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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

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:

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

FINREP_3.2.1; F 40.01; Validation Rule EBA_v10676

Template F40.01 contains (among others) column 0110 (Accumulated equity interest [%]) and 0120 (Voting Rights [%]) which are left empty for some rows and therefore trigger a validation error as defined by the EBA. In our reporting empty does NOT mean 0 and therefore using empty fields instead of zero is a more appropriate approach to complete form 40,01. Is this approach correct? What should be reported?

  • 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: 2024_7180
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2024

Template F 16.08 validation rule eba_v8193_s

Is it possible to report negative amounts in r 0040 c 0010 (taxes and duties) due to VAT tax refunds from the previous year?

  • 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_7177
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2024

Template F 16.08 validation rule eba_v8193_s

Is it possible to report negative amounts in r 0040 c 0010 (taxes and duties) due to VAT tax refunds from the previous year?

  • 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_7176
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2024

Passporting procedure for CIs and EMIs issuing tokens under MICAR

Are articles 146 (for credit institutions) and 48(3) (for e-money institutions) to be interpreted as submitting credit institutions and e-money institutions issuing ART/EMT on a crossborder basis to comply with the existing passporting framework set for these categories of establishments respectively by directives 2013/36/EU and 2009/110/EC? 

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7168
  • Topic: Other MiCAR topics
  • Date of submission:

Passporting procedure for non-CI ART issuers

Shall NCAs consider that articles 18, 21, 25 and 109 of MICA regulation set a specific passporting framework for “pure” ART issuers where: ART issuers are authorized to market tokens in Member States they declared during the authorization process as soon as they are authorized by home NCAs; within two working days of granting authorization, home NCAs only have to inform host national competent authorities, ESMA, EBA, ECB and competent national central bank of the Member States of the member states where ART issuers intend to market their token ; this information regarding passporting of ART issuers is publicly available on ESMA register? 

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7167
  • Topic: Other MiCAR topics
  • Date of submission:

Publication of white papers

Regarding entities exempted from authorisation pursuant to Article 16(2) of MiCAR, they shall notify the white paper to the competent authority of the home Member State, and the NCA is responsible for forwarding on the white paper of these entities to ESMA. However, it is unclear how the white paper is made available to the intended audiences of customers, and other relevant stakeholders and investors. Article 28 on publication of crypto-asset white papers only refers to ‘approved’ white papers (in accordance with Article 17(1) or Article 21(1) of MiCAR), without referring to notified white papers of exempted entities under Article 16(2) of MiCAR. Therefore, does Article 28 on publication of white paper of ART issuers also applies to issuers exempted under Article 16(2) of MiCAR?"

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7166
  • Topic: Authorisation of issuers of ARTs and EMTs (MiCAR)
  • Date of submission:

Calculation of the net open position for capital requirements for structural FX risk

In the context of article 352.2, in relation with the consolidated capital calculation for FX risk,  the historical cost at solo basis must be taking into account or not?

  • 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: 2024_7162
  • Topic: Market risk
  • Date of submission:

Calculation of the capital requirements for structural FX risk

In the context of article 352.2, when there is an investment in a subsidiary denominated in foreign currency and this subsidiary has invested in other subsidiary denominated in the same foreign currency must this exposure be always exempted from capital requirements calculation? 

  • 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: 2024_7161
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

Offsetting position among all group entities without the permission of 325b

In the context of article 352, when an institution is following a strategy of hedging the consolidated CET1 ratio (as opposed to hedge at solo level) and has been granted the waiver in art 352.2 at a consolidated level but when the permission in article 325b is not granted: It is necessary having the netting permission of 325b granted to take into account shorts open position in a subsidiary to calculate the structural FX position at consolidated level, for the waiver application purposes? 

  • 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: 2024_7160
  • Topic: Market risk
  • Date of submission:

Consideration of additional items in the calculation of the net open position or maximum net open position

In the context of art 352 (2) the calculation of the net open position  or maximum net open position in the context of Structural FX framework should take into consideration items affecting the capital ratio but not directly related to assets, liabilities or off-balance items such Additional Value adjustment or minority interests denominated in FX currency? 

