Search for Q&As

Enquirers can use various factors to search for a Q&A:

  • These include searching by the Q&A ID; legal reference, date submitted, technical standard / guideline, or by keyword if known.
  • Searches can be extended to more than one legal act, topic, technical standard or guidelines by making multiple selections (i.e. pressing 'Ctrl' on your keyboard, and selecting the relevant ones from the drop-down lists by left mouse-click).

Disclaimer:

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.

Final Q&As Q&As under review Rejected Q&As Archived Q&As All Q&As

List of Q&A's

Interaction between (i) CET1 deduction for minimum coverage on NPE and (ii) REA calculated under IRB-Advanced

In accordance with CRR art. 36(1)m and 47c the amount of insufficient coverage for non-performing exposures is to be deducted from CET1. Simultaneously the CRR requires institutions to calculate risk weighted exposure amounts (REA). This may result in a situation whereby for a given exposure the underlying risk is double-counted, once through available funds (deduction of CET1) and once through required funds (REA). Such double-counting is not intended, as also recognized in art. 67 of the ‘EBA REPORT ON STATUTORY PRUDENTIAL BACKSTOPS’. W.r.t. exposures under the IRB-Advanced approach the ‘EBA REPORT ON STATUTORY PRUDENTIAL BACKSTOPS’ further states in art. 69 that ‘In this respect Article 151(1) CRR clarifies that no own fund requirements should be imposed on parts of exposures that have already been deducted from CET1 while parts of exposures that have not yet been deducted from capital should still be risk-weighted to address any unexpected losses.’ While based on CRR art. 151(1) it appears clear that in theory only the exposure remaining after partial CET1 deduction (due to CRR art. 47c) is still to be risk weighted, clarification is sought on how exactly the risk weight on parts of a non-performing exposure is to be calculated in practice under the IRB-Advanced approach. Assume an exposure of 1000, under IRB-Advanced. Both the provision and the ELBE are equal to 300 (30%), while the LGD is equal to 500 (50%). In accordance with Art. 153(1) and 154(1) the REA is then calculated as 1000 * max(0, 12.5 * (LGD – ELBE)) or a REA of 2500. Now assume a minimum coverage expectation in line with art. 47c of 70%, i.e. 700. The resulting insufficient coverage thus equals 400, which is deducted from CET1. Remaining exposure to be risk weighted is 600. How to calculate the REA on this 600 given that ELBE and LGD were modelled based on an original exposure of 1000? Is our understanding correct that the REA on the remaining exposure is intended to be zero as provisions and CET1 deduction combined already exceed the (downturn) LGD? I.e. REA is only required for the 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6496
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Exclusion of intragroup transactions with entities in third country from the CVA risk charge

May a transaction towards an entity of the group be excluded from the CVA own funds requirements under Article 382(4)(b) CRR, when such entity is established in a third country, and for that third country, an equivalence decision under Article 13(2) of Regulation (EU) No 648/2012 has been adopted by the Commission only in relation to certain part of respective requirements?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6495
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/09/2022

Treatment of multi-seller securitisations in CRR

It is not clear from the provisions of the CRR how to treat multi-seller securitisations.  Multi-seller securitisations are those securitisations where there is more than one originator. That is, the underlying pool of the transaction comes from more than one single entity and the originators retaining the securitisation positions are exposed to the risk of the joined portfolio and not only to the risk of the portfolio they have transferred to the SSPE.  In those cases: Should  each originator be considered as such and consider that the significant credit risk associated with its securitised exposures has been transferred to third parties in accordance with Article 244(1)(a), and therefore originators should treat their retained securitisation positions as a positions subject to the securitisation framework? Or should all the originators be considered as investors in the securitisation due to the fact that the proportion of the assets that each originator has transferred to the SSPE represents a minimum share of the overall portfolio in the SSPE?   Would that treatment also apply in those cases where the originators retain all the asset backed securities issued in the securitisation (liquidity purpose securitisation)?   Would the originators be considered as such for the purpose of the overall cap under Article 268?   Should any dominant entity contributing with a majority of assets in the pool be subject to the general SRT rules and the rest of originators be considered as investors? Which percentage should be considered to trigger such a dominant position?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6494
  • Topic: Securitisation and Covered Bonds
  • Date of submission:

Treatment of Non Retail deposits (with a residual maturity of less than 30 days where payout has been agreed) on the LCR outflows template.

We would like to confirm where Non-Retail deposit balances, with a residual maturity of less than 30 days where payout has been agreed, should be reported on the LCR outflows template?  There is no specific row on the outflows template for these balances to be reported. In order to receive 100% outflow weighting should they be included with the Retail balances in Row 1.1.1.2?

  • 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: 2022_6493
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is the reporting requirement of L – Real estate activities also covering residential immovable property or is it only commercial immovable property? We are uncertain since it is stated in point 7 on page 10 in Annex XL that it is exposures to non-financial corporations. However, in reporting according to the Disclosure Delegated Act residential immovable property is included.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6492
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

Validation rule v09762_m, checks that the LGD (c0070) should be less or equal to 100% in template C 08.03 (CR IRB 3)

According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”. This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”. However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel this rule? According to the formulae v09762_m : {c0070} <= 1 in C08.03 “CR IRB 3”. This control checks that the LGD (c0070) should be less or equal to 100% in C08.03 “CR IRB 3”. However, according to the art.132 - EBA/GL/2017/16 - 20/11/2017 the process of quantifying LGDs, does not allow for the explicit consideration of discounting effects and recovery costs in the calibration. It is normal to obtain LGD levels higher than 100% in the riskiest buckets, taking into account the recovery costs and the discounting effect. So the formulae rule cannot be respected. Could you please therefore cancel 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: 2022_6491
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Template 1: banking book (prudential disclosures on ESG risks)

Is it correct that the institutions shall only use NACE codes to classify the gross carrying amounts, and this is different from the scope in the reporting according to Article 8 of the Disclosures Delegated Act where the reference to NACE sectors is only indicative?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6490
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 20/10/2022

The question concerns the definition of payment services and in particular the definition of execution of payment transaction.

