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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.

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List of Q&A's

Collateral received for derivatives in F 32.04 and F 32.02 with master netting agreements in place

Can the collateral received for derivatives be reported in AE templates F 32.04 (AE-SOU) and F 32.02 (AE-COL) at master netting agreement level (counterparty level), when collateral is only exchanged at that level? 

  • 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_6282
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Distribution of retail and wholesale term deposits in the ASF tables of the NSFR report according to the remaining term of the contract.

What is the term in the ASF tables of the NSFR report for longer than 6 months term deposits which a depositor has the right to terminate earlier and can withdraw these deposits in less than 6 months, when penalties are not applied? Do the same provisions apply to retail and wholesale deposits?

  • 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_6281
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 22/12/2022

Application of SCA for confirmation of funds requests made by a PISP

1) Should two SCAs be applied when a fund confirmation is made by a PISP? i.e. one for fund confirmation and one for payment initiation? 2) Should ASPSPs provide confirmation to a CoF request made by a PISP before or after the payment is submitted?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2021_6280
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

The use of the financial collateral comprehensive method for retail exposures

If an institution uses the combination of A-IRB and F-IRB approaches for its retail (A-IRB) and corporate exposures (FIRB), can this institution then only use the Financial Collateral Comprehensive Method (FCCM) for its corporate exposures? If yes, what should it do for its retail exposures secured by financial collateral?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6279
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Treatment of management actions by competent authorities when providing guidance on additional own funds (P2G) within SREP

(a) When providing guidance on additional own funds in accordance with Art. 104b of CRD, should competent authorities adjust for the specifics of an institution’s risk profile with regards to in particular: The level of strategic investments for business expansion, where a rapidly expanding business will have a cost base that to a larger extent is made up of discretionary or non-recurring expansion costs compared to an institution with a lower level / share of investment for business expansion; and The nature of the lending business, e.g., accounting for the difference between a balance sheet primarily made up of short-term assets as compared with a bank with primarily long-term assets, in order to fulfil the requirement of an institution-specific guidance? (b) When providing guidance on additional own funds in accordance with Art. 104b of CRD, should competent authorities assess the credibility of management actions taking into account the specifics of the institution, with regards to in particular: The level of strategic investments for business expansion, where a rapidly expanding business will have a cost base that to a larger extent is made up of discretionary or non-recurring expansion costs compared to an institution with a lower level / share of investment for business expansion; and The nature of the lending business, e.g., accounting for the difference between a balance sheet primarily made up of short-term assets as compared with a bank with primarily long-term assets. in order to fulfil the requirement of an institution-specific guidance?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/03 - Guidelines on the revised common procedures and methodologies for SREP and supervisory stress testing (consolidated version)
  • ID: 2021_6278
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Validation rule v10675_m - Collateral received on Other demand deposits - F18 vs F13

The validation rule v10675_m {F 13.01, r0010, c0050} = sum({F 18.00.c, (r0070, r0191, r0221), c0205}) + sum({F 18.00.c, (r0070, r0191, r0221), c0210}) seems to restrictive and should also include the newly created row 005 related to cash balances at central banks and other demand deposits from annex F18. Would it be possible to update the rule in the next DPM publication ?  

  • 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_6277
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Fair value changes of hedged interest rate items (hedge accounting) in the C 80.00/C 81.00 NSFR templates

Should institutions report fair value changes of hedged interest rate items on NSFR templates C 80.00 and C 81.00? And if so, should it be separately from the positions hedged as is the case on FINREP, or should this value be added to the hedged 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: 2021_6276
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation rules v10817_m for MREL/TLAC

Is it correct that validation rule v10817_m considers r0550, c0010 of template M 03.00?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6275
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Scope of prudential consolidation

Does the answer to Q&A 2019_4711 also apply to those cases where a consolidated requirement is triggered by Regulation (EU) 2019/2033 (IFR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6274
  • Topic: Other issues
  • Date of submission:

