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List of Q&A's

XBRL Modelisation of FICOD REPORTING L0600

It seems that the current modelisation L0600 only accepts as a dynamic dimension the column 0020 "identification code of the exernal counterparty" where the ITS states that :  -1) General ITS : "the aim is to list the significant exposure [...] by single counterparty outside the scope of the financial conglomerate. If more than one entity of the financial conglomerate is involved, for entity a separate line is necessary"  2) ITS L0600 - c0080 :  The name of the enity of the conglomate involved in the exposures. It concerns all entities and for each entity a separate entry has to be reported. If more than one entity of the conglomerate is invoved, for each entity a separate line is necessary.   So normally the report shoud have two key dynamisms a the row level : 0020 "identification code of the exernal counterparty" 0080 "Entity of the financial conglomerate' Can you confirm that with the current XBRL settings it's not possible to correctly submit the informations as expected by the ITS? Can you propose a workaround ?

  • Legal act: Directive 2002/87/EC (FiCoD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7370
  • Topic: Financial conglomerates
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

RWA in COREP C43

In COREP C43, which RWA should be reported? In particular, should RWA be reported with or without taking into account the derogations (transitional measures) impacting RWA in CRR3?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions
  • ID: 2025_7315
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Validation rule v22095_h in Reporting Framework 3.5

The question concerns the EBA Reporting Framework 3.5, Validation Rules (19 December 2024), rule v22095_h. This rule require that total amounts of Loans and Advances should be equal to the sum of sub-total amounts (Retail, Wholesale non-financial, Wholesale financial) in the context of Reporting on interest rate risk in the banking (specified in Section 12 – ‘Reporting on interest rate risk in the banking book’ of Annex I to Regulation (EU) 2024/3117, form J02.00 : {r0050} = +{r0080} + {r0100} + {r0110}Is the formula correct having in mind the possibility to have exposures from clients that do not satisfy definitions of sub-categories but have to be reported in "Loans and Advances"? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions
  • ID: 2025_7308
  • Topic: Supervisory reporting - IRRBB
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Reporting the fair value adjustments from macro fair value hedges in NSFR templates (C 80.00 and C 81.00)

When an institution did not opt under IFRS to present separately the fair value adjustments arising from macro fair value hedges, should the institution be required to include these adjustments separately solely for NSFR reporting, as other assets/liabilities, and not as part of the hedged item?

  • 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 (repealed)
  • ID: 2024_7274
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

OFR for operational risk on the date 31 December 2024

What method should we use to calculate the OFR on 31 December 2024 (e.g. to present in COREP 16.00) - new standardised approach according to CRR3 or one of existing approaches (BIA, TSA, AMA)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7271
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Meaning of ‘intragroup’ for the purpose of reporting in COREP template C 66.00 and C 68.00

What is the scope of ‘of which from intra-group entities’ for the purposes of classification of funding in COREP template C 68.00, row  190 (2.2.4) and in template C 66.00? 

  • 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 (repealed)
  • ID: 2024_7252
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

IRRBB - Notional amount to be reported in column 0100

The notional amount to be reported in column 0100 represents the outstanding principal amount of the instruments (according to Implementing Regulation (EU) 2021/451, Article 20a and Annex XXIX specifying the reporting instructions); The notional repricing cash flows reported in columns 0700 to 0250 for fixed rate instruments include cash flows arising from both principal and interest (as defined in Article 1, point 1 of Delegated Regulation (EU) 2024/857).

  • 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 (repealed)
  • ID: 2024_7251
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

v22331_s (IRRBB) - non-negative rule not applicable to some rows

Validation rule v22331_s ({J 03.00} >= 0) should not be applied on rows r0140, r0160, r0170, r0470, r0490, r0500 for column c030 (Level of EVE - Baseline scenario). Could you pls adjust the validation rule?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7248
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

v16332_s (IRRBB) - non-negative rule not applicable to some rows

Could you pls remove r0030 and r0150 from the scope of validation rule v16332_s?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7243
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

contrôle sur remise IRBB

voici les éléments concernant nos interrogations sur le J 07.00.   Dans ce dernier, nous sommes tenus de ventiler les "notional repricing cash flows" selon les buckets de repricing. Dans l'Annex II (en PJ), il est fait référence  aux RTS on SA (également en PJ) pour définir ces "notional repricing cash flows"  L'article 1.1(2) traitant de la définition de "repricing date", on trouve dans l'article 1.1(1)  En d'autres termes, cet indicateur s'entend comme la somme du capital échu ou ayant refixé, plus intérêts à taux connu.   Or, si l'on s'en réfère aux contrôles v22322_m et v22323_m dans les validation rules (également en PJ) fourni par l'EBA, le notionnel doit être supérieur ou égal à la somme des flux, ce qui est impossible si l'on inclut les intérêts.   Il y a soit un problème dans la définition de "notional repricing cash flow", soit dans celle du contrôle mais en l'état, les 2 ne peuvent coexister.  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2015/585 - RTS for the specification of margin periods of risk
  • ID: 2024_7217
  • Topic: Supervisory reporting - IRRBB
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Investments in Subsidiaries

