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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.

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.

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List of Q&A's

Validation rule v7371 - Securitization Template C 14.00

Should validation rule v7371 be a blocking error in case of a securitisation transaction under a replenishment 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_6397
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v09823

Is the validation rule v09823 correct? How would you understand and interpret the validation 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_6393
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 13/10/2022

Validation rule v1376

Is validation rule v1376 applicable when Achmea Bank amortizes the fee expenses, and the intercompany party does not amortizes related fee expenses? As a result of the amortisation, the intercompany fee expenses is greater than the total fee expenses.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_6390
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

C32_01 template: Fair value changes of the hedged items in portfolio hedge of interest rate risk

Can you lift validation rules eba_v6566_s and eba_v6332_m for row 120 in C32_01 (as you already did for row 200 on the liabilities side)?

  • 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: 2022_6358
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

[none]

When Institutions calculated the value of exposure value pre-CRM according to Standard approach for counterparty credit risk should it consider as for every counterparty there aren't any margin agreement and collateral exchanged (Variation Margin)?

  • 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_6348
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

missing articles accordance into columns 0010 instructions

Does institutions shall use the exposure value before CRM in accordance with only the Article 166 CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6332
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

wrong column in general remarks 3.3.6.1 / 84

Does columns references are correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6333
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/10/2022

Treatment of "not designated elements" for the purpose of computing prudential capital requirements

Our entity will apply IFRS 9 provisions regarding hedge accounting to financial reporting starting from January 2022. IFRS 9 §6.5.15 and §6.5.16 introduce a new type of other comprehensive income: when using hedge accounting, an entity may separate some elements considered as a “cost of hedging”, and recognise them in other comprehensive income as “not designated elements”.  Commission Implementing Regulation 2021/451, in its template-related instructions (1.3 Equity §27), mentions that such elements shall be reported in a dedicated line “Hedging instruments [not designated elements]” for the purpose of FINREP. Specifically, this line is distinct from “Hedging derivatives. Cash flow hedges reserve [effective portion]”. However, cash flow hedge reserve and not designated elements are very similar elements: as an evidence, our entity will transfer amounts currently in cash flow hedge reserve to the new category “not designated elements”. We are therefore wondering the regulatory treatment  of “not designated elements” for the purpose of computing prudential capital requirements.  Cash flow hedges reserve shall not be included in any element of own funds (REGULATION (EU) No 575/2013 §33) Should “not designated elements” treatment be aligned on that of the cash flow hedge reserve ? or should “not designated elements” be included in prudential own funds ?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6380
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Reporting of specific information concerning template C106.01: “Instrument 23”

Our issue and its corresponding question rely on the manner we should report a specific information concerning the template C106.01 “SBM.Risk sensitivities by Instrument” – 2022 benchmarking exercise – based on a constraint of this template regarding the number of lines we can report. That is: “Institutions shall report each combination of Instrument number, Risk identifier (column 0010), Bucket (column 0020) and Additional identifier (column 0030) only once.” Our doubt is linked to the “instrument 23” and to the new benchmarking sensitivities’ template submission. Concretely, we have received a validation due to a negative volatility we reported within the template. The reason is that “instrument 23” Collar component is based on two transactions: a 7.5% Cap and a 2.5% Floor. The Vega Net sensitivity of both transactions (therefore, the Collar Vega sensitivity) is positive, even though one of the transaction’s Vega is positive while the other one is negative. Since the Collar figures must be reported only with one “line”, it forces us to reach a negative Collar FRTB-SA weighted Vega value with the multiplication of a positive Collar Vega sensitivity and a positive “average” volatility, which mathematically speaking is not possible.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2021_6310
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Article 94 (4) discretion on Remuneration

Does the discretion of article 94(3) (a) provide the member states of the EU with the option to set the said threshold to the ultimate minimum (i.e. to set the threshold at zero)? And if the answer to the above question is yes, does the option not to transpose at all the wording of subparagraph (a) described above, effectively set the threshold at zero?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5609
  • Topic: Remuneration
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Reducing the relevant indicator by using expenditure on the outsourcing of services rendered by third parties which are not subject to rules under, or equivalent to the CRR

