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List of Q&A's

In template C 34.02, the column Exposure Pre-CRM (column 150) aims to report EAD of all CCR exposures following articles 274 or 281 or 282 (according respective CCR method) and sub-sequent articles defining the effects of margin agreements or aims to report a new EAD value gross of all forms of collaterals and margins included in the margin agreement

​To comply with the requirement of columns 150, 160 of C 34.02 of Annex 1 of Regulation (EU) 2021/451 (ITS on Supervisory Reporting) we seek clarification regarding what is expected to be delivered in these 2 columns. Does any of the below 3 scenarios describe correctly the interpretation of the ITS guidance? If none of below scenarios reflect the correct interpretation, what is the calculation expected to be performed to derive the EAD Pre-CRM and EAD Post-CRM? Scenario 1: for EAD Pre-CRM value apply all SACCR formulas as if the netting set is unmargined and no form of collateral is accepted For banks under SACCR, for margined and un-margined netting sets the EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V)/(2*(1-Floor)*AddOnaggregate)] Exclude from all steps of the EAD calculation: Initial margin given or received Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given Scenario 2: For EAD Pre-CRM value, apply all SACCR formulas as if the netting set is unmargined For banks under SACCR, margined netting sets will be treated as unmargined netting sets. The EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V-C; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V-C)/(2*(1-Floor)*AddOnaggregate)] Where V includes: initial margin given Collaterals or guarantees given identified as NICA Where C includes: Collaterals or guarantees received identified as NICA Initial margin received According to scenario 2, exclude from all steps of the EAD calculation (RC or PFE multiplier) the following items: Variation margin given Variation margin received Scenario 3: For EAD Pre-CRM (col150), apply all SACCR formulas as prescribed in Chapters 4 and 6 of Title II of Part Three CRR, and for EAD Post-CRM (col160) show the effects of a third-party collateral/guarantee received pledging the netting set(s), mitigants of which, are out of the netting or margin agreement with the counterparty EAD Pre-CRM (col 150 of c34.02) calculation follows the respective formulas for SACCR (simplified SACCR or OEM according to Chapters 6 of Title II of Part Three CRR articles 274 or 281 or 282 accordingly) depending if margined or unmargined netting sets. Therefore, EAD Pre-CRM includes all the below items which are contractually part of the margining agreement with the counterparty, and which intrinsically are part of the EAD calculation and do not constitute an actual transfer of risk as per credit risk mitigation: Initial margin given or received to/from Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given EAD Post-CRM (C34.02 col160) reflects the effects of any mitigants given by a third-party (different entity from margin agreement counterparty). These mitigants may pledge one or more, derivative or SFT’s netting sets. As these mitigants are given by a different counterparty from the counterparty with who the reporting entity has a margin agreement, and consequently the covered portions by these mitigants are subject to different risk weight and there is an actual transfer of risk, it is relevant to trace what is the EAD Post-CRM value net of the effects of these mitigants.

  • 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_6300
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Equity exposures and other non-credit obligation assets in C 08.07

Should the values in column 0010 of COREP template C 08.07 for rows 0150 (Equity) and 0160 (Other non-credit obligation assets) be reported, which are not in scope of Article 166 CRR?

  • 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_6442
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Scope of the C 08.07 template

Where a group as defined in Article 4 of CRR has both SA and IRB exposures, what should be the scope of the total exposure value subject to SA and IRB as defined on column 0020 of template C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches)? Should the scope only include entities consolidated within the group with permission to use the IRB approach, or should it include all entities consolidated within the Group, even those with no permission to use IRB approach and no IRB exposures?

  • 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_6512
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

C 34.08 – Reporting of received collateral

Regarding the columns pertaining to the ‘Fair value of collateral received’ of template C 34.08 of Annex 1 of Regulation (EU) 2021/451 (i.e. columns 0010 – 0040 and 0090 – 0130), both the general guidance for the template (paragraph 131) along with the specific guidance for these columns provided in Annex II state that the institution shall report the fair values of received collateral that is used in CCR exposures. Is the correct interpretation of the term ‘used in CCR exposures’, that only the portion of received collateral that is actually used to offset CCR exposures should be reported in C 34.08, and not the full original fair value of collateral received relating to CCR exposures?

  • 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_6530
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

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

Reporting of securitisation positions when Article 244(1), point (b), CRR is applied

It is not clear how to report in C 13.01, C 14.00 and C 14.01 the securitisation positions held when Article 244(1)(b) CRR is 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: 2023_6693
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Overcollateralisation and funded reserved accounts in C 14.01

Under framework v3.2, which column of template C 14.01 should contain the retained position of the overcollateralisation and funded reserve accounts shown in column 0254 of the COREP C 14.00?

