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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

Client servicing in the definition of the trading book

According to Article 4(1)(85) and (86) of Regulation (EU) No 575/2013 CRR, are all proprietary positions and all positions arising from client servicing and market making trading book positions, irrespective if they are held for short term or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2054
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 01/04/2022

Reportable maturity for ALMM C69 PRICES FOR VARIOUS LENGTHS OF FUNDING

In what time bucket in template 69 shall deposits without stated maturity be reported?

  • 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_2051
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Reporting requirement for draw down of facilities

In the case of revolving committed credit facilities, should the capacity of facility, upon renewal/commencement of the arrangement, or each individual draw of the facility be reported for the volume amount in template 69?

  • 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_2049
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Funding plans projection horizon for the June 2015 reference date

Can you please clarify whether the projection horizon for the June 2015 reference date relates to (a) Dec 2015, June 2016, June 2017 and June 2018 for each of columns 020 to 050 respectively, or (b)Dec 2015, Dec 2015, Dec 2016 and Dec 2017 for each of columns 020 to 050 respectively

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2048
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Validation rule v4421_s does not comply with validation rules v4117_m, v4118_m, v4119_m, v4120_m as it implies a negative sign for maturing long term funding

Validation rule v4421_s implies that maturing long term funding must be reported with a negative sign for different categories of long term funding in row (200,230, 260,290,320) and column (020,030,040,050) in template P 01.02. However, this contradicts with validation rules v4117_m, v4118_m, v4119_m and v4120_m.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2046
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Market making in several AT1 or T2 instruments

Where an institution applies for a prior permission for repurchase of several Additional Tier 1 or Tier 2 capital instruments according to Article 78(1), second subparagraph, of the CRR, may the predetermined amount of the permission be set for several instruments or must a predetermined amount be set for each instrument?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2015_2042
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 25/09/2015

Level 1 assets and Large Exposures exemptions

Please can you confirm that debt securities with a 0% risk weight under Part Three, Title II, Chapter 2 that are reported as level 1 assets in accordance with Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR should also be exempted from the Large Exposure Limits defined in Article 395(1) of Regulation (EU) No 575/2013 under the exemptions in Article 400 point 2(d)(e)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2040
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 27/05/2016

FINREP – Reporting of accumulated changes in fair value due to credit risk and FINREP sign convention

What is the DPM sign convention for templates where accumulated impairment and accumulated changes in fair value due to credit risk are reported? Are all validation rules applicable?

  • 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_2034
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/06/2015

Concentration of funding by counterparty (C 67.00) ranking

C 67.00 (Concentration of funding by counterparty): Shall we compute/report the top 10 counterparties for each currency, or is the currency irrelevant to compute this rank?If the currency is irrelevant, the top 10 counterparties would be the same list across all significant currencies sheets, with some empty results/rows for counterparties not concerned by all significant currencies.C 68.00 (concentration of funding by product): The regulation clearly states that the currency is irrelevant for product types determination above the 1% threshold (Annex 4 XIX, chapter 1.3, paragraph 4). Does this mean also that the list of products concerned is the same list across all significant currencies sheets?C 67.00 / C 68.00: If we want to keep consistency between reports C 67.00 and C 68.00, shall we apply the same principle: currency is irrelevant for ranking or sorting?

  • 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_2033
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/03/2018

Will the application of the cap on inflows be applicable at the single material currency level

Should the inflow cap, limiting inflows to 75% of liquidity outflows, apart from specifically outlined exemptions, be applied in relation to single material currency LCR reporting or just at the all currency combined LCR calculation?

  • 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_2031
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

For trade finance transactions within 30 days to maturity the DA indicated a 100% inflow for financial customers, however we understand this was for all customers

Regulation (EU) No 575/2013 article 425 2 (b) indicates that monies due from trade finance transactions within 30 days are a taken account in full. However the Delegated Regulation (EU) 2015/61, article 32 2 (a) and its associated sub paragraph (ii) read as if this only relates to financial customers, therefore are trade finance trascations from non-financial customers less than 30 days to maturity to be taken into account in full as inflows?

