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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

Reporting of securitisations SWAP transactions in C 14.00 and C 14.01

Do the new columns below introduced with Regulation (EU) 2021/451 as amended by Regulation (EU) 2022/1994 (framework release v3.2) need to be completed for securitisations SWAP transactions ? Column 0287 of template C 14.00 : Synthetic excess spread Column 0362 of template C 14.01 : Synthetic excess spread Template C 14.00 Column 0076: TYPE OF EXCESS SPREAD Column 0077: AMORTISATION SYSTEM Column 0078: COLLATERALISATION OPTIONS Column 0254: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: AMOUNT Column 0255: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT It does not seem relevant to us to supply these new columns for the scope of securitisation swaps, in particular when the latter are linked to the nominal loan pool.

  • 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: 2023_6700
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

C66 taxonomy 3.2

Le « livret jeune » doit-il être déclaré dans la colonne 025 du nouveau C66? Should the livret jeune be reported in column 025 of the new C66?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6659
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Capital buffer applicability and validation rule v8714_m

After validation with our local authorities, the company is not subjet to any buffer in COREP C04.00. Once we post the COREP_OF report at NBB, we get an error v8714_m related to capital buffers.  EBA is expecting a value based on the regultory own funds while it is not applicable for our institution. Is is possible to manage the applicability at report level to disable the validation rule ?  

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6637
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Netting for Asset Encombrance

In the context of the assets encumbrance, are we supposed to match the netted amount carried out in the FINREP reporting (according accounting standards)?

  • 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_6607
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Day One Profit calculations

Can the EBA advise please: 1) If the implementation of the IFRS standard should differentiate between observable and unobservable parts of DOP and only defer the latter? 2) If such treatment would be both more accurately reflect the IFRS standard?  3) If such treatment would be materially beneficial for the EBA institutions and how exactly?  4) If above yes, will it work with IFRS to implement it?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6849
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Impacts on Consolidated Group LCR Deposit Categorisation where a Third Country subsidiary utilises a different threshold

As per Article 3 of the LCR Delegated Act, SME deposits are classified as Retail if their balance is <=€1m threshold. Additionally, Article 25 paragraph 2 defines a €500k threshold criteria for Other Retail Deposits. The national law within the UK has specified these thresholds as £880k and £440k respectively.  We would like to confirm if within the consolidated Group return, the outflow weighting should be applied based on the third country subsidiary regulatory definition or applied based on the LCR Delegated Act definition when converted into the Group’s reporting currency?

  • 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: 2023_6812
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Possibility of treating the amounts deposited on the ECB “Marginal Deposit Facility” as liquidity inflow for determination of the Liquidity Coverage Requirement

Confirmation is requested on the possibility of treating the amounts deposited on the ECB  “Marginal Deposit Facility” as liquidity inflow for determination of the Liquidity Coverage Requirement (LCR ratio), based on the provisions of article 32 of Commission Delegated Regulation (EU) 2015/61

  • 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: 2023_6806
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Reporting of significant currencies (> 5%) according to Article 415 (2) (a) CRR

Article 415 (2) (a) CRR says: 2. An institution shall report separately to the competent authorities the items referred to in the implementing technical standards referred to in paragraph 3 or 3a of this Article, in Title III until such time as the reporting obligation and the reporting format for the net stable funding ratio set out in Title IV have been specified and introduced in Union law, in Title IV and in the delegated act referred to in Article 460(1), as appropriate, in accordance with the following: (a) where items are denominated in a currency other than the reporting currency and the institution has aggregate liabilities denominated in such a currency which amount to or exceed 5 % of the institution's or the single liquidity sub-group's total liabilities, excluding own funds and off-balance-sheet items, reporting shall be done in the currency of denomination; (b) where items are denominated in the currency of a host Member State where the institution has a significant branch as referred to in Article 51 of Directive 2013/36/EU and that host Member State uses another currency than the reporting currency, the reporting shall be done in the currency of the Member State in which the significant branch is located; (c) where items are denominated in the reporting currency, and the aggregate amount of liabilities in other currencies than the reporting currency amounts to or exceeds 5 % of the institution's or the single liquidity subgroup's total liabilities, excluding own funds and off-balance-sheet items, the reporting shall be done in the reporting currency. There has to be breakdown by currencies if the 5% condition is met. ITS article 4 sets the reporting thresholds for entry and exit criteria. Does this means that if the 'significant currency' conditions is not met anymore then exit criteria 'three consecutive reporting reference dates' has to be followed? Or institution can stop reporting other currencies as soon as ratio is < 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: 2023_6799
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Other assets/liabilities in the context of NSFR templates (C 80.00 and C 81.00)

Should institutions report as Other Assets or Other Liabilities also the IFRS accounting corrections deriving from the adoption of a macro-hedging strategy on Interest Rate Risk?  

