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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

Warning in COREP C07.00 (CR SA) template validation regarding column 040 and column 110

Does COREP C07.00 template expect “Exposure net of value adjustments and provisions” in row 070 column 040 to match with “Net exposure after CRM substitution effects pre conversion factors” row 070 column 110? If yes, then how should the effect of CRM in column 050-100 be reported in C07.00 template?

  • 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

Validation rules V08993_M and V08988_M

The below (linked) validation errors were received on the funding plan reporting: V08993_M: (P 01.02, r145, c010) = xsum((F 08.01.a, (r070, r080, r090, c010, c020, c030, c034, c035))) => The vaildation rules compare the outstanding amount under central bank deposits in the FP template (P 01.02) to the carrying amount of central bank deposits in the FINREP template (F08.01.a V08988_M: (P 01.02, r010, c010) = xsum((F 08.01.a, (r100, r150, r200, r250, r300, r350, c010, c020, c030, c034, c035))) => This vaildation rule compare the outstanding amount under repurchase amounts in the FP template (P 01.02) to the carrying amount of repurchase agreements in the FINREP template (F08.01.a)   The Funding Plan instructions specifically mention that the ECB TLTRO should be reported in row 010 of template P 02.02 (Guideline EBA/GL/2019/05). Funding received through central bank funding programmes such as the ECB TLTRO shall be reported in this row independent from the legal form of this transaction, i.e. whether conducted as repo transaction or otherwise. Following validation rule v4135_m, which connects the item in P 02.02, r010 to item P 01.02, r010 (Repurchase agreements), the TLTRO is reported as a repo transaction in row 010 of template P 01.02 in the Funding Plans.   The Finrep instructions (Annex V) define repurchase agreements as transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered repurchase agreements. Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral, and amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement. In our case the TLTRO is performed using the securities of the banks as collateral. However, the banks does not sell securities to the central bank with an agreement to buy them at a later date. As a collateralization technique the central bank uses a pool of assets. A counterparty includes eligible marketable assets in the pool of assets at the central bank by ensuring the maximum pledge on such assets in favour of the central bank. Individual assets are therefore not linked to specific credit operations. Such credit operations are therefore reported in Finrep as Deposits with agreed maturity. Following the above TLTRO is reported differently in Finrep (as a deposit with agreed maturity) as in Funding plans (as a repurchase agreement). Do we have to report the TLTRO operations in Finrep as repurchase operations?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/05 – Guidelines on harmonised definitions and templates for funding plans of credit institutions under Recommendation A4 of ESRB/2012/2 - repealing EBA/GL/2014/04

Validation rule v8727_m seems to be incorrect

Validation rule v8727_m is incorrect.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR

Application of Risk Retention Requirements to securitisations which underlying assets are real estate or registered movable assets

Does the provision of Article 6(1) of the SecReg apply to securitisations carried out pursuant to Article 7.2 of the Italian Securitisation Law?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Effective notional amount of bucket 3 in formula for interest rate risk category add-on

Article 280a(3) of the CRR establishes the formula for effective notional amount of hedging set j for calculating the interest rate risk category add-on. Shall the square value of the effective notional of bucket 3 be included in the formula?  

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

SF factors

We found possible inconsistency in CRR texts related to required stable funding for level 2B securitisations notably articles 428z and 428ab

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

FCCM volatility haircuts for eligible rated and unrated securitisation collateral

Does the FCCM approach apply to unrated senior securitisation tranches that qualify as eligible collateral?  If so, which supervisory volatility haircuts apply since there is no CQS associated with these under Sec-SA? In addition, the new securtisation mappings of ECAI ratings to CQS 1-17 have not been translated into Table 1 of Article 224, which continues to refer to CQS 1-4 seemingly under the old securitisation rules, which do not reflect maturity and tranche seniority.  Which supervisory volatility haircuts apply under the new CQS mapping for rated securitisation tranches?

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

Classification of derivatives on precious metals without physical underlying under SA-CCR

For Credit Risk calculation and in order to classify derivatives into the proper Risk Category (Commodity vs. FX Risk) under SA-CCR. Can you please advise on the category to use when derivatives on Gold do not have physical underlying ? Example with a Gold Option for which only the currency for Gold is used (XAU) and where Gold is physically not existing. Also, can you please advise if the same logic have to be applied for other precious metals (not physical) like Silver or Palladium ?

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

Direct and indirect funding of capital instruments

Is Article 9(1)(c) of Commission Delegated Regulation 241/2014 (RTS) applicable to the funding granted to a borrower that passes the funding on to the ultimate investor for the purchase of an institution’s capital instrument which had been issued and acquired before the funding was granted (e.g. refinancing of the purchase)? The same issue may be raised with reference to Article 8(2) and 8(3) of RTS.

