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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

Should repricing coupons be included in J06 sheets?

Should repricing coupons be included in J06 sheets in IRRBB reporting? EBA’s validation formula says that repricing coupons should not be included (validation rules v22320_m and v_22321_m). Otherwise the regulation (Final Draft RTS on Standardised Methodologies on IRRBB, Article 1, “’Notional repricing cash flow’ means: (c) Any interest payment on a part of the principal that has not yet been repaid or repriced) says that repricing coupons should be included. And if those repricing coupons are included (as the regulation says) it will cause validation rules v22320_m and v22321_m to be active because repricing notionals are always greater than the notional only.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7244
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/11/2024

FINREP Templates F25 and F13

It has come to our attention that Form F25.01.a contains data elements that overlap with Form F13.3.1. For instance, F25.01.a Row 0120 Column 0030 shares data with F13.3.1a Row 0020 Column 0010. From a business perspective, this inclusion appears incongruous, and we would appreciate an explanation of the rationale behind this decision. Could you please provide the logic and reasoning for including this shared data element between Form F25 and Form F13?

  • 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_7240
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 28/11/2024

Reporting Requirements on exposures subject to behavioural modelling

What is expected to be reported on the template J08.00b in terms of the perimeter of exposures included in the reporting of relevant parameters? Only those exposures actually subject to behavioural modelling by the institution (thus excluding exposures exposed to Prepayment, NMD behavioural modelling and Early Redemption Risks but non modelled by the institution) or all the exposures exposed to such risks, including those on which models are not applied?

  • 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_7239
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/11/2024

Aggregated method for duration of derivatives

Could the EBA please clarify the expected method to aggregate and report the Duration value (column 0020) in template J 02.00 for derivatives?

  • 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_7238
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 28/11/2024

Seniority categories to use when offsetting the gross JTD amounts of short exposures and long exposures within the DRC calculations for non-securitisations 

Which set of seniority categories shall be utilised and how should they be ranked as the basis for offsetting the gross JTD amounts of short exposures and long exposures within the DRC calculations for non-securitisations? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7233
  • Topic: Market risk
  • Date of submission:

Vega general interest rate risk and credit spread risk factors

For credit instruments that include issuer-specific optionality, do both general interest rate vega and credit spread vega risk factors need to be considered as part of the SBM? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7232
  • Topic: Market risk
  • Date of submission:

Basis of calculation for the DRC for non-securitisations and SBM-CSR for non-securitisations - instruments guaranteed by a guarantor

In the case of instruments guaranteed by a guarantor (such as guaranteed bonds), can that guarantor be used as the basis for calculating the DRC for non-securitisations and the SBM-CSR for non-securitisations? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7231
  • Topic: Market risk
  • Date of submission:

Basis of calculation for the DRC for non-securitisations and SBM-CSR for non-securitisations – Individual ‘issuers’/‘obligors’ or ‘group of issuers/obligors’?

Do the calculations of the DRC for non-securitisations and SBM-CSR for non-securitisations have to be based on the individual ‘issuers’/‘obligors’, or could these calculations alternatively be based on the concept of a ‘group of issuers/obligors’ consisting of e.g. a conglomerate (and e.g. represented by an ‘ultimate parent’ corresponding to the ‘head of group’ or ‘parent company’)?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7230
  • Topic: Market risk
  • Date of submission:

Reporting of customer portfolios managed on a discretionary basis

According to Annex V, Part 2, paragraph 285 (a) of Commission Implementing Regulation (EU) 2021/451 (ITS): '‘'Asset management’ shall refer to assets belonging directly to the customers, for which the institution is providing management.” Since these assets belong to the customers, they are generally not recognized in the balance sheet of the credit institution. It is not clear however if the cash deposited by customers that the institution manages on a discretionary basis should be recognized as a liability. Additionally, if this account would have a negative balance, an asset might be recognized. 

  • 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_7224
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

FINREP Group Structure Template 40.02

For entities which are consolidated as part of the Group, where a subsidiary of the economic group has legal ownership over these entities, but the group has no legal ownership over that subsidiary. What data should be reported in FINREP template F 40.02?

  • 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_7222
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

Consistency of treatment between the technical guarantees that are subject to the Pillar 2 requirement (Supervisory Expectation of the ECB) and the technical guarantees that are subject to the Pillar 1 requirement (Regulation EU 2019/630).

Should the exemption of technical guarantees from the backstop calculation subject to the Pillar 2 requirement) be extended to the technical guarantees subject to the Pillar 1 requirement?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7221
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 20/11/2024

a) Disclosure of Items in Transit balance in FINREP Table 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} b) EBA_v5013 (Type - Error): [F 05.01, F 01.01] Sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) Should be equal to Sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

1) Disclosure of items in transit balance in FINREP Template F 01.01 {F01.01, c0010 (r0020 or r0183 or r0360)} Please clarify where the items in transit balances should be reported in Template F01.01 out of the following? a) Other Assets (c0010, r0360) b) Loans & advances at amortised cost (c0010, r0183)  c) Cash on hand (c0010, r0020). 2) EBA_v5013 (Type - Error): [F 05.01, F 01.01] sum of Loans & Advances across Industry ({{F 05.01, r0080, (c0010, c0020, c0030, c0040, c0050, c0060)}}) should be equal to sum of Cash at Central Banks and Loans & Advances in Balance Sheet ({{F 01.01, c0010, (r0030, r0040, r0099, r0130, r0144, r0174, r0178, r0183, r0233, r0237)}})

  • 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_7212
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

Calculation of the EAD in BA-CVA

To compute the BA-CVA, on netting sets for which an institution computes the EAD using its IMM model, can you confirm that the EAD calculated using current market data should be used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7211
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 06/11/2024

Own funds requirement for asset-referenced token issuers

Are issuers of asset-referenced tokens, who are exempt from authorization requirement pursuant to Article 16(2) of MiCAR, subject to the own funds requirement pursuant to Article 35(1) of MiCAR?

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7210
  • Topic: Own Funds (MiCAR)
  • Date of submission:
  • Published as Rejected Q&A: 21/11/2024

FINREP reporting of loans secured by mortgage mandates (Belgium)

Should loans secured by mortgage mandates be reported as 'CRE loan' and/or as 'loans collateralized by immovable property' in FINREP table F 18.02?

  • 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_7207
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

Translation risk when calculating total own fund requirements on consolidated basis using the reporting currency of the consolidated institution

How should the overall own funds requirements be calculated in a consolidated situation for institutions or undertakings, for which Art. 325b(4)(b) CRR applies, i.e. if different institutions or undertakings of the group use different currencies other than the reporting currency of the group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7194
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 15/11/2024

Treatment of feature of tranching for mortgage backed securities

Under the US NPR,  the Fed has indicated that because the credit risk is to the agency and not the pool, the tranching doesn't count for CSR purposes, and thus the proper risk class to calculate is CSR_NS (not CSR_SNC). Banks in the US subject to FRTB have been following this convention as part of the Fed's Hypothetical Portfolio Exercise. Does the EU expect to follow this interpretation as well?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
  • ID: 2024_7193
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 08/10/2024

C 02.00 OWN FUNDS REQUIREMENTS CA2 - Row 0585

Hello,   As a bank reporting software company, we would like more information about FRTB.   In the Reporting framework 4.0, for Corep, for the template : C 02.00           OWN FUNDS REQUIREMENTS   CA2 We have a question about the row “0585- 1.3.4 Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach (AIMA) or a combination of AIMA and ASA” There is a mention “See MKR AIMA SUM” in the “2.2 Annex II - Part II - Capital adequacy”   But the template “C 95.00     Alternative internal model approach: Summary of own funds requirements            MKR AIMA SUM” is postponed to 2026.   Can we conclude that this row is empty for 2025 ?   Thanks in advance,   Regards

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7192
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 08/10/2024

Calculation of loss rates for income producing real estate (IPRE) under the standardized approach for credit risk under the CRR III (Regulation (EU) 2024/1619)

What is the correct calculation of loss rates for the purposes of Articles 125 para. 2 subpara. 3 and 126 para. 2 subpara. 3 CRR (as amended by regulation (EU) 2024/1623, ie. CRR III)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7190
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/10/2024

Standardansatz für das Gegenparteiausfallrisiko

Guten Tag Wir haben nun eine Unklarheit bezüglich dem CELEX 32019R0876, Art 274 Abs 5 a) Der Netting-Satz besteht ausschliesslich aus verkauften Optionen. Frage: Sind die verkauften Optionen aus Banksicht oder aus Kundensicht gemeint d.h. ist der Kunde short die Optionen oder die Bank ? Vielen Dank & freundliche GrüsseDenis Meylan P.S. Das EAD kann auf 0 gesetzt werden, bei einem reinen short Option Portfolio (aus Kundensicht oder Banksicht - darum die Frage).

  • 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: 2024_7187
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 23/10/2024