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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

NSFR - Definition of Other Equity Instruments

How are Other Equity Instruments defined? Are Investment Funds (OGAW and AIF) considered as Other Equity and therefore reported in lines 720 to 770 of the NSFR? If not, in which line are Investment funds to be reported if they dont qualify as liquid assets.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2760
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Treatment of integer values in the 'days' columns

Reference is made to the AMM templates, particularly to template C68.00 weighted average maturity (columns 040 and 050); C69.00 (spread columns) and C70.00 average term (columns 300 -330). As you are aware, in line with the current instructions on these templates, the figures reported in these columns should be integers and do not carry any decimals. In this regard, a figure of, say, 0.6 days should be reported as 1. However, we would like to have your views regarding the reporting of positions in the case of figures less than 0.5 days. We are not sure whether these should be reported as 0 (to indicate that there is an amount of less than half a day), or else leave the cell blank as per current practice of monetary values.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2016_2822
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting the unit – linked insurance products (insurance products with investment component) under the items related to the customer resources distributed but not managed in the template F 22.02 - Assets involved in the services provided

a) Where should be reported the unit – linked insurance products: under the item 140 “Collective investment” or under the item 150 “Insurance products” of the template F 22.02? b) If reported under the item 140 “Collective investment”, should the reported value be the entire amount subscribed by the clients or only the amount further invested in an investment fund (i.e. less the insurance component)?

  • 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: 2014_1536
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Treatment of collateral swaps with underlying collateral pools/ baskets

In case of collateral swaps transactions involving exchange of collateral baskets where no direct link can be established between securities in underlying pools, how should the securities be allocated to the reporting rows in template C75 when reporting in main currency and in significant currencies?

  • 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: 2017_3313
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Correct time bucket for unsecured master agreements for derivative transactions, secured master agreements for derivative transactions and cash collateral posted/received under a master agreement

According to the instructions ANNEX 13 of "Regulation (EU) No 680/2014 – ITS on supervisory reporting of institutions" Institutions shall calculate derivative assets and liabilities according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. “Required funding” and template 1.2 “Stable funding” accordingly. 1.) Regarding unsecured master agreements (i.e. no collateral posted/received) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 2.) Regarding secured master agreements (i.e. collateral posted/received and daily margining) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 3.) Regarding cash collateral which is posted under a derivative master agreement: in what time bucket (column) and row (i.e. duration of encumbrance) should the cash collateral be recorded?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1479
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

New, Matured, Roll Over classification

How should institutions report the following: Counterparty A has one deposit maturing at the beginning of day 1 for the amount of 200 with an original maturity of 21 days. Counterparty A has booked three replacement trades totalling 225 (100 - 21 days, 50 - 7 days & 75 - 14 days).

  • 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: 2017_3359
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Definition of the elements to be included in each type of Assets

We would like more precisions regarding the elements composing the following categories of Assets (template F22.02 of Annex III): - row 010 Asset management - row 060 Custody Assets - row 100 Central Administrative services In other terms, if, for these elements and for instance Collective Investments, we do take into account the amounts of deposits and/or cash, or only the Net (book) value of assets ?

  • 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: 2017_3334
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting of credit quality step where no rating is present

If no rating is present for counterparties reported in C71, step 'non-rated' or "CQS other" should be reported?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3399
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Reporting of forward starting transactions

Annex XXV Reporting on Liquidity Coverage Ratio defines remarks regarding settlement and forward starting transactions. The only forward starting transactions taken into consideration are forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon and that are entered into subsequent before the reporting date. The Q&A 2014_784 published in 2014 seemed to identify a wider definition of relevant forward transactions for the LCR than the Annex XXV does some time after.  Should we limit our definition to Annex XXV one, or other forward start transactions are relevant for LCR if these two conditions are valid: •         are contractually fixed, but not yet settled at reporting date; and •            imply an in- and/or outflow of cash and/or liquid assets in the next 30 days? In this case, how should we report forward starting purchase or own issuance? If contractually fixed, forward starting transactions generating inflows or outflows are treated symmetrically for LCR or Article 32 par 7 introduces asymmetry?

  • 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: 2018_3744
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Usage of SMS for dynamic linking

Please clarify whether payment information and an authentication code sent via SMS to a mobile phone complies with the requirements for Dynamic Linking as defined in Article 5 of the RTS, and in particular paragraph 5.2.

  • 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
  • ID: 2018_4414
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Exemption of secure corporate payment processes and protocols

Is the exemption of applying strong customer authentication, in respect of legal persons initiating electronic payment transactions through the use of dedicated payment processes or protocols that are only made available to payers who are not consumers applicable to both payment initiation and account information services? Or, is it solely applicable to payment initiation service?

  • 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
  • ID: 2018_4383
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Operational requirements for holdings of liquid assets

Can banknotes held in locations other than branches be classified as ‘coins and banknotes’ under Delegated Regulation 2015/61 and thus be eligible to be classed as Level 1 liquid assets if the operational requirements per Article 8 can be satisfied?

  • 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: 2019_4891
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 26/02/2021

LCR - Treatment of securities borrowing-transactions for non-refinancing-purposes

How should securities borrowed which were not borrowed for refinancing-purposes be recognised in the LCR?

  • 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: 2019_4837
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Outflows from other retail deposits

Would a retail deposit account, which can be serviced by telephony as well as by internet, not trigger the “internet only” risk factor for high outflow classification?

  • 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: 2019_4890
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Interplay between Article 13a of Commission Delegated Regulation (EU) No 241/2014 as regards the deduction of software assets from Common Equity Tier 1 (CET1) items and Article 37(a) of Regulation (EU) No 575/2013 (CRR)

Would it be possible that the application of Article 37(a) of the CRR in conjunction with the new deduction rules established in Article 13a of the Commission Delegated Regulation (EU) No 241/2014 could lead to: • A negative deduction, i.e. an addition, of software assets when it comes to the determination of CET1 items, and/or • A non-adequate amount to be risk weighted?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5567
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Scope of "Written Credit Derivatives"

Under Article 429a(5) of the Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, for written credit derivatives, institutions shall include in the exposure value the effective notional amounts, in addition to the treatment laid down in paragraph 1. Is it allowable to exclude from the scope of written credit derivatives, OTC derivatives on high credit quality central government bonds?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2018_4423
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Aggregated first loss under credit insurance

Is the requirement in Article 213(1)(b) CRR met in case of a credit insurance whose contractual terms provide that the institution shall bear a first loss, which is calculated at aggregate level with regard to several different exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4184
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/02/2021

Calculation of past due days on material credit obligations

For the purpose of the definition of default, should days when material credit obligation was past due, but repaid later on, be included in the calculation of 90 (180) consecutive days according to Article 178 of CRR, paragraph 1, point (b)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4504
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/02/2021

Technical past due situation - Factoring

How should the situation in terms of technical default be treated when there are two past due purchased receivables (each individually material) and one of them is repaid by the obligor while the second one is still due?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2019_4505
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/02/2021

Perform SCA by reusing an element used in an authentication exempted from SCA

When an element is used to access the payment account online, in the case the Payment Service Provider (PSP) is allowed not to apply Strong Customer Authentication (SCA) (only applying a single-factor authentication : login + password), is it possible to reuse this element to perform SCA to authenticate a transaction ?

  • 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
  • ID: 2020_5516
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 15/01/2021