On non consolidated level, should we include the position "Investments in Subsidiaries" in the NSFR report? And if yes, in which form (C_80.00 or C_81.00) and at which position (where exactly / code / NSFR row; on a separate place or together included in another position)? I have the same question and on a consolidated level.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7205
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Clarifications on the perimeter of templates 2 and 5 Collateralized loans portfolio

The Bank would like to clarify whether the same perimeter should be applied in ESG Pillar 3 Templates 2 and 5 regarding loans collateralized by residential/commercial property in column 010 (Gross Carrying Amount). Specifically, Template 2 requires banks to disclose the energy efficiency of the collateral for loans secured by immovable property, including cases where the Energy Performance Certificate (EPC) is available or unavailable, with the percentage of estimated EPCs provided when the certificate is unavailable. Based on this guidance, it seems that Template 2 would include only assets eligible for Energy Performance Certification as per relative legislation, as EPCs cannot be defined for non-eligible assets. In contrast, Template 5 would appear to cover both EPC-eligible and non-eligible assets. It would be helpful to understand if this interpretation aligns with the intended approach and whether column 010 of Template 2 should specifically reflect the subset of loans collateralized by residential/commercial property that are eligible for EPC.

  • 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: 2025_7292
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

Denominator for GAR Green Asset Ratio (%) Calculation

Which denominator should be used in the GAR KPI templates: the corresponding Total gross carrying amount (column a) of the respective rows in template 7 "Mitigating actions: Assets for the calculation of GAR", (for example if the GAR is computed for line 0020 'Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation' in case of numerator is used the loans and advances, for example Of which environmentally sustainable Taxonomy-aligned, and in the denominator should be the similarly filtered Total gross carrying amount from the same row of template 7; The denominator should be unique, disregarding the formula level: "Total GAR assets" line 320  or  The denominator should be unique, disregarding the formula level: "Total assets in the denominator (GAR)" line 0450 ?

  • 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: 2024_7272
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 28/04/2025

CCF of items (b) and (c) of bucket 5 from 2025 to 2032

Which credit conversion factor shall be applied to the undrawn amount of retail credit lines for which the terms permit the institution to cancel them to the full extent allowable under consumer protection and related legal acts (item listed in point (b) of bucket 5), and to undrawn credit facilities for tender and performance guarantees which may be cancelled unconditionally at any time without prior notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness (item listed in point (c) of bucket 5) in the years 2025 to 2032?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7318
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/04/2025

Template 3: reporting of negative values when targets are surpassed

How to report negative values in column f 'Distance to IEA NZE2050 in %*' in cases where sector targets are surpassed?

  • 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: 2024_7254
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 10/04/2025

ALMM C66 taxonomy control – negative cells

Can you please review the severity of some taxonomy controls to be consistent with economic flows and the Joint Liquidity Template of the ECB?

  • 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: 2024_7163
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2025

Financial Sector Entity qualification for entity that assumes a loan in order to acquire an aircraft asset which then enters into a financial leasing agreement with an airline / aircraft operator

Should an entity that assumes a loan in order to acquire an aircraft asset which then enters into a financial leasing agreement with an airline / aircraft operator be treated as object finance / specialised lending or does it in addition need to be viewed as an exposure to a financial institution (and therefore a financial sector entity (FSE)) given the entity enters into a finance leasing arrangement that is an activity set out in point 3 of Annex I of Directive 2013/36/EU?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7120
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2025

Treatment of leasing residual values under the standardized approach for credit risk

May the ‘’1/t*100%* residual value” formula introduced by CRR article 134.7 for the risk-weighted exposure amounts be applied to all leasing residual values? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7195
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2025

Recognition of non-transferable liquidity held by and arising in third country subsidiaries in the context of the calculation of the consolidated LCR

What is the (combined) treatment of liquid assets held by and liquidity inflows arising in third country subsidiaries being subject to transfer restrictions for the purpose of the calculation of the LCR at consolidated level?

  • 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: 2025_7375
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/03/2025