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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

Estimation of default probability and loss given default under the internal default risk model for a trading book position, where those estimates are not available at trade date under an approved IRB approach

Should an institution that has been granted permission to estimate own default probabilities or own default probabilities and losses given default in accordance with Section 1 of Chapter 3 of Title II of the CRR, be required to use such methodology for calculating default probability or loss given default under the internal default risk model for a trading book position, where the default probability or loss given default estimates are not available at trade date under such methodology for the corresponding obligor or facility?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5856
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 18/03/2022

Scope of COREP template C34.08 only CCP exposure?

When compiling template 34.08 should Article 300(1) CRR be interpreted in the broader sense and extended also to non-Central Counterparties exposures? For example, should Initial Margin exchanged on segregated basis under bilateral agreements (EMIR) also be reported under Segregated columns? Or should the Segregated columns be used exclusively for margin exchanged with CCPs?

  • 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_5852
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/02/2022

Use of conditional sale agreements to season assets by an originator instead of the originator purchasing the assets and then selling the same to a securitisation SPE

Can an entity: (i) who manages and establishes a traditional securitisation; and (ii) where the securitisation special purpose entity (SSPE) enters into a conditional sale agreement with it be classified as the originator and act as an eligible retainer?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5851
  • Topic: Other topics
  • Date of submission:

Display of negative interest rate in statement of fees

How should a fee corresponding to negative interest (in case of negative policy interest rate of the respective central bank) be displayed in the Statement of Fees (SoF) pursuant to Article 5 Payment Accounts Directive (PAD) and in accordance with Commission Implementing Regulation (EU) 2018/33 (ITS on SoF)?

  • Legal act: Directive 2014/92/EU (PAD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/33 - ITS with regard to the standardised presentation format of the statement of fees
  • ID: 2021_5850
  • Topic: Payment accounts
  • Date of submission:
  • Published as final Q&A: 22/12/2022

DPM 3.0 validation rules for C84 total RSF

According to validation rules v10158_m and v10063_m, RSF from derivatives should not be included in total required stable funding row 10 in neither column 10 nor 20. Is this really correct? It indicates that RSF from derivatives is not included in calculating the ratio then.

  • 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_5847
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 23/07/2021

Ability of Payee’s PSP to apply exemptions from SCA in credit transfers

Can the Payee’s Payment Services Provider (PSP) apply an exemption from strong customer authentication (SCA) in credit transfers that are initiated through the payee?

  • 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_5845
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Application of CRR Article 272(12) to SFT population within CoRep Template C34.02

CRR2 Requirement Application of Article 272(12) to the SFT population under IMM and FCCM approaches in derivation of the current market value for the purpose of disclosure in Taxonomy 3.0 template 34.02 - ‘current market value’ or ‘CMV’ means the net market value of all the transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV. Reporting requirement The EBA ITS instructions state that the Current Market Value (CMV), positive should represent the Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR and the Current Market Value (CMV), Negative the sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. It has been noted that the article reference – 272(12) is specifically tied to the standardised method and therefore does not apply to other methodologies for CCR However the EBA have extended the application of said article under CRR2 to cover all calculation approaches. Neither the CRR2 text or the reporting requirements provide sufficient clarity on how the current market value should be derived for the SFTs – a concept that is not recognised as a capital measure in assessing the counterparty credit risk for security financing trades. For SA-CCR this would be a relevant parameter, but from a firm perspective we do not use SA-CCR for our repos, only IMM or FCCM (so either Article 220 or 223).

  • 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_5843
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/02/2022

Inclusion of Held for sale in Other adjustments in template F 12.01

Where shall the changes in allowances for financial assets, which have been reclassified as held for sale prior to a disposal, be reported in FINREP template F 12.01?

  • 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: 2021_5840
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Point in time when facility or limit is considered to be a commitment

Does a bank’s legally binding offer for a facility or limit constitute a commitment only after the client has accepted the bank’s offer?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5836
  • Topic: Credit risk
  • Date of submission:

Treatment of committed facilities with unadvised limits

Are committed facilities with unadvised limits considered to be regulatory off-balance sheet items and do they have to be included in the conversion factor estimation under Advanced-IRBA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5837
  • Topic: Credit risk
  • Date of submission:

treatment of uncommitted facilities / limits

Are uncommitted facilities or limits considered to be regulatory off-balance sheet items and do they have to be included in the conversion factor estimation under Advanced-IRBA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5835
  • Topic: Credit risk
  • Date of submission:

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

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

FINREP template F44.03 Share based payments

In template 44.3 Staff expenses by type of benefits, in row 0020 Share based payments are requested. For the whole template the following validation rule applies: v3988_s: {F 44.03} >= 0 (for all rows and with severity level error). This is suggesting share based payments can never be a negative amount, which we believe is not always the case (as a result of changes in the fair value of the liability recognised). Can you please amend the Validation rule by excluding row 0020 from this rule?

  • 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_5831
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/11/2021

Reporting of residential mortgage loans on C80.00 - NSFR - Required Stable Funding

Can EBA confirm that a single residential mortgage loan with LTV > 80% should be split between rows 760 and 810 of the C80.00 based on the portion of the loan that a 35% risk weight would be applied to under the standardised approach to credit risk? The portion up to 80% LTV being reported in row 760 and the portion >80% LTV being reported in row 810. Can EBA also confirm that where mortgage loans are risk weighted using the internal ratings based approach, those loans are to be assigned to rows 760 and 810 as if standardised approach applied i.e. based on LTV ratio?

  • 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_5830
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 26/11/2021

Inclusion of central bank exposures in template C 33.00

Shall exposures to central banks be included in the COREP template C 33.00?

  • 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: 2021_5825
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Allocation of non-performing interdependent assets for NSFR purposes

How should non-performing interdependent assets be allocated in the NSFR template for required stable funding?

  • 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: 2021_5822
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Strong customer authentication (SCA) Knowledge element: Place of Birth and Date of Birth

Does a payer’s date of birth and place of birth constitute a valid Knowledge Element for strong customer authentication.

  • 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_5821
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Adjustments to RWA for DTA related to timing differences due to IFRS 9 transitional arrangements in template C5.01.

In template C05.01 validation rule v3689_s states that row010 column 040 cannot be negative. In our opinion, this is not true for RWA on DTA related to timing differences. EBA Q&A 2018_4189 does not include underpinning why the impact of IFRS9 transitional measures for RWA on DTA related to timing differences cannot be positive.

  • 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_5820
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/02/2022

Large Exposures Reporting - Reporting of Shadow Banking Positions under EBA Taxonomy 3.0

Institutions are required to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013. The reporting instructions for template C27.00, Column 070 state: The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using “I” for institutions or “S” for shadow banking entities, which carry out banking activities outside the regulated framework. We have reviewed the information in DPM database published on 8-Apr, together with the DPM dictionary and annotated templates published on 18th Mar and note that this states that only 'I' or 'U' can be used in this instance. There is no mention of 'S'. This being the case, please advise how Shadow Banking positions should be classified?

  • 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: 2021_5819
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 06/08/2021