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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

Non-retail and term deposits where a flow is expected within 30 calendar days even if the maturity date is after 30 days

What is the treatment of non-retail deposits where the depositor is not allowed to withdraw the deposit or where there’s a significant penalty in case of withdrawal? What is the treatment of non-retail term deposits where an amortizing amount is due and authorized during the LCR period without a significant penalty ? What is the treatment of retail term deposits where an amortizing is due and authorized during the LCR period without a significant penalty ? What is the treatment of deposits on notice where the notice period is greater than 30 days ?

  • 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_6924
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 01/02/2024

Treatment of credit institutions from the UK in terms of limits to large exposures

Is it possible to consider the prudential, supervisory, and regulatory requirements applied to credit institutions located in the UK as at least equivalent to those applied in EU for the purpose of Article 391 of Regulation (EU) No 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6939
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 01/02/2024

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
  • ID: 2023_6958
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 01/02/2024

Mandatory substitution approach according to Article 403 when applying the CCR exposure value calculation as set out in Sections 3 to 5 of Chapter 6 of Title II of Part Three of Regulation (EU) No 575/2013 (Derivatives and Long Settlement Transactions)

Is the mandatory substitution approach according to Article 401 (4) detailed in Article 403 of the CRR to be applied when an institution uses SA-CCR, Simplified SA-CCR or OEM for the derivative business?If yes, what is the amount that the institution shall assign to the protection provider/collateral issuer? Also, what will be considered as original direct exposure value to be reduced by the amount assigned to the protection provider/collateral issuer? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6943
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

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
  • ID: 2023_6935
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

Interpretation of "exposures attributable to a central government" set forth in Article 400 (1)(d) of CRR

In the context of the application of Article 400 (1)(d) of CRR, which sets forth the types of exposures that shall be exempted from the application of Article 395 (1) of CRR, what exposures shall be considered to be attributable to the central government? May a financial institution exempt exposures to state-owned enterprises that i) provide public services, ii) the economic activities of which are subsidized by the state, iii) where the transfer of financial resources is based on legislative arrangements, provided that such exposures - if they were to exist to the central government, that is the entity to which the exposure is attributable, would be assigned a 0 % risk weight under Part Three, Title II, Chapter 2 of CRR? May the application of Article 400(1)(d) be triggered by demonstrating that there is a risk equivalence between exposures to such state-owned enterprises and exposures to central governments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6918
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

Population of Current Market Values for SFTs which are subject to exposure calculations under Chapter 4

The guidance for c0040 and c0050 of template C 34.02 specifies that these should be populated with the 'sum of the current market values (CMV) of all the netting sets with positive [or negative respectively] CMV as defined in Article 272(12) CRR'. Article 272(12) CRR then states 'Current Market Value‧ (hereinafter referred to as 'CMV') for the purposes of Section 5 refers to the net market value of the portfolio of transactions within a netting set, where both positive and negative market values are used in computing the CMV'.It is unclear how to populate these rows for SFTs when there is ineligible collateral under Chapter 4 included within the value of an otherwise legally enforceable netting agreement. 

  • 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_6756
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

validation rules eba_v2822_m and eba_v2823_m

In finrep we report a negative amount in the cell F01.01 R250 C0010 "fair value changes of the hedged items in portfolio hedge of intererest rate risk". According to the validation rule V2823 we have to report this cell in the F32.01 line 120 "other", but if we do so the amount reported in F32.01 line 120 is negative and the AE reporting does not accept negative amounts. Another solution (our preference) is to report it together with the loans reported in F01.01, as the negative fair value in F01.01 R250 concerns a fair value correction on credits. In this case the F32.01 line 120 is positive and accepted, but the validation rules V2823 (check of F32.01 Line 120 with Finrep) and V2822 (check of F32.01 Line 110 with Finrep) are breached.

  • 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: 2023_6871
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

High Earner data collections under CRD and IFD – Asset Management Business Line

Could you please confirm that the « validation rule v09288_m » which control that variable compensation (row0100) ≤ 2 x fixed compensation (row0060) in the REM04 High Earners template (« Final report on GLs on the high earner data collections under CRD and IFD ») should not be applied to Asset Management (col.0050) Business Line for staff Members who aren’t identified as Material Risk Takers as they don’t have a material impact on the consolidating institution - Asset Management applies a specific remuneration framework other than CRD (AIFMD).

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/07 - Guidelines on data collection exercise regarding high earners
  • ID: 2023_6883
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

Consideration of default dependencies for MoC C quantification

Do financial institutions have to incorporate the variability of the macro-economic factor (of the Vasicek model) into the quantification of the MoC C? In other words, do financial institutions have to incorporate default dependencies between obligors into the MoC C quantification?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2023_6794
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/01/2024

Limits to large exposures to a client or group when part of the customer's or group's exposures are covered by the consent referred to in Article 500a

What is a joint limit to the entire group and to exposures in all currencies in a situation where part of the exposure is subject to prior approval from the competent authority issued under Article 500a CRR?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6850
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

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
  • ID: 2023_6947
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

Whether the derogation under Article 500a(2) CRR should also be recognised in Article 395(5) CRR.

