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List of Q&A's

Clarification of the definition for "residence"

In the template FIN 20.4, we need to restitute engagement under a geographical breakdown by residence of a counterparty. Immediate counterparty is clearly defined in the annex 5 but the definition of residence is not detailled. Could you give us a more detailed definition for the residence to use for the production of data into this template?

  • 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_6518
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

FINREP V5686_s: for the rows (080;150) Col. 050 > 0

EBA V5686_s signage validation requires positive amounts in column 050 (Macro Hedges - Hedged Items in Portfolio Hedge of Interest Rate Risk). Please can you advise on whether FINREP permits negative amounts in column 050 for rows 080 and 0150?

  • 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_6430
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- Attribution factor for financed emissions

In Template 1 of the final ITS, Commission Implementing Regulation (EU) 2022/2453 the GHG financed emissions should be reported in colimn i. With reference to the Annex 2 of the Regulation, institutions should  "taking into account their exposures [...] compared to total liabilities (accounting liabilities and shareholdes' equity)". This expression refers to an attributions factor that is similarly used in the GHG/PCAF-standard (EVIC, i.e. debt and equity). According to the expression, the attribution factor only applies for the "scope 3 emissions per sector" and is not explicitely named in column j for the "Of which Scope 3 financed emissions". Does the CRR-449a-attribution factor in column i and j apply for scope 1/2/3 of the counterparty? Does the attribution factor deviate from the GHG/PCAF-standard?

  • 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_6678
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C 24.00: Capital multipliers due to model limitations

Which is the correct way to report add-ons to the Own Funds Requirements in COREP C 24.00 (MKR IM) required by the regulator due to limitations of internal models?

  • 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_6323
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Template 34.02 - Exposure value post-CRM

When Institutions calculate the exposure value post-CRM in accordance with the Standardised approach for counterparty credit risk, should it consider Article 274(3) of CRR?  In other words: if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, should institutions insert the first or the second value into the template? 

  • 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_6291
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Obligation to report risk-weighted exposures under SEC-ERBA and under SEC-SA as memorandum items in COREP template C 14.01

When does the obligation apply to report risk-weighted exposures under SEC-ERBA in column 0447 and under SEC-SA in column 0448 of template C 14.01?

  • 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: 2021_6252
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C 34.08 - Collaterals with haircuts

Should the fair value of collaterals (posted or received) used in CCR exposures related to derivative transactions, SFTs and long settlement transactions be reported in template C 34.08 after the haircut (volatility, FX) was applied or without considering the haircut?

  • 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_6117
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

C34.08 report - the collaterals which are related to derivatives, long settlement transactions and SFTs and which are not initial or variation margins should be reported in the Initial margin columns

Considering the definition of the initial margin which is provided in CRR, Article 4, paragraph 140, the collaterals posted or received which are related to a SFT transaction / derivative transaction / long settlement transaction and are not initial or variation margin should be reported in the C34.08 report Composition of collaterals for CCR exposures, column 0010 / column 0030 / column 0050 / column 0070 / column 0090 / column 0110 / column 0140 / column 0160 Initial margin?

  • 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_6118
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Application of requirements for NPE prudential backstop in connection with the new COREP templates

The application of the requirements of Articles 47a, 47b and 47c of the CRR is connected with a new COREP reporting requirement for NPE loss coverage envisaged in templates C 35.01, C35.02 and C 35.03. When filling the new COREP reporting templates a several issues have appeared, that are divided into following questions: 1. Do restrictions for specific credit adjustments, which have been recognized during the financial year, apply even for calculation of NPL prudential backstop although RTS on the calculation of credit risk adjustments (RTS 183/2014) that stem from Article 110(4) of the CRR do not include Articles 47a, 47b and 47c of the CRR? 2. Does NPL definition in Article 47a of the CRR (namely requirement for calculating past due days for requirements in Articles 47a(3)(c) and second sub-paragraph, 47a(4)(c), 47a(6)(c) and second sub-paragraph, 47(7)(c)) and forbearance measures definition in Article 47b of the CRR (namely requirement for calculation of past due days for requirements in Article 47b(3)) takes into account material threshold for the assessment of materiality of a credit obligation past due as referred to in Article 178(1)(b) and the RTS 2018/171 or the past due days calculation takes into account any past due exposure of the borrower regardless of the amount?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5860
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- Scope 3 financed emissions including scope 1 and 2 of the counterparty

In Template 1 of the final ITS (Commission Implementing Regulation (EU) 2022/2453) in column j the "Of which Scope 3 financed emissions" should be reported. Reading Annex 2 of the Regulation, "Institutions shall disclose their scope 3 emissions" where "their" refers to "institution" - this would be the scope-3-financed emissoions of the PCAF standard and therefor the total financed  emissions inclusing scope 1 /2 /3 of their (!) counterparties. Is is correct, that here only the counterparties scope-3-emissions should be reported?

