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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

MREL – reporting of the impact of general prior permissions

Reporting entities should deduct the pre-determined amount of a general prior permission for eligible liabilities instruments from the amount of their eligible liabilities from the moment the authorisation is granted. Against this background, how should this deduction obligation be reflected by the reporting entities in the reporting templates to be submitted in accordance with Regulation (EU) 2021/763?

  • 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: 2022_6576
  • Topic: BRRD Reporting
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Disclosure of Template CR2 where NPE threshold of =>5% has not been breached

As per the mapping tool provided by the EBA, the Pillar 3 Disclosure Templates - 'CR2' is mapped to FinRep Template 24.1. This particular FinRep template is only reportable where the ratio of gross carrying amount of non-performing loans and advances divided by the total gross carrying amount of loans and advances subject to the definition of non-performing according to Article 47a of the CRR is equal to or higher than 5%. One therefore would assume that the 'CR2' Pillar 3 Disclosure template is not required unless the threshold is breached. However, Article 9 within the Pillar 3 ITS appears to imply that that 'CR2' is required regardless of the threshold by large institutions, as called out specifically as part of Point 1(e) of Article 9, This is also apparent in Point 3 of Article 9, where 'CR2' is not mentioned within the paragraph concerned as being a template that is determined for disclosure depending on the threshold. Can the EBA confirm the position on the same, given the requirement from the reporting perspective.

  • 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
  • ID: 2022_6524
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Consideration of STS in synthetic securitisations

When a synthetic securitisation fulfills STS criteria (Article 243(2) CRR), are all its tranches considered STS in the RWEA calculation and in COREP reporting, or only the senior tranche?  

  • 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_6499
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Reporting of certain COREP templates by entities with deviating accounting year end

Can the reference dates for reporting COREP templates C 08.03 to C 08.07, C 34.07 and C 34.11 be adjusted for an accounting year-end which deviates from the calendar year, considering that they reflect disclosure obligations subject to Article 433 CRR?

  • 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_6444
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

C 14.00 - Column 0222: % of retail exposures in IRB pools

Is Column 0222 in C 14.00 (% of retail exposures in IRB pools) supposed to be reported for all securitisation positions?

  • 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_6324
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Correlation parameter for Intra-bucket correlations for credit spread risk for non-securitisations

In the first subparagraph of Article 325m of Regulation (EU) No 575/2013 (CRR) it is stated that institutions apply a risk factor per issuer and per maturity, irrespective of whether these credit spread rates of the issuer derive from debt instruments or credit default swaps. However, the correlation factor linked to the basis risk is present in article 325ai of (CRR). Must this value always be equal to 1 since there is no longer a division between the two types of curve as regards risk factors or does this basis risk refer to another type of risk? In this second case to which?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6746
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 16/06/2023

Estimation of a conversion factor for binding mortgage offers under the IRB Approach

Is the own estimation of conversion factors for undrawn credit lines considered relevant for binding mortgage offers, with a maturity of less than one year? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6602
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Defining the risk factor for third-country investment firms in K-TCD calculation

Should the third-country investment firms be classified as investment firms or other counterparties for the purposes of defining the risk factor per counterparty type pursuant to Article 26 IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6450
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Qualifying holdings outside the financial sector

How should the deduction amount of qualifying holdings outside the financial sector, referred to in Article 10(1) IFR, be understood?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5866
  • Topic: Capital requirements
  • Date of submission:
  • Published as final Q&A: 09/06/2023

"Unexpected outflow" in the context of applying large exposure exemptions granted in Article 390(6)(c) CRR

Are the exposures created between service providers, which are caused by clients signing up to new products outside of business hours, an “unexpected outflow” in the context of applying the exemptions granted in Article 390(6)(c) of the Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5342
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6716
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Treatment of reversal features in cash pooling arrangements

Is a reversal of the daily transfer from the original accounts to the target account, as contractually agreed with the customer, at the next business day compliant with the requirements for net reporting of cash pooling arrangements as set out in Article 429b (2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6585
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Reporting of SA exposures in IRB-CIU look-through

Do CIU exposures for which the IRB look-through approach is applied, but which are subject to the Standardised Approach for calculating the risk-weighted exposure amount as per Article 152(4), point (c), of Regulation (EU) No 575/2013, have to be reported in template C 07.00 (CR SA) or in the C 08 templates (CR IRB)?

  • 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_6528
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/05/2023

F 46 EBA_v1226

How to match the re-translated opening balance (in current year) with closing balance (from prior year) on F 46 when the constant USD value is being converted to EURO in two different reporting periods with different FX rate? If the same prior year converted value in EURO is stated in opening balance (before restatement row 10), then how and which row does the FX translation impact shall be reflected?  

  • 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_6520
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 26/05/2023

Treatment of Security Lending and Borrowing Transactions for LCR purposes

How should Security Lending and Security Borrowing Transactions be reported in the LCR template, considering the changes introduced by the Commission Delegated Regulation (EU) 2022/786 about Security Financing Transactions? In detail, shall Security Lending and Borrowing transactions be reported as collateral swaps in C 75.00 template or shall they be reported as Security Financing Transactions in C 73.00 and C 74.00?

  • 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_6557
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 26/05/2023

Interest-income on credit impaired financial assets (template F 16)

Template F 16, r0280, of which: interest-income on credit impaired financial assets: if a financial asset was credit impaired during for example Q1, Q2, and Q3, but during Q4 became performing again, should we still report the interest-income reflected on this row in the Q4-reporting?

  • 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_6350
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Treatment of TIPS and IP in AE reporting

Should balances kept on accounts related to TIPS (TARGET Instant Payment Settlement) and IP (Instant payments) in the encumbrance reporting, be reported as encumbered or not?

  • 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_6523
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/04/2023

Treatment of additional collateral on top of overcollateralization of Covered bond program

Should a surplus above overcollateralization (above contractual amounts/percentages and also above what rating agencies require to maintain the rating) within a covered bond programme be considered as encumbered, when release and re-assignment of any security requires a signature from external parties (incl. the trustee for the covered bond programme) based on the programme documentation? If the required signature before withdrawal should still be seen as resulting in encumbrance, also in the case of the situation described below, would it then be relevant, if the Trustee contractually would not be able to say ‘No’ if the after the requested withdrawal the required overcollateralization threshold are still met?

  • 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_6522
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 28/04/2023