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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

Collateralized loans below 35% Risk Weight

Could you please clarify whether in case of collateralized loans (collateralized credit claims) the applicable risk weight (based on the CRR standardised approach) used for classifying certain assets in NSFR refers to the risk weight after credit risk mitigation (i.e. considering the collateral) of the loan?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5753
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Reporting of a net reverse repo when the collateral leg has a higher RSF factor

How should we report a net reverse repo (resulting from the netting of SFTs) when the collateral leg has a higher RSF factor?

  • 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_5752
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 26/11/2021

Supervisory delta for commodities with negative prices

Article 279a (1), (a) of the CRR establishes the formula to be used for calculating the supervisory delta of options mapped to all risk categories except for the interest rate category. Can such formula be made compatible with market conditions in which commodities may have negative prices?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5747
  • Topic: Credit risk
  • Date of submission:

Aggregation of separate client exposures for a transaction with underlying credit risk exposure

Is it necessary to group and aggregate all separate client exposures from a single transaction with underlying credit risk to one exposure and, as such, treat this aggregated separate client as a single client exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2021_5746
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Public development credit institution - reporting in Rows 0262, 0263, 0264 of C 47

The instructions for rows 0262, 0263, 0264 of the C 47 template (DPM 3.0) refer to same Articles 429a(1)(d), 429a(2) and 429a(3) of the CRR. Further, the guidelines about public development credit institutions referred to in CRR article 429a(2) are the same, and instructions for the rows 0262, 0263 and 0264 of C 47 are similar. How to distinguish the exposures in these 3 rows?

  • 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_5743
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Calculation of the insufficient coverage for NPEs and capital absorptions related to Pillar 1 requirements on the same exposure

Regarding the applicable amount of the insufficient coverage to be deducted from own funds as per Article 36 (1) (m) CRR, to be determined at exposure level according to Article 47c(1) (b) of Regulation (EU) 2019/630, should the credit institutions applying the IRB approach consider the Pillar 1 capital absorptions already computed for credit risk for the calculation, on the same exposure, of the applicable amount to be deducted from CET 1 as per above, precisely to avoid any double-counting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5739
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2022

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5738
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Validation rule v7378 - securitization templates C 13.01 and C 14.01

Should validation rule v7378 be triggered in case you have 1 entity which leads to a significant risk transfer (SRT) and 1 entity that is not leading to a SRT?

  • 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_5736
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Treatment of expected credit losses (ECL) of financial instruments accounted for under fair value through other comprehensive income (FVOCI)

For debt instruments that are measured at FVOCI under IFRS 9: 1. Do ECL impairments qualify as specific credit risk adjustments? 2. Is the original exposure pre-conversion for the FVOCI debt instrument equal to the carrying value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2021_5735
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Clarification of Value Adjustments according to Art. 111 of CRR2

Should we include in the (C28.00, r010, c190) cell the amount of the valuation adjustment which will be deducted from the original exposure in C28.00 (r010, C110) according to calculations performed under article 111?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5734
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 25/06/2021

Composition of the first and second lines of defence

What are the units composing respectively the first line of defence and the second line of defence?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/05 - Guidelines on internal governance under CRD - repealing EBA/GL/2017/11
  • ID: 2021_5731
  • Topic: Internal governance
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2022

Electronic Identification Process

Please can you clarify the interpretation under Article 13(1)(a) of Directive (EU) 2015/849 (AMLD), in relation to the ability of obliged entities to incorporate innovative solutions and/or electronic tools (such as dynamic selfie verification, biometric tools etc.) into their operations, in the context of performing Customer Due Diligence measures.

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5730
  • Topic: Customer Due Diligence
  • Date of submission:

Application of own fund requirements for position risk (CRR Title IV, Chapter 2) to net positions in securitization debt instruments

How should the effect of the cap in Article 335 CRR be reported in COREP template C 14.01 for securitization positions in the trading book?

  • 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_5729
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

“Triangular ” passport

Are “triangular” passports possible under the current legal framework governing the passporting rights among the EU Member States?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/2055 - RTS on passporting under PSD2
  • ID: 2021_5726
  • Topic: Passporting
  • Date of submission:
  • Published as final Q&A: 06/01/2023

Early repayment upon a common agreement between the issuer and the subscriber

Is a clause in provisions governing the capital instruments allowing that the parties (issuer and the investor) may mutually agree to have the issuer repay, at any time, but not before five years after the date of issuance, totally or partially, the principal amount of the capital instrument compliant with the eligibility criteria for own funds instruments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5720
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 15/07/2022

AVC

Is AVC intended to apply to Multilateral Development Banks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Look-through application under IRB approach

When an institution applies the look-through approach to units or shares of Collective Investment Undertaking (CIU) under the IRB approach and where the institution is allowed to use IRB advanced approach for the underlying credit exposures of the CIU in accordance with Article 148 CRR, can the institution still use the standard approach for those underlying exposures of which obligors are not internally rated and/or for which the information required for own LGD estimation are not available to the institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5712
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Eligibility of minority interests

When it comes to subsidiaries which are institutions or investments firms established in third countries, are minority interests eligible for the purpose of their recognition in prudential own funds as per Article 81 (for CET1) or Article 82 (for AT1 and T2)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5711
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 03/12/2021

FINREP V6301_m: for the rows (010;090;670) the {c010} != empty

How should small institutions, without financial cost, fill in rows 10, 90 and 670 of FI_2 to comply with validation rule v6301?

  • 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_5705
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 25/06/2021

DPM v3.0 NSFR Derivatives

Should only derivatives with a residual maturity < 6 be reported on NSFR templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_5702
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 25/06/2021