  • 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: 2024_7159
  • Topic: Market risk
  • Date of submission:

Retail deposit - an established relationship criteria

For the purpose of article 24 paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:  (a) has an active contractual relationship with the credit institution of at least 12 months duration;(b) has a borrowing relationship with the credit institution for residential loans or other long term loans;(c) has at least one other active product, other than a loan, with the credit institution.   Could you give an example what is considered to be 'one other active product, other than loan'?  Would it be correct to consider these products as 'one other active product, other than loan' to fulfill the crieteria c): credit card debt; hire purchase; financial lease ?

  • 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_7157
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

Simultaniously use of the SME and infrastructure factor

Please see the existing question, which was not answered yet: 2020_5551

  • 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_7155
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

The OFR calculation are performed in local currency (reporting currency in the jurisdiction for the subsidiary) and then converted to EUR (group reporting currency) for consolidation

Under current (No FRTB) Own Funds Requirements (OFR) framework for Market Risk. A bank composed by a parent entity in Europe and a subsidiary in a third country.  With approved use of Internal Model Approach for all risk factors where no offsetting of positions is allowed between both entities (parent and subsidiary) and not permission described in article 325 of CRR granted. Some residual risks calculated under Standardized Approach. So, according with the IMA permission and TRIM guides, the OFR calculation for market risk at consolidated level is the addition of 4 elements: OFR under IMA for parent + OFR under IMA for subsidiary + OFR under SA for parent + OFR under SA for subsidiary. For the subsidiary, the OFR calculation are performed in local currency (reporting currency in that jurisdiction) and then converted to EUR (group reporting currency) for consolidation. The required Banking Book positions (i.e. FX and commodities) are capitalized for market risk under this schema. Is this calculation compliant with CRR (current version of OFR, not FRTB reporting and future OFR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7154
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 24/09/2024

Perfectly matched back-to-back bought and sold options under market risk capital requirement - sensitivities-based method for calculating the own funds requirement.

According to Article 325e of Regulation (EU) No 575/2013 (CRR) all the positions of instruments with optionality (among others: calls, puts, caps, floors, swap options, barrier options and exotic options) shall be subject to the own funds requirements for: a) delta risk b) vega risk c) curvature risk. According to Q&A no 2016_2571 (Question ID: 2016_2571 published in Single Rulebook Q&A on 11th November 2016) perfectly matching options should not be subject to market capital requirements. Does this approach also apply to sensitivities-based method for calculating the own funds requirement for market risk specified in CRR2/CRR3? If yes does it mean that perfectly matched back-to-back bought and sold options can be excluded from calculation capital requirement for market risk under sensitivities-based method  (delta, vega and curvature risk)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7149
  • Topic: Market risk
  • Date of submission:

Breakdown of currencies to be reported

What is the expected breakdown by currencies for the reporting of template J.01.00 and for the reporting of the other J templates [(J 02.00, J 03.00 and J 04.00), (J 05.00, J 06.00 and J 07.00), (J 08.00 and J 09.00) and (J 10.00 and J 11.00)] in the case that for J 01.00 the bank includes other currencies in addition to the minimum “material currencies” as defined in Article 1(3) of Delegated Regulation (EU) 2024/856 when reporting the aggregation of “all currencies”? Let us consider, for example, the case of a bank on which on a consolidated level three currencies (EUR, USD, GBP) are identified as “material currencies”, but the bank includes, on a voluntary basis, other currencies (e.g. MXN and BRL) for the calculation of the SOT, as it is considered in the bank’s internal management systems. Must the bank provide the breakdown by currencies for the J templates only for the “material currencies” (EUR, USD, GBP) or as well for the other “non-material currencies” (MXN and BRL)? 

  • 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_7148
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as final Q&A: 27/09/2024