May the institution use expenditure on the outsourcing of services to reduce the relevant indicator when calculating own funds requirement under the Basic Indicator Approach (according to Article 316 of the CRR) if the outsourcing services were rendered by third parties which are not subject to rules under, or equivalent to the CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5489
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

The potential future exposure of a netting set with bilaterally exchanged collateral

The potential future exposure of a netting set with clients for which collateral is exchanged bilaterally may be decreased to 42%. Is it applicable only if the investment firm is the recepient of the collateral (initial and variation margin) or it can be also applied if the investment firm is the collateral provider.

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on reporting and disclosure requirements for investment firms
  • ID: 2022_6424
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 09/09/2022

Concentration risk and own risk hedging

As per IFR article 36 paragraph 1 investment firm shall calculate exposure value with regard to a client or group of connected clients for the purposes of concentration risk as the exposure value of contracts and transactions referred to in Article 25(1) with the client in question, calculated in the manner laid down in Article 27. The question is whether the concentration risk should be also calculated for financial counterparties (e.g. members of QCCP) who investment firms hedge their own risk with (hedging of positions arising from derivatives with their clients).

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on reporting and disclosure requirements for investment firms
  • ID: 2022_6423
  • Topic: Concentration risk
  • Date of submission:
  • Published as Rejected Q&A: 09/09/2022

Specialised Lending - Interpretation of contractual arrangements that give the lender a substantial degree of control

How shall Article147 (8)(b) CRR be interpreted when identifying ‘contractual arrangements that give the lender a substantial degree of control over the assets and the income that they generate’ in the context of real estate financing?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6501
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Clause of substitution of investor or remarketing for capital or internal MREL

In the context of a bond issued by a subsidiary to the parent company recognized as Own Funds or Eligible Liability, would it be possible to insert a clause of change of control that would allow the parent company, if it is no longer the owner of the subsidiary, to automatically sell the bond to the purchaser of the subsidiary?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6104
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Homogeneously managed exposures

How should “homogeneously managed exposures” be understood for the definition of “type of exposures”, which then in turn defines the scope of a “rating system”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5762
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Is the activity of pension fund administrators included in the "Portfolio management and advice" and thus, pension fund administrators qualify as financial institutions?

Is the activity of pension fund administrators included in the "Portfolio management and advice" and thus, pension fund administrators qualify as financial institutions?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5628
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Applicable remuneration policy

The question relates to members of staff who are classified as identified staff by the group, whose country of employment is a third country, and who are also appointed as non-executive directors (“NEDs”) on the board of directors of a subsidiary credit institution licensed in a Member State (“EU subsidiary”). These NEDs are classified as identified staff for the EU subsidiary but are not seconded to the EU subsidiary and are not paid any form of remuneration or emolument for their directorship on the EU subsidiary. In such case, should the remuneration policy of the EU subsidiary apply to such NEDs even if they do not receive any form of compensation/benefit whatsoever for their role with the EU subsidiary? Whilst in relation to seconded individuals this matter has been clarified in the EBA GLs on sound remuneration policies (EBA/GL/2021/04), it is still not expressly clear whether any such NEDs would also be subject to the EU subsidiary’s remuneration policy. In this case it is reasonably expected that given that such NEDs are not being paid either directly or indirectly for the services they are rendering to the EU subsidiary, the group’s remuneration policy (rather than the EU subsidiary’s remuneration policy) is to apply. It would be appreciated if this point is clarified.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6562
  • Topic: Remuneration
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Clarification on the determination of the relevant currencies

1. How should CSD-banking service providers determine the negative net cumulative positions, which are needed to determine the relevant currencies as referred to in point (c) of Article 59(4) of Regulation 909/2014? 2. In addition, which values should be used to rank the currencies from highest to lowest? 3. Finally, how should the average for currencies without three negative net cumulative positions be calculated?

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)
  • ID: 2020_5364
  • Topic: Market infrastructures
  • Date of submission:
  • Published as Rejected Q&A: 04/08/2022

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