Jump-to-default risk weights in specific reporting requirements for market risk

Which risk weights should be used in the case of multiple exposures in different seniority classes and credit quality steps to the same obligor?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/453 - ITS with regard to the specific reporting requirements for market risk
  • ID: 2021_6273
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks

Should own funds requirement for Sensitivities Based Approach  be the sum of GIRR, CSR, Equity and Forex requirement arising from the scenario with the highest total requirement value? or result from the scenario with the highest total requirement at the individual asset level class? And how to calculate the requirement in Article 325h(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6272
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Negative sensitivities on C91.00 columns 0020 and 0030 - validation rule v10242_s

Should the net delta sensitivities in columns 0020 and 0030 of template C91.00 be reported as absolute 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: 2021_6271
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Trading book business for the purposes of Article 94 CRR

What is meant by "positions concerning foreign currency"? Any derivative contract that has a currency pairs as underlyng (e.g. forex swap, forward foreign exchange contracts, cross-currency interest rate swaps, option currency)? Also contracts settled in currencies other than the reporting currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6270
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

The size of all non-trading book positions that are subject to foreign exchange risk

According to article 325a, paragrhap 2, is the size of all non-trading book positions that are subject to foreign exchange risk equal to the higher between the total of the net short positions and the total of the net long positions computed according article 352 or is it the sum of absolute value of total of the net short positions and the total of the net long positions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6269
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Threshold calculation for Corep C90.00 sheet

We would like to ask for assistance to determine how to handle our so called „FI Margin” product from 30/09/2021 in the case of threshold calculation for Corep C 90.00 sheet – based on the trading book activity and market risk. The main scope of this particular product is that the investors are allowed to make a bet based on their expectations on the Governement bond market by using only a small amount of margin. (So this product has a high-level leverage.) The risk of the client-based deals are hedged with prompt deals on Government bonds. The two deals (i.e. the client-based and the hedge one) belong to one product which one can rank as a derivative product. As of our understanding, one can net the spot (hedge) and forward (client) leg of the „FI Margin” product, thus no bond interest rate risk position arise and we can report only the open derivative position, which arise from the market value of the two legs together.

  • 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_6268
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

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

COREP C91.00 - Consistency control v10242_s

The validation report of the COREP is failing due to the taxonomy rule v10242_s which is expecting positive amounts in the column C0030 on template C91.00. The instructions state that: “Institutions shall report the sum of net all positive and all negative sensitivities to the different delta risk factors within a risk class”. Should this control be reviewed?

  • 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_6266
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation Rule EGDQ_0480

Is it correct that the Validation Rule doesn’t take into account the total amount of past due >90 days exposures in F07.01 excluding those in C 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: 2021_6265
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Validation rule v6011_h

The validation rule v6011_h checks if the accumulated impairment of loans and advances for non-financial corporations (row 190) is lower than the sum of accumulated impairments of small and medium-sized enterprises (row 200), belonging to non-financial corporations. In most cases the accumulated impairment is negative. e.g.: Impairment = - 40 r190 (Loans and advances NFC) = -40 r200 (of which: SME) = 0 In this case c190 < c200 and the validation rule is not violated. The question is, how should we deal with positive accumulated impairment due to POCI deals? e.g.: Impairment = + 40 r190 (Loans and advances NFC) = +40 r200 (of which: SME) = 0 In this case c190 > c200 and the validation rule is violated, although positive impairment is generally allowed.

  • 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_6264
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2022

Common Equity Tier I Minority Interest Calculation

Should a specific level of profit distribution set by a third country competent authority, and communicated specifically to an institution, be considered “any additional local supervisory regulations in third countries insofar as those requirements are to be met by Common Equity Tier 1 capital” for the purposes of the minority interest calculation provided in Article 84 1 i) and ii))  when this limit has been set above legislative prudential requirements with the aim of preserving capital above an specific limit by the way of limiting profit distribution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6262
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022