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List of Q&A's

ITS ESG P3 - Template 2 - Column A & Totals in row 5 and 10

Two questions with regard to Template 2:  Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral: 1) Should the columns h-p sum up with b-g and simultaneously with the column a? 2)  In which lines to report a situation in which the bank estimates the energy efficiency of collateral a housing mortgage? Should rows 5 and 10 be a sum of rows 2-4 and 7-9 respectively?

  • 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: 2022_6625
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Exemption of exposures to public sector entities

In accordance with Article 429a (1) (j) (iii) of Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, exposures to public sector entities (PSE), treated in accordance with Art. 116 (4) CRR and arising from deposits that the institution is legally obliged to transfer to this PSE for the purpose of funding general interest investment, shall be excluded from the denominator calculation of the institution´s leverage ratio.  Is there any limitation in the type of deposit assets to apply for such exclusion, particularly as regards cash-assimilated instruments (Article 4 (1)(60) CRR), which include certain categories of bonds? What is meant by “legal obligation” and what creates such obligation? Would contractual or statutory obligation qualify as such? Is there furthermore an example for “general interest investment”?  

  • 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: 2022_6624
  • Topic: Leverage ratio
  • Date of submission:

ITS ESG P3 - Template 5 - Physical risk models - Template 1 - Power generation thresholds

Question 1: Regarding power generation thresholds as outlined in the EU article 12.1(g) of the EU Paris-aligned Benchmarks Regulation referenced in Template 1: “companies that derive 50 % or more of their revenues from electricity generation with a GHG intensity of more than 100 g CO2 e/kWh.” (a) Should we look at % revenue by separate sources of fuel or %revenue for the combined fossil fuel power generation of this company? (B) This can be interpreted as a dual factor (revenue from power generation and power generation carbon intensity). What happens if one of the factors is fulfilled, i.e. more than 50% of revenue from power generation, but not the other, i.e. less than 100 gCO2e/kWh. Question 2: Regarding Template 5, do banks need to include exposures based in non-EU geographies? There is no explicit guidance on Template 5. Question 3: Regarding Template 5, we would propose a physical risk assessment for the REMIND NDC climate change scenario (roughly 3 degree global warming in 2100) for the year 2050 (and also with data for “today” ). Is this in line with what the EBA expects? Question 4: Regarding Template 5, which option below is the correct information to fill out for column (j) “of which exposures sensitive to impact both from chronic and acute climate change events”? Question 5: Under which circumstances do banks outside the EU (e.g., Switzerland, UK or US Banks) need to report under EBA Pillar 3? Will the EBA provide a list also for these non-EU based banks falling under EBA Pillar 3?

  • 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: 2022_6623
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Approach to determining indirect ownership control powers under the legal definition of a beneficial owner.

What approach to determining the indirect ownership control power under the legal definition of a beneficial owner (“UBO”) as set out in Article 3(6)(a)(i) of Directive (EU) 2015/849 of the European Parliament and of the Council of 20 May 2015 on the prevention of the use of the financial system for the purposes of money laundering or terrorist financing, as amended by Directive (EU) 2018/843 of the European Parliament and of the Council of 30 May 2018 amending Directive (EU) 2015/849 on the prevention of the use of the financial system for the purposes of money laundering or terrorist financing should be applied: (a) Determining the ‘share’ of indirect control of a UBO by multiplying the shares at each level of control and checking whether the result of this multiplication is more than 25% (multiplication test); (b) Examining the chain of control whenever a particular link in the ownership chain exceeds the 25% threshold which may, ultimately, lead to a natural person holding more than 25% of the shares or votes in a given indirect parent entity (rolling test); or (c) Verifying whether there is an entity or person who “controls” the entity having more than 25% of the shares or votes in an entity being evaluated, i.e. holds more than 50% of shares or votes in such entity (dominancy test)?

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6622
  • Topic: Other topics
  • Date of submission:

CRM substitution in case of equal risk weight

Should Credit Risk Mitigation with substitution effects on the exposure be applied (and presented in COREP) in case of an original exposure subject to unfunded credit protection (meeting all applicable eligibility requirements) where the risk weight/risk-weighted exposure amount remains equal after the substitution? Is there any difference depending on the approach? (SA/FIRB/AIRB)

  • 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_6621
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

Derivatives - Forward foreign-exchange contracts - RC under IFR

Under Article 28(a) for derivative contracts, RC is determined as the CMV, and according to Article 4 (36) current market value’ or ‘CMV’ means the net market value of the portfolio of transactions or securities legs subject to netting in accordance with Article 31, where both positive and negative market values are used in computing CMV By CMV (and than also RC) do you mean "net position" * "current exchange rate"?  

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6620
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 22/02/2023

Withdrawable Central Bank Reserves in ALMM C 66.01 when considered Liquid Assets

Where should withdrawable Central Bank Reserves that are considered Liquid Assets according to Regulation (EU) 2015/61 be allocated in ALMM C 66.01 Maturity Ladder?

