a financing of the purchase price in the form of a securitisation of these receivables not later than the closing date, where: it would have a right of active control over the servicing, either by itself or by an appointed third-party servicer, of the securitised assets, that would be determinant for the performance of the portfolio, it would bear at least the first loss risk of the securitised portfolio, in an amount that exceeds the expected loss of the portfolio, by subscribing the first losses tranche, it would expect to receive a remuneration that would be directly dependent on the performance of the portfolio, it would be committed to fund 100% of defaulting or ineligible receivables, can this entity be considered as limb(b) originator under Regulation (EU) No 2017/2402 and as such, act as risk retention holder under Article 6(3)(d)? Would the same analysis apply with respect to future receivables that the same entity would contractually irrevocably commit, pursuant to the same sale and purchase agreement, to purchase after the closing date under the same terms and conditions, during a certain period of time, provided that they comply with the same eligibility criteria (both individually and on an aggregate basis) and up to an agreed aggregate amount, by having them assigned by the seller to the same SSPE?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6911
  • Topic: Provisions applicable to all securitisations
  • Date of submission:

Interpretation of payment instrument

What devices or procedures can be considered as payment instrument as per Art. 4(14) of PSD2?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6910
  • Topic: Other topics
  • Date of submission:

Adjustment of risk-weighted non-defaulted SME exposures

Should the RWEA to which the adjustment shall be made under CRR Article 501 constitute the total RWEA for credit risk determined in accordance with Part Three, Title II, Chapter 2 or 3 that relates to non-defaulted credit exposures defined in 501 p 2 - regardless if the RWEA stems from the standardized approach, the IRB approach or any national measures impacting the credit risk RWEA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6909
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 15/12/2023

Prodicts in a Template F05.01 and in a Template F08.01

1) How should be presented "Loans and receivables" or "Deposits" which are granted earlier than Reporting date, but which will be matured/repaid on the day following Reporting date? 2) Should “calendar" or “business" day be used  for Overnight deposits?

  • 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_6908
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 23/02/2024

Regular Way Purchase or Sales Awaiting settlement: distinction between trading date and settlement date according to whether the institution has an agent activity or for its own account

How  Regular Way Purchases or Sales Awaiting should be properly allocated in Pillar III  EU-LR2 template?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6907
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 01/05/2024

reporting a negative value in C32.01, row 0120, column 0010

In Annex II to Regulation (EU) 2021/451, chapter 6.1.2 referring to template C 32.01, about the row 0120, it ‘s clearly stated that the “this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.”. In the FINREP template, the fair-value can be fed with a negative value. It is also stated for row 0010-0210 : "The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2" Conversely, in the definition of the column 0010, "Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101."  In the case we have a negative fair-value in the row 0250 of template F01.01, is that negative value may be report in the C32.01, row 0120, column 0010 ? If not, what value should be reported ?

  • 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_6906
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 01/11/2023

Unregistered Partnerships and Sole Traders classification in accordance with the Counterparty Breakdown outlined in FINREP Reporting

Against the indicated background we would like to request feedback on whether all counterparty breakdowns in FINREP may refer to the BSI Regulation, or whether such reference is only for non-financial corporations. Moreover, we would like to query whether ‘Unregistered Partnerships’ and ‘Sole-Traders’  whether in this case the purpose of loan has any impact on the selected FINREP counterparty classification?

  • 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_6905
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/12/2023

Determination of own funds requirements for gamma risk according to the ‘Delta plus approach’, for option positions in Exchange-traded funds (ETFs), when the reporting institutions apply the look-through method for the funds

How should the gamma impact be calculated for options positions on Exchange-traded funds (ETFs), when the look-through approach is applied to those funds and the components 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: 2023_6904
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 19/01/2024

Transaction with underlying assets: “distinct client” vs. “unknown client”

In the case of a transaction with underlying assets where an institution cannot identify the obligors and cannot ensure, by means of the transaction’s mandate, that the underlying exposures of the transaction are not connected with any other exposures in its portfolio, which is the correct procedure for the assignment of the exposures taking into account that a subset of underlying asset exceeds individually 0,25% of the institution’s eligible capital and the remaining underlying assets individually do not exceed that materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2023_6903
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 15/03/2024

FINREP - Validation rules EBA_v12089 on F18.0

When we sent our Finrep 2022-12, the warning EBA_v12089 was triggered on the ITS F18.00, line 0335

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6902
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/12/2023

Validations rules for the GAR - row 290 Housing financing in template 7

Validation rules v12728_m and v12727_m are not taking into account the row 290 Housing financing. Ultimately it means this row 290 is excluded from the Total GAR assets in row 320.

  • 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_6901
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2024

Validation rule eba_v09286_m

Relating the data entered in the upper part of template R04, the purpose of the v09286_m control is to verify that the total variable remuneration of all high earners is less than or equal to twice the total fixed remuneration by country and by pay bracket. The equation of the control is {r0100} <= 2 * {r0060}. However, the control does not take into account some points, including the following: -    The variable remuneration of {r0100} may include amounts awarded to high earners that are not identified staff; -    The severance payments included in the total variable remuneration of {r0100} amount may not be subject to the bonus cap mentioned above. Indeed, it is specified in the R04 template that the amounts relating additional information requested in the lower part of the report ({r0181} to {r0270}) should also be included in the total variable remuneration or in the total fixed remuneration of the upper part of the same template ({r0100} and {r0060} respectively). In that respect, variable and fixed remuneration of high earners that are not identified staff from {r0260} and {r0270} are included in {r0100} and {r0060} respectively, and severance payments from {r0200} awarded to high earners who are identified or not identified staff are included in {r0100}. As a consequence the equation {r0100} <= 2 * {r0060} may not be respected. Should the v09286_m control be disabled ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6900
  • Topic: Remuneration
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

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

ITS ESG P3 - Template 2 - Should loan/collateral ratio (loan-to-value) be taken into account?

We have interpreted column a in Template 2 to be filled in with the gross carrying amount of the loan collateralized with commercial and residential immovable property and of repossessed real estate collaterals. What if the collateral value is less than the gross carrying amount of the loan? Should we in this case fill in the gross carrying amount of the loan or use the amount of the loan that is actually collateralized with commercial/residential immovable property in Template 2? 

  • 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_6897
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 22/03/2024

Scope of Template 2 restricted to NFCs?

According to the Annex II (Instructions for disclosure of ESG risks) with the regard to Template 2: Banking book – Indicators of potential climate change transition risk: Loans collateralised by immovable property – Energy efficiency of the collateral: The Template should show the gross carrying amount, as referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of loans collateralised with commercial and residential immovable property and of repossessed real estate collaterals. We do not see an explicit restriction to non-financial corporates as in Template 5, for example (Definition in Template 5: … Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451 of those exposures towards non-financial corporates (including loans and advances, debt securities and equity instruments), classified under the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading and held for sale assets.…) The “Annotated Table Layout 330-P1-ESG 3.3.xlsx” of EBA Reporting framework 3.3 in templates D 02.00.a and D 02.00.b restricts the scope of Template 2 to non-financial corporations with the Counterparty sector field. In our opinion, the restriction is not clearly given by Regulation (EU) 2022/2453 so we ask for clarification of the fact. Is the assumption correct that in case the restriction to non-financial corporations is given in Template 2, the gross carrying amount of Template 2 column a row 0010 Total EU area and Total non-EU area 0060 is corresponding to Template 5 column b row 0100 Loans collateralised by residential immovable property, 0110 Loans collateralised by commercial immovable property and 0120 Repossessed collaterals?

  • 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_6896
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2024