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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

‘Mortgages’ identification

Are "commercial mortgages" and "other mortgages" excluded from HDPs perimeter?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2501
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Rows 660 – 770 of the template C 60.00 of Annex XII of the ITS on supervisory reporting do not seem to be feasible for the reporting of equities if these are considered as liquid assets. After the application of the LCR Delegated act some equities are considered as level 2B liquid assets. Therefore a solution is needed on where to report these assets in this template.

Where should equities, when considered as level 2B liquid assets, be reported in the template C 60.00 of Annex XII of the ITS on supervisory reporting?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2015_2500
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Amounts to be reported under derivatives receivables in C 60.00 (row 1290) and under liabilities from derivatives payables contracts in C 61.00 (row 240) of the - ITS on supervisory reporting of institutions.

Shall the amounts to be reported in derivatives assets or liabilities in rows 1290 and 240 respectively in C 60.00 and C 61.00 of the ITS on supervisory reporting of institutions be deducted by variation margins received or posted or shall they be gross amounts?

  • 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: 2015_2499
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

C 60.00 Items requiring stable funding – amounts to be reported under rows r040 – 070 and 152 – 153

Shall the amounts to be reported under rows 040 13 070 and 152 13 153 of C 60.00 include also encumbered assets or only unencumbered assets?

  • 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: 2015_2498
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

C 60.00 and C 61.00 – clarification on the amount extremely high liquidity and credit quality, on the amount high liquidity and credit quality and amount other assets

Which assets in rows 10 to 890 of the template C 60.00 of Annex XII of the Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions - shall be considered of extremely high liquidity and credit quality, of high liquidity and credit quality and as of other assets in the context of items requiring stable funding? The same question arises with respect to the template C 61.00 of the same Annex in rows 070 to 090 and in rows 140 to 160.

  • 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: 2015_2497
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Secured central bank lending and liquidity buffer adjustment

Does the liquidity buffer have to be reduced by outflows from secured lending even if the lender is a central bank and the outflow is 0%-weighted?

  • 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: 2015_2495
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Allocating transfer from Share Premiun to Other components of equity.

As per the cell { r160, c020} is greyed in F 46.00 template, transfers from share premiun to other items of equity and other increases or decreases are not possible to be reported. On the other hand, the cell {r100, c020} should be used to reclassify "Share Premiun" to "Other reserves" but, this line is not a correct source of equity change, since it is not a reduction of capital but a share premiun. Where or how transfers from share premiun to other reservers must be reported?

  • 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: 2015_2492
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Written Credit Derivatives Add-On MR/NR Netting

Under Article 429d(3) of the Regulation (EU) No 575/2013 (CRR), is it allowable to reduce the Add-On exposure of a written credit derivative (CDS) which has a Modified-Restructuring clause by a purchased credit derivative (CDS) which has No-Restructuring clause (where both CDS contracts have the same maturity, seniority and underlying reference entity)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2015_2491
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Inclusion of loans that have been pre-positioned with central banks but are not encumbered in the numerator of the LCR

Since loans that have been pre-positioned with Central Banks and are not encumbered can be used to raise liquidity from the Central Bank, could they be considered as 2B level assets even though no commitment fee has to be paid?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2015_2486
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 27/05/2016

Risk weight for exposures to central-government-risk Public Sector Entities (PSEs) denominated and funded in domestic currency

May exposures to PSEs established in a Member State, whose level of risk in the opinion of the competent authority of the Member State in question does not differ from the level of risk of the central government, be assigned a risk weight of 0% in accordance with Article 114(4) of CRR if they are denominated and funded in domestic currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2484
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2016

Template C 05.01 column 060 positive or not

In template C 05.01 we understand that all amounts in column 060 should be positive or null. In the first versions of validation rules, the rule v3693_s confirmed this interpretation. But this validation rule is deactivated from June 2014 in validation rules file. Should this column be systematically positive or not? When will you reactivate these validation rules?