  • 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_6619
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Template F 11.4

How to report in Template F 11.4 a partially hedged loan portfolio?

  • 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_6617
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

Reporting of (Internet) Savings deposit in template F08.01

In which row do we need to report (Internet) Savings deposits with Households in template F 08.01 ‘Breakdown of financial liabilities by product and by counterparty sector’? Either as being ‘Current accounts/overnights deposits’ row 0320 or as ‘Deposits redeemable at notice’ row 0340?

  • 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_6616
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 10/03/2023

ITS ESG P3 - Template 5 - Column B carrying amount

In ESG disclosure template 5: Should the amounts disclosed in column b be equal to the carrying amounts disclosed in column a in template 1, or; Should the amounts in column b only include exposures exposed to physical risk according to the definition in the new Article 18a § 1c?

  • 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: 2022_6615
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Reporting of initial margins, variation margins and intraday margins in FINREP

The reporting of initial margins, variation margins and intraday margins in FINREP templates is not clearly defined in Annex V to Regulation (EU) 2021/451 either for IFRS or for national GAAPs institutions. They can be considered financial assets or liabilities and reported in the corresponding evaluation categories according to paragraphs 15, 16, 23 and 24 in Part 1 of Annex V or reported under other assets/other liabilities according to paragraphs 5 and 13 in Part 2 of Annex V.

  • 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_6614
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 16/02/2023

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

Information provided to the payee on individual payment transaction

If a framework contract includes a condition on providing all required information to the payee at least once a month, is the payment service provider still obliged to provide the information to the payee after the execution of individual payment transaction? Or providing monthly information is enough and provision of information separately about each individual transaction is not required anymore?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6612
  • Topic: Other topics
  • Date of submission:

Payment account

What is the difference between payment account, e-money account and a bank account (account held at the credit institution) in terms of allowed transactions? Is it possible to hold funds on a payment account to make future payment transactions? Is it possible to receive the salary on a payment account, if this account is not an e-money account or an account held by credit intuition, which constitute a deposit or other repayable fund?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6611
  • Topic: Other topics
  • Date of submission:

Exposure to an entity that holds a loan portfolio composed of purchased or self-originated loans which are secured by real estate properties and their assignment to the regulatory asset class “exposures associated with particularly high risk”

Does an exposure representing funding to an SPV that itself originates reverse mortgages loans with returns linked to the development of the relevant housing market and a business case involving a potential sale/securitisation of the underlying portfolio (see “Background on the question”) fulfil the requirements to be assigned to the regulatory asset class “exposures associated with particularly high risk” in accordance with Article 128(3) CRR and its specification as set out in EBA/GL/2019/01, even though the bank has contractual agreements with the SPV in place (i.e. covenants and LTV restrictions) which have a certain risk mitigating effect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6610
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

LCR treatment of letters of credit backed by deposits and letters of credit backed by committed lines

What is the LCR treatment of (i) letters of credit backed by deposits and (ii) letters of credit backed by committed lines?

  • 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_6608
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Exposure to an entity that holds a loan portfolio composed of purchased or self-originated loans which are secured by real estate properties and their assignment to the regulatory asset class “exposures associated with particularly high risk”

Does an exposure representing funding to an SPV, that itself purchases loans originated for speculative immovable financing purposes, fulfil the requirements to be assigned to the regulatory asset class 'exposures associated wth particularly high risk' in accordance with Article 128(3) CRR and its specification as set out in EBA/GL/2019/01, even though the bank has contractual agreements with the SPV in place (i.e. covenants and LTV restrictions), which have a certain risk mitigating effect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6609
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Netting for Asset Encombrance

In the context of the assets encumbrance, are we supposed to match the netted amount carried out in the FINREP reporting (according accounting standards)?

  • 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_6607
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as Rejected Q&A: 28/09/2023

Exposure of the borrower to ESG factors

Does the assessment of exposure and mitigating techniques in the referenced articles apply to the impact of the borrower on ESG factors, or to the impact of ESG factors on the borrower? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2022_6606
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Exposure Value in repurchase transaction

Under the accounting framework (IFRS) a repurchase transaction is accounted for as an off balance sheet commitment (encumbrance) for the debt securities given (or 'sold') and a liability for the debt towards the counterparty (representing the future 'repurchase' of the debt securities). With regards to such a transaction we have the following three questions, to confirm that our understanding is correct: A/ Is it correct that for the repurchase operation the final exposure value is to be calculated using the following elements:      E = the (dirty) market value of the debt securities given      C = the (dirty) cash borrowed in respect of the repurchase operation B/ Is this final exposure value E* to be presented as an counterparty credit risk on balance sheet exposure? C/ Does the debt securities itself also still have to be included as seperate exposures (with their respective risk weighted assets) (or does the calculated exposure value for the repurchase operation replace the direct exposure on the debt securities)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6605
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022