  • 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_6677
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Gross carrying amount of held for trading financial assets in disclosure of non-performing and forborne exposures

Does the 'Carrying amount of Financial assets held for trading' include also the 'Gross carrying amount/nominal amount Performing exposure' in Template 3: Credit quality of performing and non-performing exposures by past due days, and also in the other related templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/10 - Guidelines on disclosure of non-performing and forborne exposures
  • ID: 2021_5813
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 1- financed emissions to objects (PCAF-Standard) instead of counterparties

Regarding template 1 (ITS Commission Implementing Regulation (EU) 2022/2453) the "GHG financed emissions (scope 1, scope 2 and scope 3 emissions of the counterparty)" [see Annex 1] have to be reported. With respect to Annex 2 of the Regulation, the Reporting Standard of the Financial Industry (PCAF) is referenced (page 13), that is related to the institutions ("their") scope 3 emissions. Therefore, regarding projekt/object finance, we are not clear if the financed emissions of the specified object or the counterparty should be reported. E.g., if a bank finances/leases a car of/to a counterparty, should the scope 1/2/3 emissions of the counterparty (e.g. the company that buy the car that is partially financed by the bank)  be reported or the emissions of the car? So forth, should the attribution factor for the company or the attribution factor for the car (loan) be used?

  • 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_6676
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 5 - NUTS codes for geographical areas outside EU

Does the regulation authorize to disclose any geographical area located outside European Union (EU) and UK?

  • 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_6679
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ESG P3 - Template 7 Decision tree KPI GAR for Financial Corporation

In which row/group of rows from template 7 should be disclosed Financial Corporation located outside European Union (EU) and Financial Corporation located in EU but not subject to NFRD disclosures?

  • 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_6681
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Financial guarantees received reported in F 09.02

Should financial guarantees received be reported in template F 09.02 with their nominal amount (as it is explicitly noted for the financial guarantees given in paragraph 118, Part 2 of Annex V to Regulation (EU) 2021/451 (ITS) or the maximum amount that can be considered is the maximum amount the counterparty would have to pay if the guarantee is called on as of the specific reporting date?

  • 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_6561
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

COREP C 35 - consistency controls among C 35.01, C 35.02 and C 35.03

Should the following controls: v09692_m; v09699_m; v09683_m; v09684_m; v09691_m; v09703_m and v09711_m be applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6554
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Purchase of credit receivables as a form of 'granting credits'

  Should the purchase of credit receivables be classified as 'granting credits' within the meaning of CRR's definition of credit institution? And if so, would a subject (a natural or legal person) whose activity is that of repeatedly purchasing credit receivables from a credit institution and concurrently taking deposits or other repayable funds from public, be required to obtain a license under Article 8 CRD?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6257
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/03/2023

Exposures in default secured by mortgages on residential property

How to classify an exposures, that is secured by mortgages on residential property and, according to the Article 124(2) of Regulation (EU) No. 575/2013 (CRR), is assigned a 150% risk weight and, at the same time, qualifies as 'Exposures in default' and meets the criteria listed in Article 127(1)(b) or (3) CRR, to assign it a 100 % risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6018
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/03/2023

Scope of Article 21a(6) CRD

What is the scope of application of the supervisory measures that can be imposed under Article 21a(6) CRD? Does it encompass for instance measures to address capital, large exposures, liquidity and internal model breaches?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5832
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 03/03/2023

Underlying exposures of securitisations and calculation of the applicable amount of insufficient coverage for NPE for the purpose of calculating deductions from CET1 items

Are underlying exposures of a traditional or synthetic securitisation, for which the originator has either: i) achieved Significant Risk Transfer (SRT) as per Article 244(1)(a) or Article 245(1)(a); or ii) following the full deduction approach as per Article 244(1)(b) or Article 245(1)(b) in or out of scope of the minimum loss coverage requirement for non-performing exposures (see Article 36(1)(m) and Article 47a CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5785
  • Topic: Credit Risk – Non performing exposures / loan origination
  • Date of submission:
  • Published as final Q&A: 03/03/2023