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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

ESG P3 - Template 5 validation rule v12726_m

Is the validation rules v12726_m correctly defined?

  • 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: 2024_7041
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/04/2024

Val rules_v12727_m_for template 7 GAR amount is not aligned with ITS

We believe the ITS instructions 2022/2453  are incorrect for Row 32 into ITS (EU) 2022/2453. NB =  equivalent row into DPM is 0320.

  • 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: 2024_7038
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/04/2024

Management of the Trading Book - Active Anti-Fraud Procedures and Controls

Under Article 103(2), point (b)(vi), CRR, there is a requirement that institutions shall have active anti-fraud procedures and controls. Could you please provide clarification on the specific types of fraud that should be considered with respect to the trading book? Can this be considered to effectively cross-refer to the requirements of Regulation (EU) No 596/2014 on market abuse or are there other areas which need to also be considered?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7037
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 04/04/2024

Permission to reduce AT1, Tier 2 or eligible liabilities instruments and deduction rules in the context of a liability management exercise without replacement.

When should deductions from own funds and eligible liabilities be applied in the context of a liability management exercise without replacement (i.e. a tender offer)? When can the unredeemed part of own funds or eligible liabilities be included in own funds or eligible liabilities again?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2024_7036
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 05/04/2024

Modelling the risk of migration from NMDs to term deposits in the context of the constant balance sheet assumption in the NII SOT.

Is it modelling the risk of migration from NMDs to term deposits consistent with the constant balance sheet assumption in the NII SOT?

  • 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: 2024_7035
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:

Disclosure of exposures arising from Article 390 (5)

How the exposures as per Article 390 (5) be reported in Corep templates C28 & C29 - direct vs indirect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7031
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Credit derivatives on CLO in SA-CCR

Should a credit derivative with underlying a CLO (Credit Loan Obligation) be treated as multi-name under Article 280c(1) because the underlying is a pool of loans or single name because the issuer is unique, SPV, or can the tranche be viewed as a whole?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7030
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/04/2024

recognision of own funds

Can the Common Equity Tier 1 items, namely „capital instruments, provided that the conditions laid down in Article 28 or, where applicable, Article 29 are met“(CRR Art 26 (1) (a)) and „other reserves“ (CRR Art 26 (1) (e)) be recognised as CET1 capital if there are features preventing its funds from use?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7029
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Reporting of the collateral and guarantees by loans and advances

Article 174 from Annex V mentions that where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality. There are no details regarding the expectation of reporting for different types of collaterals used at the same time to cover different types of loan and advances if the amount of the collaterals is smaller than the total exposure covered (n:m relationships). It is not clear how the collateral should be split between the loans (if a particular order should be followed or an optimization model should be used) and if for immovable properties the prior liens are deducted from the property value before the maximum amount is calculated.  Example for F 13.01: Residential immovable property = 100.000 Prior lien on the property = 20.000 Financial guarantee received = 10.000 Loan 1 to a non-financial corporation = 70.000 Loan 2 to other financial corporation = 60.000 Both loans are covered by the immovable property and the financial guarantee. Position 0010/0010 F 13.01: 100.000 or 80.000 (after the prior lien is deducted) Position 0010/0050 F 13.01: 10.000 Which amounts are expected in rows 0010, 0020 and 0030, columns 0010/0050 from F 13.01?

  • 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: 2024_7026
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Disclosures in case of lack of label in EPCs

What shall be reported in columns h-n in case local EPCs do not present labels in the form of letters (A-G), but only level of energy efficiency? Shall these columns be left blank or “0” can be disclosed? Is it acceptable that the banks remove these columns from the template and do not disclose them at all? In addition, what shall be reported in this case in columns o and p? Column “o” is named as “Without EPC label of collateral” and it may indicate that the values to be disclosed in this column refer to the information in columns h-n.  

  • 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: 2024_7013
  • Topic: Transparency and Pillar 3
  • Date of submission:

Meaning of “without automatic rollover” in the definition of trade finance

The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. Does a financial product meet the aforementioned maturity condition that has a maturity not exceeding one year (i.e. typically less than one year or a maximum of one year) and that is repeatedly extended by another 365 days but where the bank has the contractual right to unilaterally terminate the product prior to any extension? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7012
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Fulfilment of “fixed short-term maturity, […], without automatic rollover” for trade finance product bank guarantees (“Guarantee”) in case of a contractually agreed clause between the issuing bank and its client instructing the issuing bank to issue the Guarantee (“Instructing Party”) that allows the issuing bank to effectively exit the risk position within a contractually agreed fixed timeframe

  The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. We would like to confirm that an open-ended Guarantee, i.e. a guarantee that does not provide for a fixed maturity date, meets the aforementioned definition of trade finance, in case the issuing bank and the Instructing Party agree on contractual provisions that allow the issuing bank to effectively exit the risk position incurred via the Guarantee. In this specific case the issuing bank conducts a regular bank internal review regarding the Guarantee and may – in case it deems this appropriate on the basis of its review – on the basis of a contractual arrangement between the bank and the Instructing Party, at its full discretion, require the Instructing Party to provide the issuing bank within a contractually agreed fixed time period with either a counter-guarantee from another bank in favour of the issuing bank, cash cover collateral or a substitution of the Guarantee by ensuring that another bank issues a Guarantee replacing the issuing bank’s Guarantee. 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7011
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Template C90 at consolidated level

Should the threshold template for market risk at the consolidated level, C90, be filled out netting intra-group positions even if one does not have the permission required by Article 325b? Or should it be compiled as the sum of the individual templates in this case?

  • 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: 2024_7008
  • Topic: Market risk
  • Date of submission:

Template 9.1 – Mitigating actions: Assets for the calculation of BTAR

Should institutions check the compliance of ‘do no significant harm’ and ‘minimum safeguards’ requirements for BTAR exposures?

  • 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: 2024_7004
  • Topic: Transparency and Pillar 3
  • Date of submission:

Unweighted delta sensitivities in template C91

In the C90 template on market risks - Alternative Standardised Approach Summary - the first two columns must show the unweighted sensitivities broken down by positive and negative aggregated by risk factor.Should positive and negative sensitivities be aggregated from net risk factor sensitivities or risk factor sensitivities for individual positions? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7001
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Treatment of inflows from credit facilities in LCR

Is a credit institution entitled to consider inflows from a credit facility in LCR, if the credit facility contractually expires within 30 calendar days and the client has no contractual option to prolong it beyond its current expiry date?

  • 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: 2024_7000
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024

Consideration of CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA

It is possible to consider the CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA without including the perimeter exceptions specified in aticle 382.4?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_6993
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Applying adjustments and deductions in Article 36 in full

In Article 48(2)(a) of Regulation (EU) No 575/2013 (CRR) it states: 'the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;' Question: When applying the adjustments and deductions in Articles 32 to 36 in full should be deducted the value of deferred tax assets and significant investments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6990
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024