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List of Q&A's

Discrepancy between definition of ‘investment holding company’ and ‘consolidated situation.’

Could a financial institution the subsidiaries of which are mainly tied agents or ancillary services undertakings, but which also has at least one investment firm as subsidiary, be considered an  investment holding company as referred to in Article 4(1)(23) IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6779
  • Topic: Prudential consolidation
  • Date of submission:
  • Published as final Q&A: 22/03/2024

Reporting of Template C_67.00 including Concentration of Funding by Counterparty.

Since there is no clear guidance on how the above item should be treated, we are requesting feedback on whether the EBA has taken stance on how deposits coming through Online Deposits Platforms should be classified in the Concentration of Funding by Counterparty, template C_67.00, and for liquidity purposes in general. In addition, we would be interested in understanding whether such treatment would differ for other purposes such as Financial Reporting – as an example, the bank in the above scenario indicated that these deposits are in fact covered by DGS, hence indicating that for this purpose the counterparty is the direct household.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2023_6778
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 09/10/2023

Exchange rate mark-ups part of 'all charges payable'/'currency conversion charges'

Is an exchange rate mark-up (the difference between the interbank rate and the exchange rate offered by the PSP to its PSUs) to be considered as part of ‘all charges payable’ as per PSD2 and the ‘currency conversion charges’ as per CBPR2 prior to the initiation of the payment? How should PSPs disclose this in the payment flow? Article 45 of the PSD2 sets out the information and conditions that payment service providers (PSPs) need to provide to the payment service users (PSUs). Notably, Article 45 (1)(c) and (d) states that ‘all charges payable by the payment service user to the payment service providers and, where applicable, a breakdown of those charges’ as well as ‘the actual or reference exchange rate to be applied to the payment transaction’ should be shown to the PSUs.  The CBPR2 builds upon the requirements set out by PSD2, adding an additional layer of disclosures for cross-border payments within the EU.  Concretely, Article 5(1) of the CBPR2 refers to the provisions within Article 45(1) of PSD2 -  "When a currency conversion service is offered by the payer’s payment service provider in relation to a credit transfer, as defined in point (24) of Article 4 of Directive (EU) 2015/2366, that is initiated online directly, using the website or the mobile banking application of the payment service provider, the payment service provider, with regard to Article 45(1) and Article 52, point (3), of that Directive, shall inform the payer prior to the initiation of the payment transaction, in a clear, neutral and comprehensible manner, of the estimated charges for currency conversion services applicable to the credit transfer. Furthermore, Article 5(2) of CBPR2 further explains the necessary charges that need to be shown to the payer -  “Prior to the initiation of a payment transaction, the PSP shall communicate to the payer, in a clear, neutral and comprehensible manner, the estimated total amount of the credit transfer in the currency of the payer’s account, including any transaction fee and any currency conversion charges. The payment service provider shall also communicate the estimated amount to be transferred to the payee in the currency used by the payee.”    

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6777
  • Topic: Other topics
  • Date of submission:

Clarification on treatment of repurchase agreements and reverse repurchase agreement, as well as securities lending/borrowing of the banking book and of the trading book under the counterparty credit risk and the treatment of these same transactions under standardised approach of credit risk.