  • 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

Prudential consolidation: definition of “unified management”

Article 18(3) CRR covers cases of prudential consolidation of groups of undertakings that are related to each other within the meaning of Article 22(7) of Directive 2013/34/EU of the European Parliament and of the Council where a parent-subsidiary relationship does not exist. The absence of a parent-subsidiary relationship creates the need to determine the entity at which level the requirements of that Regulation should be applied on a consolidated basis in such cases. Article 22(7) of Directive 2013/34/EC refers to the case where  a) two or more undertakings which are not related, as described in paragraphs 1 or 2 of Article 22, are managed on a unified basis in accordance with a contract, or a memorandum or articles of association; or b) the administrative, management or supervisory bodies of two or more undertakings which are not related, as described in paragraphs 1 or 2 of Article 22, consist of the majority of the same persons in office during the financial year and until the consolidated financial statements are drawn up. To what extent is unified management required to be considered linked for purposes of these provisions?

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

Recognition of a CRM provided by a guarantor treated under A-IRB on a securitization position treated ender SEC-SA

For the recognition of unfunded credit protection on securitisation positions, should institutions apply on the protected portion the approach that they would apply for a direct exposure on the protection provider regardless of the approach applied on the securitization position ?

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

Consent solicitation to change the contractual ranking of an instrument to avoid so-called “infection risk“ posed by legacy instruments

Would a consent solicitation to amend the T&Cs of a legacy capital instrument (Tier 1 or Tier 2) in order to ‘promote’ an instrument in the subordination hierarchy entail the instrument to be deemed as a new issuance?

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

Consent solicitation to introduce a contractual recognition of bail-in in Terms of Conditions (T&Cs) of capital instruments and MREL eligible liabilities

Would a consent solicitation to amend the T&Cs of a capital instrument (AT1, Tier 2) or MREL eligible liability (Senior Non Preferred, Senior Preferred or Senior HoldCo) in order to introduce a contractual recognition of bail-in be deemed a ‘material change’, in which case the amended instrument would be deemed as a new issuance?

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

ValidationRule v11073_i

According to this validation rule v11073_i, the sheet's I 01.00 row 0090 C 0010 should be equal to the row 160 c0010 of the template C 01.00. In our opinion this VR should not be satisfied because the  row 0090 C 0010 is referred to the "Accumulated other comprehensive income" which is different from the  row 160 c0010  of the Corep "Profit or loss attributable to owners of the parent". These two cells have the same DPVID but the regulatory norms are differents. In the Corep the information about the "Accumulated other comprehensive income"  is reported in the row 180 instead of 160.  Looking also at the Annex of these two rows, it's possible to observe that  the article of the row 180 is the same  of the row 0090 C 0010 of I 01.00, both in fact refer to the Article 26(1), point (d) of CRR. Instead, the row 160 refers to another article, Articles 26(2) and 36(1) point (a) of CRR.   

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Aggregation of curves in the case of real interest rate curves (linked to inflation)

When calculating the supervisory outlier test, in the case of real interest rate curves, (i.e CLF, IGPM, IPCA, UVA, CER, UDI…), how should these factor risk be treated?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/02 - Guidelines on the management of interest rate risk arising from non-trading book activities

Capital requirements for regular-way transactions during the settlement cycle

How shall regular-way transactions be treated during the settlement cycle, in particular where the settlement cycle is shorter than for long settlement transactions? Is the treatment of such pending settlement transactions different for trade date accounting vs. settlement date accounting?

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

Use of Initial Margin (IM) posted by a Client as risk-mitigating effect in the calculation of the own funds requirement for CCP transactions the Clearing Member bank has with that Client

If a clearing member collects Initial Margin (IM) for client cleared trades and his collateral is passed to a QCCP, may the Clearing member recognise this collateral (IM) as risk-mitigating for calculation the fully adjusted value of the exposure (E*) according to CRR Art 223.5; independently of the method used to calculate the exposure ?

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

Calculation of the maximum risk weighted exposure amount (RWEA) for securitisation positions in accordance with Article 260 CRR [prior to Regulation 2017/2401]

How shall specific credit risk adjustments made on securitised defaulted exposures treated in accordance with Article 110 CRR be recognised in the calculation of the maximum RWEA in accordance with Article 260 CRR [prior to Regulation 2017/2401]?

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

Calculation of distributable items for Additional Tier 1 instruments which is inconsistent across the EU

Art. 52 (1)(l)(i) Regulation (EU) No 575/2013 (CRR) refers to ‘distributable items’ as defined in Art. 4 (128) CRR which refers further into applicable national law and the statutes of the institution. Does such reference also consider items that are non-distributable under applicable national law or the statutes of the institution only for common stock or, alternatively, only following a net assets or insolvency related test?

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

Prudential treatment of extraordinary ex-post contributions to resolution funds pursuant to Article 104 of the BRRD

Can the extraordinary ex-post contributions to resolution funds provided for by Article 104 of the BRRD be considered as any of the off-balance sheet items mentioned in Annex I of the CRR ?

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