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List of Q&A's

EBA validation rules v3900_s and v5693_s

Should the severity of EBA validation rules v3900_s  and v5693_s be changed from ‘non-blocking’ to ‘warning’ to allow for the possibility of negative interest income 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: 2023_6724
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Extent of real time transaction monitoring expected when executing and processing payments.

Article 13(1)(d) of Directive (EU) 2015/849 sets out the on-going monitoring obligation of obliged entities.  This includes the 'scrutiny of transactions undertaken throughout the course of that relationship to ensure that the transactions being conducted are consistent with the obliged entity's knowledge of the customer, the business and risk profile, including where necessary the source of funds'.  However, the said Directive does not set out whether or the extent to which the scrutiny of transactions is to take place in real time or post the execution of transactions.  This is of particular relevance within the ambit of payment service providers given that these same service providers are also subject to timelines for the execution and processing of payment transactions.  To what extent, if at all, do Competent Authorities require payment service providers, including credit institutions that are providing payment services, to carry out real time transaction monitoring? If this is a requirement, do Competent Authorities also require real time transaction monitoring in case of transactions involving high amounts? If Competent Authorities do not require real time transaction monitoring, what is the justification for this position?

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6723
  • Topic: Customer Due Diligence
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Reserves held by the credit institution in a central bank

How to report a negative eligible withdrawable amount in LCR template 72 row 050 ID 1.1.1.2. Item Withdrawable central bank reserves Amount/Market value column 010. For example Central bank balance:                                1,659,504 Minimum reserve:                                      2,323,727 Total withdrawable central bank reserve:     - 664,224   There are two EBA validition rule which indicates that withdrawable central bank reserves Amount/Market value should be >= 0. EBA v7683_s. : [C 72.00.a (All rows, c0010)] {C 72.00.a} >= 0. EBA v7681_s: : [C 72.00. r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470, c0040)] {C 72.00.a} >= 0

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6722
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

COREP Large exposure, validation rule v_1678 related to POCI assets

In case of purchased or originated credit-impaired financial assets (POCI), it is possible that the value for positive 'value adjustments and provisions' exceeds the 'value of total original exposure' can be reported in COREP Large reports. However, DPM validation rule v_1678_m does not allow reporting of such cases.  Since it is possible to have positive impairments that exceed the total original exposure for the POCI assets, could the validation rule or its severity be modified in this respect?

  • 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_6721
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 06/10/2023

FINREP template F44.03, F44.04

In template  44.3  Staff expenses by type of benefits  in row 0010 “Pension and similar expenses” are requested. In template 44.4 Staff expenses by category of remuneration and category of staff in row 0030 “Staff expenses other than remuneration” are requested.  For the whole template the following validation rules applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error); v8364_s ({F 44.04} >= 0). This is suggesting Pension and similar expenses  and Staff expenses other than remuneration  can never be a negative amount, which we believe is not always the case (as a result of changes in the fair value of the liability recognised). Can you please amend the Validation rules by excluding row 0010 (44.3 Template), row 0020 ((44.4 Template) from those rules?

  • 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_6720
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Reporting of Counterbalancing capacity (C66.01 of ALMM reporting)

After reporting template C66.01 we received an error related to validation rule: eba_v10660_m. We asume that the validation rule is inconsistent and want to explain. As a result of reporting C66.01b “Withdrawable central bank reserves” (r0740, c0010) you have to report this as a part of “Cummulated Counterbalancing Capacity”(r1080, c0010). You also have to fill C66.01a “Withdrawable central bank reserves” (r0740, c0020) with a negative indicator, but also at “Net change of Counterbalancing Capacity”(r1070, c0020) and  “Cumulated Counterbalancing Capacity” (r1080, c0020). When you report this as mentioned {C 66.01.a, r1080, c0020} is not equal to {C 66.01.b, r1080, c0010} + {C 66.01.a, r1070, c0020} as expected by validation rule v10660. Please can you explain how we have to solve this issue?

  • 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_6719
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 06/03/2023

Whether values to be reported in template C 08.03 and C 34.07 should be based on original obligor or resultant obligor

Should the values reported in template C 08.03 be based on original obligor (immediate counterparty to whom the original exposure amount is assigned) or resultant obligor (counterparty guaranteeing the original exposure and whose PD or LGD is used for RWA calculation as result of PD/LGD substitution approach)? Consistently, as template C 34.07 has a similar structure as template C 08.03, can the logic applied for reporting values on original/resultant obligor basis in template C 08.03 also be applied to template C 34.07?