  • 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: 2023_6796
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

NSFR RST accrued interest recognition

In Annex XIII, Part I, point 6 is written, that for reporting purposes, in the columns referred as “Amount” the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR. Also Part II, 1.13 tells that ll non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. But in which time bucket do accrued interest amounts of loans fall into - < 6 months, ≥ 6 months to < 1 year or ≥ 1 year? It seems that they should be included into time bucket '< 6 months'. Read the Question ID: 2013_656, but no clear answer about accrued interest. So could you please clarify this?

  • 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_6668
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

The Max Single Loss and the Top 5 Largest Loss Controls do not consider losses re-allocated from one business line to another.

Taking into account the background described in the present form, should the EGDQ_0088a and EGDQ_0082 be set up as non-blocking? If not, what should be the financial institution’s approach, regarding BBL allocation, on situations where a past loss has increased and is transferred to another BBL between two reporting period?

  • 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_6656
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Definition of off-balance sheet assets under IFR

Should the assets which an investment firm safeguards and administers for clients (ASA) and assets under management (AUM) be included in the off-balance sheet total of an investment firm for the purpose of calculation of 100 million euro threshold set out in Article 12(1) h of IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6635
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 12/09/2023

Aggregation of P&L for Net Interest Income

In Article 22 of draft EBA/RTS/2022/10, it stated to apply 50% to profit when aggregating P&L at currency to get total NII.  If the stress NII at currency level are all profits (as seen in our calculation under +shocks scenario), do I apply 50% to each profit, or profit in one currency should be allowed 100% (if so, should it be the reporting currency, or any chozen currency)? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6819
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 05/09/2023

EGDQ 0364A: Misunderstanding about ITS information in column C80

Could the column 0080 of template C 14.00 be filled with the value 'N' (i.e. 'not applicable')?  

  • 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: 2023_6759
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 05/09/2023

Calculation of loss given default for fully off-balance exposures in case there are no additional drawings after the default date.

According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   In case the exposure is fully-off balance at the moment of default and there are no additional drawings after default, both the numerator and the denominator of the LGD will be equal to zero. This means that the LGD cannot be calculate using the definition stated above. Should the realized LGD be set equal to zero in this case? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6376
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Calculation of amount outstanding at default and loss given default for products in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR)

Article 181(1)(a) of Regulations (EU) No 575/2013 (CRR) specifies that LGDs shall be estimated on the basis of the average realized LGD by facility grade or pool using all observed defaults. According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   For the purpose of calculating the realized LGD, how should the amount outstanding at default (and the denominator of LGD) be calculated for exposures in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR) that are fully off-balance at the moment of default?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6375
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

In the CSRBB framework, the use of a different scope for NII and EVE

In the CSRBB framework, we want to know if banks are allowed use a different scope for NII and EVE.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6836
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Large exposures and guarantee received

Article 400(1)(d) CRR states, among the exemptions from the application of paragraph 1 of Article 395, ‘other exposures (…) guaranteed by central governments (…) where unsecured claims on the entity (…) providing the guarantee would be assigned a 0% risk weight under Part Three, Title II, Chapter 2’. I would like to know whether receiving 0% solvency-weighted securities issued by central governments as collateral makes us fall within the scope of this Article.  In other words, does the fact of receiving such securities as collateral mean that the exposure in question is ‘guaranteed’ by the central government in question under this Article? If so, what are the operational conditions to be met, in particular as regards the maturity of the security vs the maturity of the exposure and as regards any difference in currency between the exposure and the security received as collateral?   L'article 400 1-d du CRR indique, parmi les exemptions à l'application du paragraphe 1 de l'article 395, 'les autres expositions (...) garanties des administrations centrales (...) dès lors qu'une créance non garantie sur l'entité (...) par laquelle elle est garantie recevrait une pondération de risque de 0% en vertu de la troisième partie, titre II, chapitre 2'. Je souhaite savoir si le fait de recevoir en garantie des titres émis par des administrations centrales pondérées à 0% en solvabilité nous fait entrer dans le cadre de cet article.  Autrement dit, le fait de recevoir de tels titres en garantie fail-il que l'exposition en question est 'garantie' par l'administration centrale en question dans le cadre de cet article? Si oui, quelles sont les conditions opérationnelles à respecter, en particulier quant à l'échéance du titre vs l'échéance de l'exposition et quant à une éventuelle différence de devise entre l'exposition et le titre reçu en garantie?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6835
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Deferred tax assets related tax loss due to losses on derivatives in cash flow hedge accounting relationships

In accordance with Article 33(1)(a) CRR, institutions do not include fair value reserves related to gains or losses on cash flow hedges in own funds. Is it correct to also filter deferred tax assets related to the tax loss resulted from fair value reserves related to gains or losses on cash flow hedges?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6831
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Exposure excluded from total exposure measure for the calculation of the leverage ratio

Can the assets that represent funds deposited by a payment institution with the institution, for the fulfilment of its safeguarding obligation under directive 2015/2366 on payment services, be assigned with a risk weight of 0% to the extent they are placed by the institution with a central bank and consequently be excluded from the total exposure measure in accordance with article 429a (1) (c)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6826
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023