A securities repurchase (repo) is an agreement whereby a transferor agrees to sell securities to a transferee at a specified price and repurchase the securities on a specified date and at a specified price. Since the transaction is regarded as a financing (liability item) of the transferor for accounting purposes, the securities remain on the balance sheet of the transferor. As for the transferee the transaction is treated as a collateralized loan (asset item) for accounting purposes. When referring to “repurchase agreements” in art. 271 CRR, does it applies both to transferor and transferee exposures (in a manner analogous to securities lending transactions on which specific mention to both parties of a transaction –lending and borrowing- is made)? In essence, counterparty credit risk is a bilateral risk, and as such it seems reasonable to capture the risk of both counterparties, even if a transferor and a securities lender will both have accounted the operation as a liability item. Shall the institutions include all repurchase agreements and securities lending/borrowing for counterparty credit risk capital requirements purposes regardless of whether they have been accounted for within the trading or the banking book? According to article 271 (2) an institution shall include the exposure value of repurchase transactions and securities lending/borrowing for counterparty credit risk capital requirements purposes, without making any distinction as to whether they belong to the banking or to the trading book. The exposure value shall be calculated either in accordance with Chapter 4 or Chapter 6 of Title II. However, article 92 (3) (f) states that only SFT transactions of the trading book exposures are subject to counterparty risk capital requirements. Although it could be also interpreted that SFT transactions and agreements of the banking book are also subject to counterparty risk capital requirements according to article 92 (3) (a) as it refers to the whole Title II (including Chapter 6 –counterparty credit risk-). To make things even more confusing, according to article 111 (2) and article 166 (7) the exposure value of any repurchase agreements and securities lending/borrowing shall be included for credit risk capital requirements purposes and it shall be calculated either in accordance with Chapter 4 or Chapter 6. Following the argumentation set out above, the credit risk related to the counterparty in repurchase agreements and securities lending/borrowing of the banking book might be captured twice, once under the standardised approach/IRB method scheme (Chapter 2 or 3) and again under the counterparty credit risk regime (Chapter 6). It does not seem to make sense to ask institutions for capital requirements twice for the same risk concept. Can you please confirm which is the correct treatment for the credit risk related to the counterparty of repurchase agreements and securities lending/borrowing of the banking book? Or do articles 111(2)/116(7) refer to a risk concept different that article 271(2)? Do both parties of a same transaction –transferor and transferee, lender and borrower- have to capture the credit risk related to the counterparty? The same argumentation applies to derivatives, long settlement transactions and marging lending transactions of the banking book.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6775
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/07/2023

Treatment of repurchase agreements and reverse repurchase agreement, as well as securities or commodities lending/borrowing of the banking book under standardised approach of credit risk.

Shall the transferor of an operation like the one described below include for credit risk capital requirements purposes both the exposure value of the securities sold (asset item) and the financing position (even if it is a liability item), or just the asset item of the securities sold?According to Article 111(2) CRR the exposure value of any repurchase transaction shall be included and be calculated either in accordance with Chapter 4 or Chapter 6 of Title II: does it also refers to the financing position of the transferor (even if it is a liability item)?What is the correct treatment for the financing position of the transferor? are securities also to be included as an exposure value in case the Financial Collateral Simple Method is used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6774
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/01/2024

Calculation of the amount reported for guarantees received on report F09.02

Should the amount of financial guarantees reported in F 09.02 be calculated considering (other) collateral?

  • 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: 2023_6773
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/06/2023

Collateral swaps where the borrowed and lent collaterals are in different currencies

For a collateral swap where borrowed and lent securities are subject to the separate reporting  as referred to in Article 415(2) of Regulation (EU) 575/2013, we wonder how the transaction must be reported in the c75 , or eventually in 2 different transactions in c73 and c74 but in this case we don't know in which cells and with which weight.  For example, for a settled collateral swap where level 2B USD – market value of 150m is lent and level 2A EUR – market value of 120m is borrowed.  The amounts are already converted into the reporting currency. And we raise the same question if the transaction is forward starting in the LCR window and maturing outside.  

  • 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: 2023_6772
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

Can the reported amount in C76.00 r091, c010 be a negative value?

If an entity does not hold liquid assets in a particular currency (e.g. GBP), but does transact in that currency with various counterparts and incurs secured cash outflows, can the adjusted amount reported in C76.00 r091, c010 be a negative value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/01 - Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 CRR
  • ID: 2023_6771
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

Preferential risk weight for indirect sovereign exposures in the currency of another Member State

May Article 500a be applied to exposure types other than government bond? May Article 500a paragraph 1 also be applied to indirect exposures, when the obligor is classified different from central governments or central banks? If so, the currency constraints imposed by the article 500a have to be referred to the unfunded credit protection of a central governments or central banks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6770
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/01/2024

Regular buy and sell activity between ALM/Treasury departments and internal market making desks (Trading Book)

Are transactions between ALM/Treasury (identified as Banking Book) and an internal market making desk (Trading Book) in the scope of Article 104a (Re-classification of a position) Regulation (EU) No 575/2013 of the European Parliament and of the Council (CRR), even when such transactions fulfill the following conditions: They are conducted on an arm’s length basis (the market making desk in the Trading Book is considered as any other client, identical to external counterparties); The purpose of such transactions is to pursue prudential objectives (such as market testing of the HQLA buffer, inter alia).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6769
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 24/04/2023

