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.

List of Q&A's

Automatic cancellation of commitments qualified as unconditionally cancellable commitments (UCC)

If contractual arrangements of a commitment provide for automatic cancellation due to deterioration in a borrower’s creditworthiness, but the cancellation is not always automatic considering client relationship, can this commitment be considered as an unconditionally cancellable commitment (UCC)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

rho_delta used for aggregation non GIRR Vega sensitivities

In cases where the dimensions of the volatility curve and the underlying curve is not aligned, what should be used a rho_delta for aggregation of Vega sensitivities in such cases? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Validation rules v11886_m and v11887_m

v11886_m states that with regard to C 08.03 {c0050, s0001} = emptyv11887_m states that with regard to C 08.03 {c0070, s0001} = emptyIs it correct that the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB) at total level and that there are no such validation rules for s0002 (FIRB) at total level?When the validation rules v11886_m and v11887_m are only applicable for s0001 (AIRB), why is this validation rule not applicable to C34.07 as well as there the same information is requested? In other words, are the validation rules with regard to the exposure weighted average PD %) and exposure weighted average LGD (%) consistently applied throughout the DPM?

  • 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

ESG P3 - Template 2 and 5 - Sectors to be included for loans collateralized by RRE/CRE

In DPM 3.3 table layout for ESG template 2 (D 02.00a and D02.00b) the information on Energy efficiency associated to real estate collateral is limited to loans&Advances belonging to counterparty sector "Non-financial corporations", which would mean that Loans&Advances to households, or any other sector, collateralized by immovable property would not be included in this template.However, In DPM 3.3 table layout for ESG template for ESG template 5 (D 05.00a), the information related to real estate collateral is not limited to counterparty sector "Non-financial corporations", which would meand that all sectors can be included, generating a difference between what would be published in the two templates.Is this correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Determination of exposure value cap for netting sets subject to a margin agreement.

CRR Art. 274 (3) states that the exposure value of a netting set that is subject to a margin agreement may be capped at the exposure value of the same netting set assuming it would not be subject to a margin agreement. In this context the question arises if variation margin that the institution has already received or posted should be disregarded in order to determine this cap.  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Template 3, Climate Change Alignment Metrics

Regarding the data requirement, should all companies falling under the NACE codes defined in Template 3 be included, or can practicality be applied to specifically target companies for whom the transition risk metric is relevant?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Template 3, Climate Change Alignment Metrics

Does IEA NZE 2050 explicitly provide alignment metrics, including intensity targets for every relevant sector? Furthermore, are these applicable metrics listed, documented and accessible somewhere? If a metric can be determined from IEA NZE 2050, would one metric be adequate per sector?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Treatment of RNIME (Risks not in the model engine) in COREP reporting

What COREP template should be used for the reporting of RNIME? Our NCA has advised us to report RNIME in COREP C02.00 (Own Funds Requirements) row 760, according to Article 3 CRR and the ECB Guidance on Internal Models (chapter Market Risk, page 176, footnote 90), instead of the Market Risk template C 24 MKR IM in accordance with Article 92 (3)(c) CRR.

  • 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

Applying a credit risk mitigation technique for large exposure purposes

Can an institution renounce applying a credit risk mitigation technique (CRM technique) for selected exposures in calculation of capital requirements for credit risk and as a result not apply that technique for that exposures for large exposure (LE) purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Alignment of total funding between FINREP F01.02 and COREP C67.00

What is the correct approach regarding the alignment between the FINREP F01.02 and COREP C67.00 templates as required by the AMM ITS since (1) the scope of consolidation might be different between the two reports and (2) different netting rules can apply between the two reports?

  • 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

on demand and short notice vs. other term loans

Should matured loans with contractually fixed maturities, loans that matures at reporting date or at the next business day after the reporting date and canceled loans be reported as "on demand and short notice" product or as "other term loans" product as they were reported prior the maturity/cancelation? Should contractual (original) maturity or residual maturity be taken into account when determining "on demand and short notice" product? Can the type of product change during the lifetime of the loan? 

  • 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)

Template 1 – Equity instruments

The instructions state “Institutions shall disclose the gross carrying amount, referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of those exposures towards non-financial corporates, including loans and advances, debt securities and equity instruments, classified in the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading or held for sale assets”.In this case, should the definition of equity instruments also include investments in subsidiaries, joint ventures and associates, or should entities consider the definition of accounting portfolios of financial instruments provided by Annex V of FINREP, which specifically excludes investments in subsidiaries, joint ventures and associates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

New EBA Validation rules taxonomy 3.2 in C.14.00 CR SEC Details v7364_m consistency

The information declared in template C13.01 does not exclude the possibility of holding positions in corporate loans for synthetic senior STS securitisations.  However, control v7364_m on template C14.00 restricts the scope of application to SME loan portfolios. Can you change the formula for this control to include corporate portfolios?

