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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

Basis of calculation for the DRC for non-securitisations and SBM-CSR for non-securitisations - instruments guaranteed by a guarantor

In the case of instruments guaranteed by a guarantor (such as guaranteed bonds), can that guarantor be used as the basis for calculating the DRC for non-securitisations and the SBM-CSR for non-securitisations? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7231
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 17/01/2025

Basis of calculation for the DRC for non-securitisations and SBM-CSR for non-securitisations – Individual ‘issuers’/‘obligors’ or ‘group of issuers/obligors’?

Do the calculations of the DRC for non-securitisations and SBM-CSR for non-securitisations have to be based on the individual ‘issuers’/‘obligors’, or could these calculations alternatively be based on the concept of a ‘group of issuers/obligors’ consisting of e.g. a conglomerate (and e.g. represented by an ‘ultimate parent’ corresponding to the ‘head of group’ or ‘parent company’)?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7230
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 17/01/2025

Conditions for increasing the margin period of risk (MPOR) used for the exposure value of netting sets with margin agreements.

Article 285 paragraph 3(b) references “OTC derivative that cannot be easily replaced”. By definition “OTC derivative” does not include listed / exchange trades derivatives.  The final sentence of paragraph 3 states “An institution shall consider whether trades or securities it holds as collateral are concentrated in a particular counterparty and if that counterparty exited the market precipitously whether the institution would be able to replace those trades or securities.” Is this is a clarification of 3(b) meaning that the reference to “replace those trades” would be in relation to OTC derivatives? Or alternatively is the reference to “replace those trades” broader than OTC derivatives?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7229
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 31/01/2025

Reporting of customer portfolios managed on a discretionary basis

According to Annex V, Part 2, paragraph 285 (a) of Commission Implementing Regulation (EU) 2021/451 (ITS): '‘'Asset management’ shall refer to assets belonging directly to the customers, for which the institution is providing management.” Since these assets belong to the customers, they are generally not recognized in the balance sheet of the credit institution. It is not clear however if the cash deposited by customers that the institution manages on a discretionary basis should be recognized as a liability. Additionally, if this account would have a negative balance, an asset might be recognized. 

  • 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 (repealed)
  • ID: 2024_7224
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2025

Definition and scope of Asset Under Management

Are assets for which the investment firm provides generic advice services (outside of the MIFID authorisation scope)  to be included in the K-AUM calculation?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7223
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 14/03/2025

FINREP Group Structure Template 40.02

For entities which are consolidated as part of the Group, where a subsidiary of the economic group has legal ownership over these entities, but the group has no legal ownership over that subsidiary. What data should be reported in FINREP template F 40.02?

  • 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 (repealed)
  • ID: 2024_7222
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/12/2024

Consistency of treatment between the technical guarantees that are subject to the Pillar 2 requirement (Supervisory Expectation of the ECB) and the technical guarantees that are subject to the Pillar 1 requirement (Regulation EU 2019/630).

Should the exemption of technical guarantees from the backstop calculation subject to the Pillar 2 requirement) be extended to the technical guarantees subject to the Pillar 1 requirement?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7221
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 20/11/2024

Clarification of allocation of cash flows from floating rate instruments with amortizing principal for evaluating interest rate risk in the banking book using the standardised methodology

How should cash flows from floating rate instruments with amortizing principal be allocated into repricing time buckets under the standardised methodology for evaluating interest rate risk in the non-trading book?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7218
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 21/02/2025

Supervisory Factor for Credit Derivatives with underlying securitization for SA-CCR

The supervisory factor for the credit risk category add-on is to be assigned based on the rating assigned to the issuer of the underlying credit derivative.For securitisations, should the rating of the SPV issuing the various tranches be used or can the rating of the tranche be used? If the SPV is not rated but the tranches are, should the exposure be considered unrated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7216
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

a) Disclosure of Items in Transit balance in FINREP Table 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} b) EBA_v5013 (Type - Error): [F 05.01, F 01.01] Sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) Should be equal to Sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

1) Disclosure of items in transit balance in FINREP Template F 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} Please clarify where the items in transit balances should be reported in Template F01.01 out of the following? a) Other Assets (c0010, r0360) b) Loans & advances at amortised cost (c0010, r0183)  c) Cash on hand (c0010, r0020). 2) EBA_v5013 (Type - Error): [F 05.01, F 01.01] sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) should be equal to sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

  • 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 (repealed)
  • ID: 2024_7212
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/12/2024

Calculation of the EAD in BA-CVA

To compute the BA-CVA, on netting sets for which an institution computes the EAD using its IMM model, can you confirm that the EAD calculated using current market data should be used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7211
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 06/11/2024

Own funds requirement for asset-referenced token issuers

Are issuers of asset-referenced tokens, who are exempt from authorization requirement pursuant to Article 16(2) of MiCAR, subject to the own funds requirement pursuant to Article 35(1) of MiCAR?