  • 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: 2023_6694
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Deduction of eligible liabilities instrument pursuant to Article 32b of RTS on Own Funds and Eligible Liabilities

How should an institution deduct the amount for which the resolution authority has given its prior permission under Article 78a of Regulation No 575/2013 (CRR) to reduce eligible liabilities instruments and where the permission granted only specifies a total amount of eligible liabilities instruments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2022_6651
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Return to non default status

Can any delay in payments be allowed in the context of the minimum conditions for reclassification to a non-defaulted status as stated in Section 7 of the EBA Guidelines on the new Definition of Default (DoD)? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2022_6527
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Operational Risk - Refund of interest and fees

Do we have to report refunds to customers in combination with incorrectly overchared interest/fee in COREP 17.01? And if so, in which of the following situations:  1. refund by the bank within less than 5 days  2. refund by the bank within a quarter (before the quarterly financial statement is prepared)  3. refund by the bank within one year (before the annual balance sheet and income statement are prepared)  4. refund by the bank after several years  The timing of the outflow of the refund to the customer depends in each case on the time at which the error is identified.

  • 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_6426
  • Topic: Operational risk
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Classification of loans collateralized by residential and commercial immovable property

According to Annex V (FINREP), ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral. In the case of an exposure collateralized by both a residential and a commercial immovable property, where just one of the two collaterals (e.g. Residential) is capable of securing all of the exposure and is the only collateral allocated so that the commercial immovable property is formally and contractually associated to the exposure but it is not allocated, how shall such loans be represented? • Loan collateralized by residential and commercial immovable property, being the existing formal/contractual relationship; • Loan collateralized by residential immovable property, assessing the real allocation of the collateral in consideration of collateral capacity and ability to back the loan.

  • 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_6267
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Deduction of indirect holdings of own funds instruments in insurance and reinsurance undertakings which are subsidiaries of insurance holding company from own funds

Should indirect holdings of own funds instruments in insurance and reinsurance undertakings which are subsidiaries of insurance holding company be subject to the exemption provided for in Article 15a(2)(a) of Commission delegated regulation No 241/2014?   

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2022_6398
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Goodwill included in the valuation of significant investments

1. For the purposes of Article 37(b) CRR, are the significant investments of the institution limited to the significant investments in financial sector entities (FSE) or should they include all significant investments (i.e. also significant investments in entities that are not financial sector entities)? 2. Should Article 37(b) CRR be applied only when the significant investments outside the prudential perimeter are valued for prudential purposes using the equity method or should it be applied also when the significant investments are valued for prudential purposes at historical cost?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6374
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Regular-way purchases awaiting settlement (EBA Validation rule in C 43.00 LR4 v4448_m)

According to the formula v4448_m: {C 43.00.a, r0010, c0010} <= sum({C 47.00, c0010, (r0150-0180)}) This control checks the off-balance exposure declared in the C 43.00 that is equal to the off-balance declared in the rows 0150 to 0180 in the C 47.00. With CRR2, the off-balance exposures related to regular-way purchases awaiting settlement and declared on row 0188 and 0189 of the C 47.00 are not included in the formula of v4448_m. Should these new lines not be included in the formula?

  • 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_6180
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 31/03/2023

CET 1 Minority Interest Calculation and Forex conversion of non-EU subsidiary’s financial statements

Regarding minority interests calculations: 1) Should the Common Equity Tier I items of the subsidiary referred to in Article 81(1) and 84(1)(a) CRR be calculated according to the local accounting framework or according to the consolidated applicable accounting framework, when the two frameworks differ? 2) Should the Other Comprehensive Income that arises from the currency conversion of the local financial statements to the Group’s reference currency be considered in the minority interest computation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5795
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Regular-way purchases under trading date accounting and settlement date accounting

[1] There are guidelines available in C47 for reporting Regular-way purchases under trading date accounting and settlement date accounting. There are no guidelines in C43 or C40 for reporting the same. [2] The cash receivable and cash payable a as reported in C47,  in which rows of C40 and C43 under other assets out of these positions are to be reported? [3]As these assets of cash receivables are also reported as other assets in Row0190 are these not  duplicated in C47?

  • 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_6095
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Validation rule v6053_m

According to the validation rule v6053 {F 01.02, r0220, c0010} = xsum ({F 09.01.1, (r0010, r0090, r0170, c0040, c0050, c0060, c0065, c0110)}) there must be an exact match between Row 220 “Commitments and guarantees given” of F 01.02 'Liabilities” and the sum of the provision on off balance sheet exposures of F 09.01.1. 'Off-Balance sheet exposures”. Is it correct to assume that such VR would not be applicable if an entity of the Group has provision on off-balance sheet exposures and, at the reference date, falls under IFRS 5 having as a consequence a representation only on row 0290 “Liabilities included in disposal groups classified as held for sale” instead of row 0220 “Commitments and guarantees given” F 01.02 'Liabilities”? Same phenomenon applies also for validation rule v1385_m: {F 01.02, r0220, c0010} = xsum({F 20.05.b, c0030, (r0010-0030, sNNN)})  

  • 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_6353
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Own funds instruments in template M 06.00

Please clarify how Own Funds shall be reported in template M 06.00.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5833
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Taxonomy 3.0 Validation Rule v3900_s

Our query refers to the EBA v3900_s validation rule of template F 02.00, which despite being non-blocking, we have to justify the module as there are negative amounts. We understand that there may be situations in which the reversal of expenses or income for interests or commissions of the current exercise exceed the expenses or income of the same period. In this situation a negative quantity should be allowed to 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: 2022_6445
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Possible error in v8116_m

Is the following rule v8116_m: [F18.01 (c0020)] {r0050} <= {r0060} correct?

  • 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_6542
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 31/03/2023