  • 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

ESG P3 - Template 1, 5 and 7 disclosure of subsidiaries, joint venture and associates

Does Equity instruments to be reported in Pillar 3 ESG tables include also investment in subsidiaries, joint ventures and associates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Requirement for loan agents to register as payment service providers under EU's Second Payment Services Directive 2015/2366 ("PSD2").

I would like some clarification on Directive 2015/2366/EU (PSD2) Article 4 paragraphh 22 - Money remittance. If a firm performs administrative services (including but not limited to the calculation of interest/fees and principal owing between lenders and a borrower) and as part of this service is required to regularly transfer money between lenders and a borrower (no fee involved), does this qualify as money remittance? No fees are charged for the transfer of money.  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Secure corporate payment processes and protocols and inactivity time period

May the period time of inactivity required by the (EU) 2018/389 - RTS on strong customer authentication and secure communication (hereinafter: RTS on SCA & CSC) Article 4 (3) (d) be changed from 5 minutes to 20 minutes if the exemption based on Article 17 of RTS on SCA & CSC has been granted by the competent authority to the Payment service provider?

  • 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

Reconciliation between Additional Liquidity? monitoring tools (ALMM) and FINREP

We have two questions pertaining to cross reporting controls.Pursuant to regulation re (UE) 2022/1994, C67 template (total of section 1 and section 2) shall be equal to the total of financial liabilities declared in FINREP.However, both reportings must be produced at different deadlines:- C67, as a monthly reporting, shall be submitted at the 15th calendar day after the reporting reference date- FINREP, as a quarterly report, shall be submitted 12 May, 11 August, 11 November, and 11 FebruaryThe mismatch between these two dates makes it impossible in practice to comply with the new requirement and align the C67 with the FINREP on the same reference date. It also creates an unduly excessive administrative burden to systematically resubmit the C67 each quarter once the FINREP has been completed.Therefore, we would like to confirm with the EBA that the requirement means that institutions may use the figures of the FINREP of the previous quarter when performing the quarterly production of the ALMM (example: use of the Q3 FINREP data to report the Q4 ALMM)Does C68 statement also need to be reconciled with the FINREP? If yes, with which quarter end should be used as a reference, and which line should be used?

  • 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

Taps on callable Eligible Liabilities

If a subsequent tap of a callable MREL-eligible instrument (Senior preferred or Senior non-preferred instrument) is priced at a spread higher than the secondary market (i.e., the investor buys the new tap below par) in order to align the tap spread to the initial credit spread and the reset spread (following the tightening of the spreads of the initial tranche in the secondary market), would the reset of the margin at the first call date to the initial spread of the original issue be considered an incentive to redeem as per Article 20 of EBA RTS for Own Funds and Eligible Liabilities requirements for institutions? In case of the presence of an incentive to redeem, would this result in a shortening of maturity of eligible liabilities as per Article 72(c)(3) of the CRR for the tap only or for the full instrument (i.e., both the tap and the original 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

Exposures for trades at QCCPs (excluding initial margin and default fund contributions)

Under CRR Article 306/307 only default fund contributions are seperately calculated as an exposure to a CCP. Initial margin would be recognised within the standard exposure calculation per Article 306(3) as such it is unclear how to populate rows 0020 and 0080 seperately particularly as c0010/r0010 is greyed out and therefore no overall accurate exposure value is populatable. The format of the template seems more aligned to the calculation of EAD by the CCP itself for the purposes of calculating KCCP under Article 50b of Regulation 648/2012. This is particularly the case given the expectations set by validation rule v09847_m. Could you please clarify the correct reporting of these rows? Is it correct for example to report the value of initial margin (post any volatility adjustment and alpha) in row 0080/column 0010 and then just subtract the equivalent amount from the overall exposure to the CCP to report the remaining value in row 0020 such that the sum of the two will equal the total EAD to the CCP and maintain consistency with RWA for c0020? Alternatively should the template be resturctured to show only EAD and DFC rows and populate the full EAD as calculated under the CRR including initial margin in row 0020?    

  • 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

Disclosure of transactions with zero exposure value

Under Article 274(5) and 273 there are circumstances where transactions may have a zero exposure value e.g. netting sets made up entirely of written options or certain CDS transactions. Should these be reported in the C34.02 with values in columns 0020-0140 and then have c0150 onwards set to 0 (or c0170 onwards?) or should they be disregarded from population of values in any columns as there is no requirement to calculate exposure for these transactions. Similarly should they be included in the same C34.03 columns?

  • 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