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7210
  • Topic: Own Funds (MiCAR)
  • Date of submission:
  • Published as Rejected Q&A: 21/11/2024

C34.10, reporting of rows related to margin information

What is meant to be reported on rows 0070, 0080, 0170 & 0180 of C 34.10: the exposure values of derivatives or the margin information of derivatives?

  • 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 (repealed)
  • ID: 2024_7208
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

FINREP reporting of loans secured by mortgage mandates (Belgium)

Should loans secured by mortgage mandates be reported as 'CRE loan' and/or as 'loans collateralized by immovable property' in FINREP table F 18.02?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7207
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 20/12/2024

Signage of Model Risk Fair Value Adjustments reported in C32.02 (v6575_s)

Model Risk FVAs taken due to market or product factors not captured by a valuation model can be either positive (resulting in a P&L loss) or negative (resulting in a P&L gain). Where the adjustment would result in a P&L gain, it should logically be populated with a negative value. However, validation rule v6575_s states that FVAs reported must be greater than or equal to zero. Please confirm if Model Risk FVAs resulting in a P&L gain should be reported with negative signage in column 0190 of the COREP C32.02 template.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2024_7206
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 20/01/2025

Remaining maturity of the transactions for collateralised transactions

As per CRR Article 162(2)(c)& (d)- This states (as per below). Can the term "remaining maturity" in the below paragraphs be defined as Margin Period of Risk for collateralised transactions and Contractual maturity for un-collateralised transactions? (c)  for exposures arising from fully or nearly-fully collateralised derivative instruments listed in Annex II and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 10 days; (d)  for repurchase transactions or securities or commodities lending or borrowing transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least five days. The notional amount of each transaction shall be used for weighting the maturity;

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR
  • ID: 2024_7204
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 07/03/2025

Are trust services under the scope of DORA, whatever the nature of the services

Financial institutions (EEFFs) subject to the DORA Regulation understand that Trust services, whatever they are, are “ICT services” and therefore their providers (Trust Service Providers / TSPs) are included in the scope of the DORA Regulation. However, these Trust services do not always constitute or are part of an essential or important function for the operation of such entities, but serve for auxiliary or internal functions of the entities.  Let's take the case of an electronic signature certificate used by a representative to sign contracts with suppliers or internal legal documents: is it essential for the continued operation of a bank, and would the suspension of the service significantly affect the authorized activity of the entity?  Another example: could the use of a platform that allows the remote management of electronic notifications sent to EEFFs by public administrations thanks to connectors that allow the entity to be identified with electronic certificates be considered essential for the EEFFs' operations? It is really a tool that facilitates the administrative procedures of the entity and is not part of the services it provides to its customers.    

  • Legal act: Regulation (EU) No 2022/2554 (DORA)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7200
  • Topic: ICT third-party risk management
  • Date of submission:
  • Published as Rejected Q&A: 19/02/2025

Determination of the amount of eligible receivables from trade debtors as well as fees or commissions receivable within 30 days as liquid assets in accordance with Article 43(3) of the IFR

Should the conditions listed in points a), and c) of Article 43(3) of the IFR be applied in the presented order (a), then c)) or to be complied with on a cumulative basis (a)+c))?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7196
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 10/01/2025

Translation risk when calculating total own fund requirements on consolidated basis using the reporting currency of the consolidated institution

How should the overall own funds requirements be calculated in a consolidated situation for institutions or undertakings, for which Art. 325b(4)(b) CRR applies, i.e. if different institutions or undertakings of the group use different currencies other than the reporting currency of the group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7194
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 15/11/2024

Treatment of feature of tranching for mortgage backed securities

Under the US NPR,  the Fed has indicated that because the credit risk is to the agency and not the pool, the tranching doesn't count for CSR purposes, and thus the proper risk class to calculate is CSR_NS (not CSR_SNC). Banks in the US subject to FRTB have been following this convention as part of the Fed's Hypothetical Portfolio Exercise. Does the EU expect to follow this interpretation as well?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
  • ID: 2024_7193
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 08/10/2024