Given there is in place the permission under Article 500a(2) CRR specifying higher limits for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, should there in the Article 395(5)(a) CRR be recognised this new value, or should there be used in Article 395(5)(a) CRR the value of the limit specified in Article 395(1) CRR anyway?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6926
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

Pillar 3 ESG Template 3 – NACE sectors scoping

The list of minimum NACE sectors provided in the template includes a combination of level 2, level 3 and level 4 NACE codes. Does this mean that if a NACE level 2 sector is mentioned, all the underlying NACE level 4 sectors are included? Or should only the level 4 NACE sectors explicitly mentioned in the list be included?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6856
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 15/01/2024

Determination of the delta factor for K-TCD

Shall a delta of 1 according to Art. 29 (6) IFR be used for the calculation of the effective notional A) if no option price model has been approved at all or B) where a model for a specific instrument type has not been approved by the competent authorities, while for models of other instrument types there is an approval?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6868
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 15/01/2024

C.34.07 invalid validation rule EGDQ_0802 and EGDQ_0803

The validation ruleEGDQ_0802: The total exposure value ({c0010}) and RWEA ({c0060}) with own estimates of LGD and/or conversion factors ({s0001}) should be equal to the sum of all portfolios with own estimates of LGD and/or conversion factors. and EGDQ_0803: The total exposure value ({c0010}) and RWEA ({c0060}) with own estimates of LGD and/or conversion factors ({s0002}) should be equal to the sum of all portfolios with own estimates of LGD and/or conversion factors.Are incorectly implemented resulting in wrong validation error messages.EGDQ_0802 and EGDQ_0803 have to be looked at simultaneously. Both checks seem to be ''intertwined', resulting in a wrong comparison. The sum over all sheets 'with own estimates of LGD' is compared with the total sheet for 'without own estimates of LGD', and vice versa. The first check I would expect is to sum over all sheets 'with own estimates of LGD' , and compare it with the total sheet for 'with own estimates of LGD'The second check I would expect is to sum over all sheets 'without own estimates of LGD' , and compare it with the total sheet for 'without own estimates of LGD'.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6934
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Definition of elligible capital

Can a parent company give a guarantee to investors of new shares in a bank and back it with their own assets? Or can a sister company invest in a bank? Can a bank lend to a company that already holds AT1 instruments of a bank? If so, is there a deduction? What if that company's investment in the bank is not a significant proportion of its portfolio and the bank's failure would not jeopardise the loan? What if the bank lends to a company that will use the loan to buy the bank's planned issue of AT1 instruments, but the loan is backed by high quality collateral?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6920
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Deductions from Common Equity Tier 1 items

1. Bank owns usd 20 million worth of 18% ordinary shares of a financial institution Alpha Bank. Alpha Bank has also invested usd 12 million to this bank's CET1 in order to artificially inflate the capital of both banks.  When calculating regulatory capital, USD 12 million reciprocal cross-holding was deducted from CET1. Now, when the bank calculates adjustments for investments in the capital of financial entities, should it count the investment in Alpha Bank as 8 million, and even if so, will it be considered a significant investment or an insignificant investment? 2.  Bank has a wholly owned subsidiary, Valeria Ltd, which is a non-financial entity. Valeria Ltd holds 100% of the shares of Karina Insurers, which is a financial institution. Should the bank now consider this as a significant investment (here indirect) in a financial institution and make deductions accordingly, or should the bank consider only Valeria Ltd in deductions (alternatively 1250% RW) as a qualifying non-financial holding? If the first option is the correct answer, should it ignore the investment in Valeria Ltd? 3.  A bank has 100 million CET1 and 10 million AT1 capital. The bank then invests 50 mln to buy 100% of an insurance company that holds the bank's 10 mln AT1. When recalculating the regulatory capital, the bank deducts 40 mln (50 - 100*10%) from CET1 as an investment in financial sector entities above the 10% threshold. Now, when calculating AT1, should the bank make an adjustment to 10 mln AT1 because it is considered an investment in own capital? If so, how much?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6919
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Possible mis-alignment between the Template 7 of Pillar 3 and Template 1 of the EU Taxonomy Article 8 reporting for credit institutions

According to the Template 7 of Pillar 3, credit institutions are required to provide the breakdown of activities that are aligned with the objective of climate change adaptation between "specialised lending, adaptation, and enabling activity". However, Template 1 of the EU Taxonomy (GAR covered assets) doesn't have a column for "adaptation" under the objective of climate change adaptation. Also, the EU Taxonomy uses the word "use of proceeds" in place of "specialised lending".

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6893
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024

Pillar 3 ESG Template 3 – Decarbonization scenarios

Is it allowed to alternatively use reliable scenario sources other than the IEA NZE2050 scenario, which are more specific to certain sectors? Examples are the International Maritime Organization (IMO) decarbonization scenario towards 2050 for the maritime shipping sector and the CRREM 1.5C decarbonisation trajectories for commercial real estate.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6855
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 12/01/2024