1. Is an (international) non-profit association, acting as netting centre in the framework of a multilateral netting agreement entered into between its members, that receives and forward funds to and from its members through a bank account opened in its name deemed to carry out payment services falling within the scope of Article 4 (3) of Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC ("PSD2") (e.g. the execution of payment transaction or money remittance)? 2. If the netting center is deemed to carry out payment services, can the netting centre rely on exclusion of Article 3(n) of PSD2, i.e. "payment transactions and related services between a parent undertaking and its subsidiary or between subsidiaries of the same parent undertaking, without any intermediary intervention by a payment service provider other than an undertaking belonging to the same group"?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6489
  • Topic: Authorisation and registration
  • Date of submission:

Netting of FSE holdings

Scope of EBA Q&A 2019_4517 with respect to trading book positions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6488
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Netting of Financial Sector Entity (FSE) holdings

Is there a requirement to establish an additional credit risk exposure in case FSE deduction amounts are reduced by netting with eligible short FSE positions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6487
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Netting of Financial Sector Entity (FSE) holdings

Is there a requirement to establish an additional credit risk exposure in case Financial Sector Entity (FSE) deduction amounts are reduced by netting with eligible short FSE positions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6486
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Section 3: Delta Plus Approach

I’m using the delta-plus approach to calculate our own funds requirement for gamma risk which seems to be generating an excessive capital requirement relative to the overall notional value of the option contract. Using the example of a short call commodities option. Position:        -1000 K Strike ($):     3490 Delta:             -0.4072933 Gamma:         -0.005789126 Underlying ($): 3319 The formula to apply is as follows: VU: for commodity options or warrants is equal to the market value of the underlying, multiplied by the weighting indicated in point (a) of Article 360.1 of Regulation Regulation (EU) No 575/2013 Weighting:  15% VU = (1000 x -0.4072933) x 3319 x 0.15 = -$202,770 Gamma Risk = 0.5 x -0.005789126 x 202770^2  = $119,013,043 Notional Value of Contract = -1000 x 3490 = $3,490,000 GR/NVC Multiple = 34.1 or 3410% Please can you confirm my application of Annex1 – Formula to be used for the purposes of Article 5(2).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6485
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Capital increase without the issuance of new shares

Is a capital increase without the issuance of new shares in scope of article 26(3)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6484
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

French “EU General Fund” instruments issued by Life Insurance companies: Application of Financial Collateral Comprehensive Method and implication for Large Exposures.

How should EU General Funds instruments issued by Life Insurance Companies in France, characteristics of which are described in background section, be treated in relation to: Credit Risk Mitigation (CRR Part 3, Title II, Chapter 4); Large Exposure Framework (CRR Part 4).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6483
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2022

Cross-gamma impact included in the gamma impact?

In determination of the Own funds requirements for gamma risk according to the Delta-plus approach, should institutions take account of cross-gamma effect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2022_6482
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Reading of the term "means of payment"

What are the 'means of payment' in the LNE Guidelines (guidelines 1.6 and 1.7)? Does the term refer to the technological level of a physical device or a digital carrier, which may accommodate several payment instruments, such as plastic card (chip or magnetic stripe), a mobile phone, a wallet, an app, a wearable, a tablet, a PC or even a specific storage location on an external server? Please provide examples of 'other means of payment' that are relevant in practice from the EBA's perspective. How is the definition of payment instrument according to Article 4(14) PSD2 to be read in the context of the LNE Guidelines? Is the interpretation of the adjective “card-based” (in combination with means of payment) in line with the same adjective in combination with payment instruments according to Article 2(20) of Regulation (EU) 2015/751 (“IFR”)?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/02 - Guidelines on the limited network exclusion
  • ID: 2022_6481
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 29/09/2023

v7380_m and v7381_m

Because of validation rules v7380_m and v7381_m, we perform a check on the computation of the RWEA to ensure consistency of RWEA reported on securitisation transactions between templates C 13.01, C 19.00, C 20.00 vs. C 14.01. To comply with rule EGDQ_0362h_5, it is expected that there are no RWA being reported in template C 14.01 for any securitisation position on underlying identified as 'Covered Bonds' or 'Other liabilities'. How can we fulfill v7380_m and v7381_m, where we have securitisation positions with underlyings identified as 'Covered Bonds' or 'Other liabilities', so that we did not report any RWA in template C 14.01 as requested by rule EGDQ_0362h_5?  

  • 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: 2022_6480
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Credit conversion Factor (CCF) reporting

Our concerns would apply to almost all IRB templates (i.e. COREP C 08.01). What would be the correct option?

  • 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: 2022_6479
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

C 14.00 - Consistency of v7667_a

Is the validation rule v7667_a consistent with the ITS?

  • 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: 2022_6478
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

Calculation of RWA for assets that are deducted from own funds

As a follow-up question to Q&A 6106, what would be the appropriate risk weight to be used for the purposes of col 0030 'RWEAs: SA exposures' in the case of assets that are deducted from own funds?

  • 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: 2022_6477
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 03/05/2024