  • 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: 2015_2482
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Calculation of PD* and PD**

The formula provided for calculating PD* is based on a Normal approximation of the binomial confidence interval.The approximation formula is based on a case weighted approach. Should the formula be applied using the exposure weighted default rate as defined in the final draft RTS/ITS or can a case weighted default rate be used?RWA* and RWA** shall be calculated per rating grade. However, rating grade is not a segmentation criterion. How should be dealt with this?How should the default rate per rating grade be calculated? Should the rating grade of the year prior to the default be used? How should customers who are not in the portfolio the previous year be dealt with?In calculation of PD**, how the value “n” (i.e. the number of exposures non defaulted at the beginning of the period) has to be calculated?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2015_2481
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Forbearance – past term interest only mortgages

Should interest only mortgage exposures where the customer has not repaid the capital at term but continues to pay interest and is not considered to be in financial difficulty, ever be considered as forborne?

  • 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: 2015_2474
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Use of DGS to finance a transfer covered deposits

To what extent can the deposit guarantee scheme (dgs) be used to facilitate a transfer of covered deposits when applying the sale of business tool?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2473
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Consideration of securitisation positions and securitised exposures, for the purpose of significant risk transfer.

If the originator institution of a synthetic securitisation retains a vertical slice of securitised exposures, as well as some of the tranches, should this vertical slice be treated as a securitisation position as defined in Article 4(1)(62) of Regulation (EU) No 575/2013 (CRR)?If yes, should this position be taken into account to assess whether significant credit risk has been transferred to third parties in accordance with Article 245 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 20179/2401?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
  • ID: 2015_2472
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 20/05/2016

Procedury monitorowania ochrony kredytowej / EN: Credit protection monitoring procedures

Czy aby w procesie szacowania wymogu kapitałowego możliwe było uwzględnienie instrumentu ograniczania ryzyka kredytowego w postaci zabezpieczenia na nieruchomości mieszkalnej konieczne jest zapewnienie przez Instytucję, iż na dzień wyliczenia posiada ona aktualne ubezpieczenie tejże nieruchomości zabezpieczające przez ryzykiem powstania szkody? Czy może w myśl zapisów artykułu 208 paragraf 5 (literalnie czytając) wystarczy, iż Instytucja udowodni, iż posiada procedury i skuteczne mechanizmy monitorowania aktualności/ważności posiadanej polisy ubezpieczeniowej?EN translation:In order for the calculation of capital requirement to take into account collateral of residential property as a credit risk mitigation instrument, is it necessary for the Institution to ensure that, as at the calculation date, it holds up-to-date insurance for such real estate, protecting it against the risk of damage? Or perhaps, in accordance with the provisions of Article 208(5) CRR  (read literally), it would suffice if the Institution could prove that it has procedures and effective monitoring mechanisms in place to ensure that the existing insurance policies are valid and up-to-date?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2470
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/06/2016

Exemption from bail-in of liabilities to institutions in order to avoid of systemic contagion

Are cash deposits of other institutions protected from bail-in? The question refers to simple deposits that are not under any pledge or collateral linked to any derivatives trade.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2469
  • Topic: Write-down and conversion of capital instruments
  • Date of submission:
  • Published as final Q&A: 10/06/2016

Notification of model changes

Does an alignment of the quantification of default to the default frequency based on an approved method (i.e. an update to the PD scale to better mirror the default frequency) require a notification? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
  • ID: 2015_2468
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/11/2017

COREP form C72

On form C72.00, should there be a calculation for row 020 Total unadjusted level 1 assets?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_2467
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 24/01/2022

Application level of materiality threshold for assessing the materiality of extensions and changes to the IMA

What is the reference base for the materiality thresholds specified in the technical standards for assessing the materiality of extensions and changes of internal models be applied, if an EU parent institution uses an Internal Models Approach (IMA) on solo and/or (sub)consolidated level?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
  • ID: 2015_2466
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017