  • 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_2030
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Intragroup liabilities elimination with joint venture company

CSOB owns 55% in the joint venture company. In the paragraph 9 is written that "For the purpose of calculating the basic annual contribution of a group entity, the total liabilities to be considered should not include the liabilities arisen from any contract which that group entity concluded with any other entity which is part of the same group. However, such exclusion should only be possible where each group entity is established in the Union, is included in the same consolidation on a full basis, is subject to an appropriate centralized risk evaluation, measurement and control procedures, and if there are no current or foreseen material practical or legal impediments to the prompt repayment of the relevant liabilities when due. This should prevent liabilities from being excluded from the basis of calculation of the contributions if there are no guarantees that intragroup lending exposures would be covered where the financial health of the group deteriorates. " CSOB for the joint venture company uses proportional method of consolidation, also eliminating the 55% of intragroup liabilities for the regulatory purposes and prudential reporting. The question is if for the basic resolution contribution puproses also elimitate the 55% of those intragoup liabilies or not (not full method of consolidation applied).

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2015_2029
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Use of the rating based approach’s IRBA securitizations scaling factor 1.06 in the cases of 1.250 % risk weight securitizations’ capital deduction

Shall the rating based approach’s IRBA securitizations scaling factor 1.06 also be applied in the cases of 1.250 % risk weight securitizations’ capital deduction?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2024
  • Topic: Supervisory reporting
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Application of the top-down approach based on EL calibration (article 160 al.2) - purchased receivables

Do these methods apply for other non-retail purchased receivables (i.e. institutions and sovereigns) ? For example, can an institution PD’s be calibrated using these top down approach based on EL calibration ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2023
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 27/11/2015

Reporting of 'Sources of encumbrance' in line with F32.04

As part of the reporting of asset encumbrance, institutions are required to report its 'Sources of encumbrance' within template F32.04. Our question relates to this template, and deals specifically with deposits. One of the sources of asset encumbrance are deposits that are eligible for the Depositor Compensation Scheme (DCS). The instructions of F32.04, for the reporting of deposits (row 040 / 070) state that institutions are to report the "Carrying amount of the collateralized deposits of the reporting institution in so far as these deposits entail asset encumbrance for that institution". Does this imply that we are required to report the entire amount of deposits eligible for the DCS? Or up to the amount of assets pledged? As an example, suppose that an institution has €500 million of deposits which are eligible for the DCS. Under the DCS, the institution is required to pledge assets equivalent to an established % of eligible deposits. Suppose that the aggregate amount of assets which the institution is required to pledge is €5 million - consisting of €1.5 million in cash and the remaining in bonds. Given the above example, our question is: are institutions required to report the €500 million as a source of encumbrance in F32.04 column 010, row 070 "collateralized deposits other than repurchase agreements". Or the amount to be reported shall be the €5 million?

  • 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_2022
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Definition of encumbrance relating to retained interest of the issuer of securitisations

Does the ‘underlying retained securities’ of a securitization position include retained interest of the issuer as defined in article 405 of CRR? Does the retained interest of the issuer shall be considered as encumbered?

  • 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_2019
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/08/2017

EAD for over-collateralised securities financing transactions under the Financial Collateral Comprehensive Method

For SFTs which are over-collateralised (the collateral received exceeds the exposure thus generating an EAD of zero), how should they be represented in the C07 template, if at all?

  • 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: 2015_2010
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/11/2021

Recognition of contractual netting of legal entities of a group

Could you please specify whether the last subparagraph of Article 295 of CRR ("Netting across transactions entered into by different legal entities of a group shall not be recognised for the purposes of calculating the own funds requirements."), which applies to all three types of contractual netting agreements from point (a) to (c), does not allow recognition of netting for the purposes of calculating the own funds requirements between two members of the same banking group generally (even on a bilateral basis) or netting other than on a bilateral basis between two members of the same banking group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2004
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015