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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.

List of Q&A's

Regular Way Purchase or Sales Awaiting settlement: distinction between trading date and settlement date according to whether the institution has an agent activity or for its own account

How  Regular Way Purchases or Sales Awaiting should be properly allocated in Pillar III  EU-LR2 template?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Data collection regarding high earners that are staff in investment firms subject to Article 25 and 34 of Directive (EU) 2019/2034 when the investment firms are part of a group subject to prudential consolidation.

Point 18 of EBA/GL/2022/08 states: “High-earners data should be submitted (…) by: a. institutions referred to in Subsection 1.1, using the template for the data collection specified under: i. Annex I for high earners that are staff of institutions and other entities in the scope of consolidation; ii. Annex II for high earners that are staff in investment firms subject to Article 25 and 34 of Directive (EU) 2019/2034;” We have found that there are several common data points defined between R 04.00 and R.04.01 (in particular columns 0010, 0020 and 0070 of R 04.01) in XBRL taxonomy version 3.2. which technically prevents the possibility to report according to point 18 of EBA/GL/2022/08. For example, supposing an institution has one member of the MB Supervisory function (column 0010) reported in “Number of other staff” (row 0030) in an investment firm (point ii) and four members of the MB Supervisory function (column 0010) reported in “Number of other staff” (row 0030) in the parent institution (point i), it cannot report one person in R 04.01 and four people in R 04.00 due to the common data points between them.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/08 – Guidelines on the data collection exercises regarding high earners

Validation rules and warnings

Due to the increase of interest rates, the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' is a negative number on the asset side of the balance sheet. In the NSFR this amount is reported under 'other assets' (C80.00 R1030). However, we obtain multiple warnings eba_v11531_s, eba_v11537_s, eba_v11546_s, eba_v11552_s, eba_v11565_s, eba_v11582_s. Is it possible to report a negative number under other assets, and if not where should we report the negative amount of 'fair value changes of the hedged items in portfolio hedge of interest rate risk'

  • 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

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

Calculation of K-COH

Should the transactions relating to managing the delegated investment funds’ portfolios be included into COH of the investment firms?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

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

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

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

Derivates splitting

In Part 5, No. 24 of the Annex 29 (REPORTING INSTRUCTIONS FOR THE PURPOSE OF INTEREST RATING RISK IN THE BANKING BOOK) is mentioned 'In the case of derivatives, institutions shall report the net amounts of repricing cashflows (i.e., not broken down by receiver/payer legs).' At the same time regarding the repricing cashflows, there is a link to the RTS SA which says in Article 10  'Derivative instruments not subject to optionality shall be separated into a paying and a receiving leg.' Can you please clarify if the Derivates should be shown as net position in J 05.00 or should they be split into their legs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Applicability of the Guidelines of the Committee of European Banking Supervisors on the management of operational risks in market-related activities (12 October 2010)

Are the Guidelines of the Committee of European Banking Supervisors on the management of operational risks in market-related activities (12 October 2010) still in force and applicable? Is the same legal reasoning used under Question 2020_5340 applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

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

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

Template 2: Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral

The formula linked to the following rule IDs: v16049_m; v16078_m; v16080_m; v16082_m; v16084_m; v16086_m; v16088_m; v16090_m and v16092_m appears to be incorrect.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

Reporting of marginal deposit facility amounts (overnight deposits with the central bank) in template C72.

It is not clear how the amounts in Central Banks regarding the marginal deposit facility should be treated in the calculation of the LCR and reported in C72. In fact, some institutions are reporting it in row 0050 (“Withdrawable central bank reserves”) and other institutions in row 0060 (“Central Bank assets”). Which one is the correct row?

  • 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

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

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

Misalignment between table 2 Annex XXXIX and Annex XL

The Pillar 3 DA foresees the publication of three qualitative sections which require the application, in particular, of Regulation (EU) no. 2022/2453. From the examination of this A discrepancy has been observed between the delegated regulation and its annexes I (which includes the text of the original annex XXXIX) and II (which contains the text of the original annex XL) regarding what is reported  in table 2 of the Annex XXXIX and what is described in the instructions for table 2 of Annex XL about letter d) relating to Governance on social risk. In particular:- In Annex XXXIX table 2 - Qualitative information on social risk in line d) for the Governance aspects, it is specified what information must be published: the "Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of social risk management covering counterparties' approaches to: (i) Activities towards the community and society, (ii) Employee relationships and labor standards, (iii) Customer protection and product responsibility, (iv) Human rights". The focus of the information appears to be on the approaches that the Bank's counterparties (customers and suppliers) take towards the community and society, its relationships with employees and compliance with labor standards, customer protection and product liability and human rights, posing an indirect risk for the financial institution.- In Annex XL the instructions for compiling the tables and models referred to in Annex XXXIX provide that "in accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point ( b), and Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall describe how their management body is involved in the supervision and management of social risks. That information shall cover the rationale of the approach taken by the management body and take into account a number of social factors. Those factors include the institution’s engagement towards the community and society, its relationships with employees and compliance with labor standards, customer protection and product responsibility, and human rights.” In this case there would be a direct risk for the Bank. The art. 18 bis point 1 a) of Regulation (EU) 2022/2453 also establishes that, in relation to information on environmental, social and governance risks, entities (intended as financial institutions) publish "qualitative information on environmental, social and governance risks using tables 1, 2 and 3 set out in Annex XXXIX to this Regulation and following the instructions set out in Annex XL to this Regulation”.Should table 2 Annex XXXIX be filled reporting direct or indirect risks?   

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

ESG P3 - Template 2 and 5 - Sectors to be included for loans collateralized by RRE/CRE

In DPM 3.3 table layout for ESG template 2 (D 02.00a and D02.00b) the information on Energy efficiency associated to real estate collateral is limited to loans&Advances belonging to counterparty sector "Non-financial corporations", which would mean that Loans&Advances to households, or any other sector, collateralized by immovable property would not be included in this template.However, In DPM 3.3 table layout for ESG template for ESG template 5 (D 05.00a), the information related to real estate collateral is not limited to counterparty sector "Non-financial corporations", which would meand that all sectors can be included, generating a difference between what would be published in the two templates.Is this correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

What to report in D 05.00.b - Banking book - Indicators of potential climate change physical risk?

Question 1: what are the data/NACE code in scope to be reported for template D 05.00.b - Banking book - Indicators of potential climate change physical risk? Question 2: what is the level of NACE code to disclose in template D 05.00.b - Banking book - Indicators of potential climate change physical risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures