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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.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Treatment of two-leg derivatives with respect to rate type and currency

What is the expected representation for two-legs derivatives in the templates "BREAKDOWN OF SENSITIVITY ESTIMATES (J 02.00, J 03.00 and J 04.00)" and REPRICING CASH FLOWS (J 05.00, J 06.00 and J 07.00)?

  • 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_7073
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:

Level of application of permissions for consolidated netting

How should the term “consolidated basis” be read? Should such permissions be granted only to the highest EU consolidated entity or is it possible to grant these permissions also to several EU sub-consolidated entities? If it is possible to apply this requirement also on sub-consolidated basis, should the netting of the positions only refer to undertakings included in such entity’s sub-consolidating group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7058
  • Topic: Market risk
  • Date of submission:

LCR treatment of a committed facility provided to multiple borrowers

What is the LCR treatment of a committed credit facility provided to multiple borrowers where:each individual borrower might draw the full (undrawn) amount of the committed credit facility;all borrowers belong to the same overarching group which, from group perspective, would qualify as a non-financial corporate; whileone or more of the individual borrowers might qualify as a financial customer under Article 411(1) CRR on a stand-alone basis.

  • 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_7055
  • Topic: Liquidity risk
  • Date of submission:

LCR treatment of open maturity reverse repos which can be terminated at any point in time

By reference to EBA Q&A 2021_6163, are there some circumstances under which a bank could consider inflows from open reverse repos that  are not contingent for the purposes of its recognition 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: 2024_7053
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 03/05/2024

Interest flows

Interest flows for retail on sight accounts (without contractual maturity)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7052
  • Topic: Liquidity risk
  • Date of submission:

Definition of Financial Institution / Third Country Undertakings

Should the definition of "Financial Institution" as used in IFR be interpreted as excluding firms established in third countries unless otherwise expressly stated?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7045
  • Topic: Prudential consolidation
  • Date of submission:
  • Published as Rejected Q&A: 26/04/2024

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

Alternative arrangements for variable remuneration in investment firms

Can the use of alternative arrangements for the payment of variable remuneration be approved where the use of instruments under art 32(1)(j) IFD is theoretically possible but might endanger the stability of the investment firm?

  • Legal act: Directive (EU) 2019/2034 (IFD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/14 - Guidelines on internal governance under Directive (EU) 2019/2034
  • ID: 2024_7040
  • Topic: Remuneration
  • Date of submission:

Applicability of the EUR 500 million-limit when calculating the required stable funding associated with CIUs in NSFR

Does the EUR 500 million-limit for the integration of CIUs in the liquidity buffer composition requirement indicated in article 15.1 of the LCR delegated act 2015/61 also apply to the CIU RSF in NSFR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7039
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 23/05/2024

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

Non-applicability of the CRR (Capital Requirements Regulation) regarding OCCPs

According to Article 111 CRR, OCCPs must be included in the calculation of the Total Capital Ratio (TCR) under Pillar I, even though their economic risk is fully mitigated by the DvP mechanism. Eurex Clearing AG only includes OCCPs in their balance sheet, as per accounting standards. While the risk of OCCPs is covered in the CCP risk management framework through margins and other lines of defense, they cannot be mitigated through collateralization or netting under the CRR framework.    Regarding the information in section 1 and 2, ECAG would like to inquire whether the OCCPs can be exempted from the application of Article 111 CRR.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7028
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 01/05/2024

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

Calculation of the LTV ratio in FinRep

Article 239x from Annex V mentions that the LTV ratio should be calculated in accordance with the method for the calculation of the ‘current loan-to-value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. According to Annex IV, Art 2.3 (b) of the ESRB Recommendation, VC is adjusted for changes in the prior liens on the property. The version from 2016 of the Recommendation also contained an additional passage which was deleted in the 2019 update: (d) Is adjusted by the total amount of the outstanding RRE loan, disbursed or not, that is secured through ‘prior’ liens on the property. In the case of more senior liens on the property, the full amount of the debt secured by these more senior liens needs to be deducted. In the case of ‘equal ranking liens’, an appropriate proportional adjustment should be made. In the current version of the Recommendation or in Annex V it is not clear how VC is adjusted regarding the prior liens on the property (e.g. they are deducted from the full value of the property, proportional adjustments are performed).

  • 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_7024
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 08/05/2024