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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

Prudential filters to the fair value reserves associated to Cash Flow Hedge

Does the prudential filter established in CRR Article 33(1) apply only to unrealised capital gains and losses?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6580
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

Confirmation of compliance with Article 429b(3c) concerning the interest calculation in Notional Cash Pooling

Can a Notional Cash Pooling which charges or pays interest by using an algorithm which takes into consideration each single current account belonging to the Notional Cash Pooling structure, be considered compliant with art.429b. paragraph 3c of CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6573
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 14/04/2023

QUALIFICATION OF INVESTMENT IN FOREIGN TRADING SUBSIDIARY

Could the EBA confirm that a long position in foreign currency, say in USD (while the Bank’s reporting currency is EUR), stemming only from the Bank’s investment in a trading subsidiary in the US, can be qualified as structural?

  • 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: 2023_6758
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 13/04/2023

QUALIFICATION OF INTERNAL TRANSACTIONS AS "STRUCTURAL"

When considering internal financing in currencies between the Bank’s prudential banking book (“BB”) and the trading book (“TB”), aiming at balancing the balance sheet of both BB and TB, we would be keen to know whether the “banking book leg” of such refinancing could be eligible to the exemption pursuant to art. 352(2) CRR? In particular, could such positions be assumed to hedge/incentivize the CET1 ratio against changes in FX rates while they stem from internal financings between the BB and the TB of the same entity? Could such positions be assumed to be structural?

  • 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: 2023_6757
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 13/04/2023

Calculation of the relative threshold in case specific cases.

How should be calculated the relative threshold for a client who has fees or quotes in default arising from off balance sheet exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2021_6025
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/04/2023

COREP V3.2 – C13.01 – CREDIT RISK: SECURISATION (CR SEC)

The crossing of line 0430 RE-SECURITISATIONS with column 0160 (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data. The crossing of line 0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS with column 0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES, has been opened to data restitution, is this compliant? In the version of the European Commission this crossing did not allow the restitution of data.

  • 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_6705
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP V3.2 - C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the meaning of the 2nd parenthesis for the weighting rate intervals of columns 0071 to 0096, which results in double counting. Example: C0071 [0 – 10%] C0072 [10 – 12%] C0073 [12- 20%] The same weighting rate would be declared in two columns, for example the rate of 12% would be declared in columns 0072 and 0073.

  • 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_6703
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

COREP v3.2, C 19.00

Regulation (EU) 2022/1994 amending the implementing technical standards laid on in implementing Regulation (EU) 2021/451 changes the meaning of the 2nd parenthesis for the weighting rate intervals of columns 0061 to 0103, which generates 'double counting', example below: C0061 [0 – 10%] C0062 [10 – 12%] C0063 [12 -20%] The same weighting rate would have to be declared in two columns, for example the rate of 10% would have to be declared in column 0061 and in column 0062, which is not logical. In addition, column 0083 has been removed from the C19.00 template in the version of Official Journal of the European Union, while column 0104 is maintained. It doesn't seem consistent to us.  

  • 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_6701
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

Deletion of several columns of COREP reports in Annex I

We have noted the deletion of several columns in several templates of Annex 1 of the COREP, detail below:    C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) Delete column 0210 RECEIVABLES C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) NO 575/2013 (CR IRB 5B) Delete column 0040 OBSERVED AVERAGE DEFAULT RATE (%) C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Delete column 0090 EXPECTED LOSS AMOUNT Instructions for this column are maintained in Annex 2 C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) Delete column 0300 LEGAL FINAL MATURITY DATE These deletions of columns do not seem justified to us, can you confirm that these columns are to be maintained in the different templates ?

  • 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_6706
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

Calculation of exposure-weighted average PD (column 0050 in C08.03)

It is not clear from the instructions how the exposure-weighted average PD in template C08.03 (Breakdown by PD ranges) should be calculated.

  • 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: 2021_6062
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 31/03/2023

Eligibility of convertible bonds for MREL

Would a convertible bond (Senior Non Preferred, Senior Preferred or Senior HoldCo) be deemed a structured note for the purpose of MREL eligible liabilities and therefore be excluded from MREL?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5265
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 30/03/2023

Publication of quarterly statistics, according to GL 3 of the “Guidelines on the conditions to benefit from an exemption from the contingency mechanism under Article 33(6) of Regulation (EU) 2018/389 (RTS on SCA & CSC)”

In what concerns the performance and availability statistics that ASPSPs need to make available on their websites in accordance to GL 3 of the “Guidelines on the conditions to benefit from an exemption from the contingency mechanism under Article 33(6) of Regulation (EU) 2018/389 (RTS on SCA & CSC)”, do ASPSPs need to disclose all their quarterly reports since the entry into production of their APIs? For instance, if the ASPSP made their API available in September 2019, does the ASPSP need to have all the reports online since then? If not, is there any recommended timeframe for the reports to be kept available online?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/07 - Guidelines on the exemption from the contingency mechanism under Regulation (EU) 2018/389
  • ID: 2022_6613
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as Rejected Q&A: 29/03/2023

Validation rules v6423_m, v7267_s, v7268_s, v7270_s, v7271_s, v7272_s, v7273_s and v7275_s

How to deal with negative sums in validation rules v6423_m, v7267_s, v7268_s, v7270_s, v7271_s, v7272_s, v7273_s and v7275_s?

  • 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_6091
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as Rejected Q&A: 29/03/2023

Inflows or outflows on open SFT in the LCR computation

Considering the LCR scenario, which sets out a loss of value of collateral within the LCR horizon, should inflows on open reverse repos and outflows on open repos be accounted for in the LCR at the first date of renegociation, when this date falls within the LCR horizon?

  • 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_6699
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Asset amount deducted - Tier 1 capital (Derivatives Cash Flow Hedge)

Derivatives positions can be an Asset or a Liability depending on market situations, while their related CF hedge amount is always a Credit/Debit amount booked on Equity level, thus the CF hedge reserve does not fully match an asset in the leverage ratio. Shall we always deduct the cash flow hedging reserve in Leverage Ratio calculation?

  • 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_6647
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Traetment of precious metals

Could precious metals, such as gold, silver etc., be considered as HLQA, i.e. be included in the LCR buffer? Otherwise, could be precious metas be considered in C66 Counterbalancing Capacity in the residual row "Other tradable assets"?

  • 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_6726
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Secured central bank lending and liquidity buffer adjustment

How to approach unwinding mechanism according to Article 17 (2) of Commission Delegated Regulation (EU) 2015/61 in case institution uses retained covered bonds as a collateral for securities financing transaction where counterparty is domestic central bank?

  • 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: 2022_6639
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Reserves held by the credit institution in a central bank

How to report a negative eligible withdrawable amount in LCR template 72 row 050 ID 1.1.1.2. Item Withdrawable central bank reserves Amount/Market value column 010. For example Central bank balance:                                1,659,504 Minimum reserve:                                      2,323,727 Total withdrawable central bank reserve:     - 664,224   There are two EBA validition rule which indicates that withdrawable central bank reserves Amount/Market value should be >= 0. EBA v7683_s. : [C 72.00.a (All rows, c0010)] {C 72.00.a} >= 0. EBA v7681_s: : [C 72.00. r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470, c0040)] {C 72.00.a} >= 0

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6722
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023

Inclusion of products accounted at fair value in the net interest income

Should products accounted at fair value be included in the net interest income measure plus market value change when the fair value of the product is based on expert say and is therefore independent of the level of interest rates ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/14 - Guidelines on interest rate risk arising from non-trading book activities
  • ID: 2023_6727
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/03/2023