Negative Goodwill

Positive Goodlwill ie where a firm has purchased an entity above book value, is deducted from CET1 to determine the elligible capital balance. However how should Negative Goodwill be treated ie where a firm has purchased an entity at a discount? The profit on the purchase goes through the purchasing firm's P&L so does that mean negative goodwill is elligible to be included in CET1 capital?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/10 - Guidelines on ICAAP and ILAAP information collected for SREP purposes
  • ID: 2023_6768
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

App to app redirection with biometrics for PIS

Are ASPSPs required to offer redirected authentication with biometrics to users accessing their payment accounts through an AISP or initiating a payment through a PISP, if they offer redirected authentication with biometrics to users accessing accounts or initiating payments directly via the ASPSP?

  • 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: 2023_6767
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 29/09/2023

Scope of Article 22(1) CRR

Do undertakings subject to Article 22(1) CRR Sub-consolidation in case of entities in third countries have to comply with Part Two of the CRR in full or shall they only comply with Articles 89, 90 and 91 of Part Two?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6765
  • Topic: Own funds
  • Date of submission:

Interplay between Articles 49(3) and 72e(5) of the CRR

Does the exemption from the requirement to deduct holdings of own funds instruments under Article 49(3) of the CRR also apply with regard to the deductions set out in Article 72e(5)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6763
  • Topic: Own funds
  • Date of submission:

ASF carrying amount of hedge accounted fixed rate debt securities

According to the instructions of Annex XIII to Regulation (EU) No 2021/451, debt securities should be reported in C 81.00 based on their carrying amount (its book value). When the fair value hedge accounting is applied to fixed rate debt securities, the carrying amount is composed of principal, amortized cost and gain or loss reflecting the fair value of the hedged part of the liability. If rates have moved up, the carrying amount reduces and as consequence there is less available stable funding. This must be wrong, as rate changes do not increase nor reduce the bank’s available funding, but at maturity the carrying amount always equals the redemption amount. Should the fair value change for the hedge accounted funding, be ignored or reported separately on some cell where ASF would not decrease?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6762
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 16/10/2023

Definition of residential property

I am bringing a point to your notice where in article 4(75) the residential property is defined as a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden. This has led to quite some confusion in my organisation as to what definition applies in other Nordic countries. Given that we have a presence in all Nordic countries, we expect a generic definition which can be consistently applied for the correct treatment of collateral types. These further also impact how the customer segments (rating systems) are defined as according to the regulation the exposure secured by RRE must be excluded when defining thresholds for retail vs non-retail customers. Therefore, I request you to either 1) modify the definition so that it is clearer if the same definition can be applied in all countries, or 2) Remove the specific country name "Sweden" from the definition, or 3) the institutions can follow local FSAs for such definitions, or 4) They can have their own guidelines for such definitions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6761
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

EGDQ 0364A: Misunderstanding about ITS information in column C80

Could the column 0080 of template C 14.00 be filled with the value 'N' (i.e. 'not applicable')?  

  • 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: 2023_6759
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 05/09/2023

QUALIFICATION OF INVESTMENT IN FOREIGN TRADING SUBSIDIARY

Could the EBA confirm that a long position in foreign currency, say in USD (while the Bank’s reporting currency is EUR), stemming only from the Bank’s investment in a trading subsidiary in the US, can be qualified as structural?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2023_6758
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 13/04/2023

QUALIFICATION OF INTERNAL TRANSACTIONS AS "STRUCTURAL"

When considering internal financing in currencies between the Bank’s prudential banking book (“BB”) and the trading book (“TB”), aiming at balancing the balance sheet of both BB and TB, we would be keen to know whether the “banking book leg” of such refinancing could be eligible to the exemption pursuant to art. 352(2) CRR? In particular, could such positions be assumed to hedge/incentivize the CET1 ratio against changes in FX rates while they stem from internal financings between the BB and the TB of the same entity? Could such positions be assumed to be structural?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2023_6757
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 13/04/2023