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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 Negative Fair Value Hedge Adjustments as exposures

How should the fair value hedge adjustment amounts be reported in template C 08.01 in Annex I of Regulation (EU) 2021/451? Is it acceptable to report the exposures on row 0170 ‘Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights’? Consistently, should EBA validation rules v0330_m, v0333_m, v0334_m, v10312_s and v10485_s be amended in a way not to trigger validation errors in cases where the fair value hedge adjustment amounts get negative values?

  • 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_6575
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Deactivating Validationrule v10549_h

The validation rule v10549_h should be deactivated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6313
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Reporting of IRB exposures in the form of units or shares in Collective Investment Undertakings (CIUs) treated under the Fall-Back Approach (FBA)

When applying the credit risk IRB approach, in which template and field shall institutions report exposures in the form of units or shares in CIUs treated under the new FBA (pursuant to Article 152(6) CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2021_6040
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 03/03/2023

Own Funds Requirement (OFR) calculation without permission to use articles 325 and 352(2) CRR permission/exemption.

How should institutions, without both the permission referred to in article 325 of the CRR and the permission referred to in article 352(2) of CRR, compute, on a consolidated basis, the overall net foreign exchange position (“ONFEP”), according to article 352(1) of the CRR and subsequent amount of own funds’ requirements for market risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2022_6658
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Inclusion of instruments in aggregated portfolios

In Annex 5, when calclulating risk measures for an aggregated portfolio, an instrument should enter the calclulation only once or each time it forms an individual portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6696
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Time horizon for partial expected shortfall calculation

According to Article 325bc(1) CRR, the Partial Expected Shortfalls (PES) used for the ES computation are determined by applying scenarios of future shocks with a 10-days time horizon. Are 10-days shocks mandatory or are other time horizons rescaled allowed? (Typically, is the use of 1-day shocks rescaled to 10-days horizon permitted?)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6698
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 01/03/2023

Calculating risk-weighted exposure amounts under the standardised approach for exposures guaranteed by a Member State’s central government denominated in the domestic currency of that central government when the exposure is denominated in a different currency that is the currency of another Member State

For exposures guaranteed by a Member State’s central government where the guarantee is denominated in the domestic currency of that central government, the central government as protection provider shall be assigned a 0% risk weight if the exposure is denominated in a different currency that is the currency of another Member State?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6660
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

Use of credit insurance as credit risk mitigation under the standardised approach for credit risk and application of the CRM eligibility requirements to certain clauses which are typical for credit insurance contracts

Does the inclusion of a general exclusions clause (including for example, an exclusion for losses caused by a so-called nuclear event, war or a loss as a result of a fraud or dispute) in a credit insurance contract render the contract non-compliant with the credit risk mitigation (CRM) eligibility requirements for guarantees in CRR, in particular Article 213(1)(c)(iii) CRR, assuming all other conditions have been fulfilled?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4669
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

Leverage - Traditional securitisations under article 244 (recognition of significant risk transfer) that should be included within the scope of article 429a paragraph 1 point m

Under Article 429a §1-m of CRR2, institutions may exclude from their total exposure measure the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer (SRT), as per article 244(2).  May institutions also exclude from their total exposure measure the securitised exposures from traditional securitisations that are referred to in article 244-1-b) i.e. the securitisations under the 'full deduction' option where the originator institutions apply a risk weight of 1 250% to all retained securitisation positions or where these retained securitisation positions are deducted from Common Equity Tier 1 items in accordance with Article 36(1)(k) of the CRR ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6702
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

Exposure to multilateral development banks

What are the criteria to be assigned a 0% risk weight by the EU under this regulation?  What is the process to apply to be assigned a 0% risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6680
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

Own-conversion factor estimation for fully-drawn facilities

Are observed defaults of credit facilities that are fully-drawn at reference date in scope for estimation of own-conversion factors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6567
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Foreign Exchange Risk – Interest Rate Swaps and Forward Rate Agreements in C 22.00

Are Interest Rate Swaps and Forward Rate Agreements, where only one currency is involved, relevant for reporting FX risk in the template C 22.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6357
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Treatment of expected credit losses (ECL) of financial instruments accounted for under fair value through other comprehensive income (FVOCI)

For debt instruments that are measured at FVOCI under IFRS 9: 1. Do ECL impairments qualify as specific credit risk adjustments? 2. Is the original exposure pre-conversion for the FVOCI debt instrument equal to the carrying value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2021_5735
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Derivatives - Forward foreign-exchange contracts - RC under IFR

Under Article 28(a) for derivative contracts, RC is determined as the CMV, and according to Article 4 (36) current market value’ or ‘CMV’ means the net market value of the portfolio of transactions or securities legs subject to netting in accordance with Article 31, where both positive and negative market values are used in computing CMV By CMV (and than also RC) do you mean "net position" * "current exchange rate"?  

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6620
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Reporting of critical external providers in template Z 08.00

Does a critical external / third-party provider to a service provider which is not indicated as relevant and listed in template Z 01.00 have to be reported in template Z 08.00?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans
  • ID: 2022_6428
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

M 02.00, r0490 - SNP issued by EU small banks only

Should we limit our reporting to SNP issued by EU small banks only?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6294
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Inclusion of netted derivative positions in maturity profile in MREL template M 06.00

How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6288
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Validation rules v10817_m for MREL/TLAC

Is it correct that validation rule v10817_m considers r0550, c0010 of template M 03.00?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
  • ID: 2021_6275
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Resolution planning reporting (RES), validation rule v09343_a

How should validation rule v09343_a be used?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/1624 - ITS on the provision of information for resolution plans
  • ID: 2021_6090
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Beneficial ownership on Securities Financing Transactions (SFTs)

Is the beneficial ownership the only criterion to be followed for the treatment of securities financing transactions (as stated in Article 428p (2) and Article 428p (3)), even when its application would not be coherent with the accounting rules (as stated in Article 428c (2))? Moreover, as stated by Article 428p (3), for repos, in which the bank has no beneficial ownership on the collateral, would it be correct to report only the ASF impact of the cash leg, without reporting also the impact of the collateral leg (i.e., the encumbered security) on RSF and, by doing this, treating repos like unsecured funding transactions?

  • 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_6655
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023