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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.

List of Q&A's

Validation rule v11873_m - Securitization Template C 14.00

Should validation rule v11873_m be amended for securitisation programs under an active 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

C14.00 - v11661_m - Attachment and Detachment points

The EBA Validation Rule v11661_m states that: For all securitization programs (on-balance or off-balance) the attachment point (AP) of the senior tranche must be higher than the detachment point (DP) of the first loss tranche. Should this control be applicable? 

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

Validation rule v11873_m

The formula of EBA validation rule v11873_m is the following: {C 14.00, c0230} + {C 14.00, c0240} + {C 14.00, c0250} <= {C 14.00, c0140} This rule is activated in DPM 3.2 for template C 14.00, and states that the total amount of securitized exposures should be equal to or lower than the amount of notes issued in the senior/mezzanine/first loss tranches. However, depending on the characteristics of the securitization structure and the timing of the notes payments date, the amount of securitized exposures can be either higher or lower than the amount of notes issued.

  • 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

Requirement for loan agents to register as payment service providers under EU's Second Payment Services Directive 2015/2366 ("PSD2").

I would like some clarification on Directive 2015/2366/EU (PSD2) Article 4 paragraphh 22 - Money remittance. If a firm performs administrative services (including but not limited to the calculation of interest/fees and principal owing between lenders and a borrower) and as part of this service is required to regularly transfer money between lenders and a borrower (no fee involved), does this qualify as money remittance? No fees are charged for the transfer of money.  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

The SCA-Exemption for account access based on art. 10 of Regulation (EU) 2018/389 as amended by Regulation (EU) 2022/2360.

We require a clarification with reference to the art. 10 of Regulation (EU) 2018/389 as amended by Regulation (EU) 2022/2360, regarding the meaning of the sentence: “…provided that access is limited to one of the following items online…”.  Does it mean that the 180days exemption is not allowed in case the PSU requires at the same time and in the same request: i) balance and ii) transactions-list of her/his payment account?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

Template 3, Climate Change Alignment Metrics

Regarding the data requirement, should all companies falling under the NACE codes defined in Template 3 be included, or can practicality be applied to specifically target companies for whom the transition risk metric is relevant?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Template 2 - Energy efficiency of the collateral without EPC label

Could you please clarify the objective of columns o and p in rows 5 and 10 as EPC label cannot be estimated and the total is already reported in column a?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Template 3, Climate Change Alignment Metrics

Does IEA NZE 2050 explicitly provide alignment metrics, including intensity targets for every relevant sector? Furthermore, are these applicable metrics listed, documented and accessible somewhere? If a metric can be determined from IEA NZE 2050, would one metric be adequate per sector?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Can Taxonomy eligible but not aligned exposure be included into template 10 “Other climate change mitigating actions that are not covered in the EU Taxonomy”

Question 1: Should this template include ONLY exposure NOT eligible in the EU Taxonomy? OR can exposure eligible in the EU Taxonomy but not aligned be reported as well?   Question 2: supposed the answer for question 1 is: exposure eligible in the EU Taxonomy but not aligned can reported in template 10, can we derive that such exposure will be reported in both the GAR (because eligible and not aligned) and in the template 10?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Pillar 3 reporting obligations

Within the Pillar III disclosures, there are specific sectors that have a handful of dominant companies (3 or less) where the financial institutions have to disclose data for these specific NACEs separately. Would the above Eurostat-confidentiality rules stand within the Pillar III disclosures?

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

Remuneration policy disclosure regarding Management Bodies of subsidiaries of an EU parent institution

We would appreciate the EBA to shed light on the disclosure requirements about remuneration for EU parent institutions for the purpose of the Pillar 3 Disclosure Report and under Annex XXXIV of the Commission Implementing Regulation (EU) 2021/637. Indeed, requirements under the Annex stipulate that information on members of the Management Body disclosed under “Template EU REM1 – Remuneration awarded for the financial year” shall, in accordance with Article 13 CRR, be disclosed on the basis of their consolidated situation. In such case, the disclosure entity will solely reflect, in the columns related to Management Body, information on their own management body while information on the identified staff of the management bodies of subsidiaries shall be disclosed under the relevant business area. We would kindly ask for detailed explanations on how EU parent institutions shall disclose the Management Body members of their subsidiaries in terms of columns within “Template EU REM1 – Remuneration awarded for the financial year” (i.e., under column a/b, c or d) and “Template EU REM5 – Information of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)”.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/637 - ITS with regard to disclosures of information referred to in Titles II and III of Part Eight CRR

Scope of market risk inclusion

Should underlying securities in repo transactions be included in the calculation of own funds requirements for position risk when the firm does not have these securities on the balance sheet (i.e. the firm does not own these securities outright)?

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

Q&A 2022_6520 F 46 EBA_v1226

Where to recognise foreign exchange differences for 0010 (Capital) and c0020 (Share Premium)?

  • 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

Definition of "financial holding company"

Does a financial institution need to have multiple subsidiaries to meet the definition of a financial holding company?

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

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

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

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

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

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

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