  • 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_6718
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Finrep Templates 44.03 and 44.04

In template 44.3 Staff expenses by type of benefits , in row 0050 Severance payments are requested. For the whole template the following validation rule applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error). This is suggesting severance payments can never be a negative amount, which we believe is not always the case (as a result of reviewing HR restructuring provisions as well as discounting effects of long term employee benefits. The same applies for template 44.04 other staff expense except remuneration (r0030 / c0010), where the amounts reported in 44.3 r0050/c0010 are reported, too. A positive amount reported in this item leads to the violation of the rules v8106_m and  v8364_s. Can you please amend the Validation rule by excluding the items 44.3 r0050/c0010 and 44.4 r0030/c0010 from these rules?

  • 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_6717
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6716
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Validation rule eba_v0315_m working incorrectly in C07 templates in a column 0216 for derivatives

Could validation rule eba_v0315_m be modified for a column 0216? At the moment it does not work in situations when there are derivative exposures with SME supporting factor in a row 0110 but not in an of which row 0120.

  • 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_6715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

ESG P3 - Template 2 and 5 - Gross carrying amount for loans collateralized by RRE/CRE and multiple collaterals

Question 1: For loans collateralised by CRE and/or RRE, to be reported in template 2 & 5, does the regulation allow to have their gross carrying amount not matching the gross carrying amount of the same loans reported in FINREP? Question 2: Does Q&A 6517 apply for both template 2 and 5 or only for template 5?

  • 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_6714
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 13/10/2023

European Union Allowances (EUA) as credit risk mitigant

Could European Union Allowances (EUA) received by a credit institution as collateral be considered as eligible one from prudential point of view ? If yes, how EUA should be considered ? As financial collateral or as other physical collateral ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6712
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Finrep validation v11942_m - Collaterals received on NPL

According to the validation rule v11942_m it has been stated that {F 18.00.d, r0070, c0200} + {F 18.00.c, r0070, c0210} <= {F 18.00.a, r0070, c0060} + {F 18.00.b, r0070, c0150}. However, in our case net amount of total gross carrying amount of non-performing loans (NPL) + Accumulated Impairment is not higher than the amount of total collaterals and financial guarantees received for these loans. Since this validation ID’s severity is being stated as ‘warning’ can we proceed with the actual amounts and report with this situation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6711
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Validation rules: v7374_m, v7375_m and v7377_m

Can EBA confirm that the validation rules v7374, v7375 and v7377 satisfy with paragraph 114 of Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 for investor positions?

  • 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_6710
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

ESG P3 - Reg 2453/22 - Scope of application

What is the scope of application of Regulation (EU) 2022/2453? 

  • 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_6708
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/08/2023

COREP v.3.2, C 08.01

Columns 150- 210 :CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT The addition of the following additional instructions “The reported collateral values shall be capped at the exposures value.”is not consistent with answer of FAQ 2017_3349 which specifies “The amount of collateral taken into account for a specific exposure does not have to be capped at the exposure value of the exposure in question.” Should the amounts of collateral declared be capped at the value of the exposure?

  • 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_6707
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Deletion of several columns of COREP reports in Annex I

We have noted the deletion of several columns in several templates of Annex 1 of the COREP, detail below:    C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) Delete column 0210 RECEIVABLES C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) NO 575/2013 (CR IRB 5B) Delete column 0040 OBSERVED AVERAGE DEFAULT RATE (%) C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Delete column 0090 EXPECTED LOSS AMOUNT Instructions for this column are maintained in Annex 2 C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) Delete column 0300 LEGAL FINAL MATURITY DATE These deletions of columns do not seem justified to us, can you confirm that these columns are to be maintained in the different templates ?

  • 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_6706
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP V3.2 – C13.01 – CREDIT RISK: SECURISATION (CR SEC)

The crossing of line 0430 RE-SECURITISATIONS with column 0160 (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data. The crossing of line 0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS with column 0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data.

  • 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_6705
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP v3.2 – C 33.00

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the direction of the 2nd parenthesis for the period intervals of rows 0170 to 0230, which generates a 'double counting', example below: r0170 [0 – 3M] r0180 [3M – 1Y] r0190 [1Y – 2Y] r0200 [2Y – 3Y] r0210 [3Y – 5Y] r0220 [5Y – 10Y] r0230 [10Y – more] The periods 3M, 1Y, 2Y, 3Y, 5Y and 10Y would be declared on 2 rows each time.

  • 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_6704
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 13/10/2023