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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

NSFR RST accrued interest recognition

In Annex XIII, Part I, point 6 is written, that for reporting purposes, in the columns referred as “Amount” the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR. Also Part II, 1.13 tells that ll non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. But in which time bucket do accrued interest amounts of loans fall into - < 6 months, ≥ 6 months to < 1 year or ≥ 1 year? It seems that they should be included into time bucket '< 6 months'. Read the Question ID: 2013_656, but no clear answer about accrued interest. So could you please clarify this?

  • 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: 2022_6668
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

The Max Single Loss and the Top 5 Largest Loss Controls do not consider losses re-allocated from one business line to another.

Taking into account the background described in the present form, should the EGDQ_0088a and EGDQ_0082 be set up as non-blocking? If not, what should be the financial institution’s approach, regarding BBL allocation, on situations where a past loss has increased and is transferred to another BBL between two reporting period?

  • 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: 2022_6656
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 14/09/2023

Definition of off-balance sheet assets under IFR

Should the assets which an investment firm safeguards and administers for clients (ASA) and assets under management (AUM) be included in the off-balance sheet total of an investment firm for the purpose of calculation of 100 million euro threshold set out in Article 12(1) h of IFR?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6635
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 12/09/2023

Aggregation of P&L for Net Interest Income

In Article 22 of draft EBA/RTS/2022/10, it stated to apply 50% to profit when aggregating P&L at currency to get total NII.  If the stress NII at currency level are all profits (as seen in our calculation under +shocks scenario), do I apply 50% to each profit, or profit in one currency should be allowed 100% (if so, should it be the reporting currency, or any chozen currency)? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6819
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 05/09/2023

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

Calculation of loss given default for fully off-balance exposures in case there are no additional drawings after the default date.

According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   In case the exposure is fully-off balance at the moment of default and there are no additional drawings after default, both the numerator and the denominator of the LGD will be equal to zero. This means that the LGD cannot be calculate using the definition stated above. Should the realized LGD be set equal to zero in this case? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6376
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Calculation of amount outstanding at default and loss given default for products in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR)

Article 181(1)(a) of Regulations (EU) No 575/2013 (CRR) specifies that LGDs shall be estimated on the basis of the average realized LGD by facility grade or pool using all observed defaults. According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   For the purpose of calculating the realized LGD, how should the amount outstanding at default (and the denominator of LGD) be calculated for exposures in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR) that are fully off-balance at the moment of default?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6375
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

In the CSRBB framework, the use of a different scope for NII and EVE

In the CSRBB framework, we want to know if banks are allowed use a different scope for NII and EVE.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6836
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Large exposures and guarantee received

Article 400(1)(d) CRR states, among the exemptions from the application of paragraph 1 of Article 395, ‘other exposures (…) guaranteed by central governments (…) where unsecured claims on the entity (…) providing the guarantee would be assigned a 0% risk weight under Part Three, Title II, Chapter 2’. I would like to know whether receiving 0% solvency-weighted securities issued by central governments as collateral makes us fall within the scope of this Article.  In other words, does the fact of receiving such securities as collateral mean that the exposure in question is ‘guaranteed’ by the central government in question under this Article? If so, what are the operational conditions to be met, in particular as regards the maturity of the security vs the maturity of the exposure and as regards any difference in currency between the exposure and the security received as collateral?   L'article 400 1-d du CRR indique, parmi les exemptions à l'application du paragraphe 1 de l'article 395, 'les autres expositions (...) garanties des administrations centrales (...) dès lors qu'une créance non garantie sur l'entité (...) par laquelle elle est garantie recevrait une pondération de risque de 0% en vertu de la troisième partie, titre II, chapitre 2'. Je souhaite savoir si le fait de recevoir en garantie des titres émis par des administrations centrales pondérées à 0% en solvabilité nous fait entrer dans le cadre de cet article.  Autrement dit, le fait de recevoir de tels titres en garantie fail-il que l'exposition en question est 'garantie' par l'administration centrale en question dans le cadre de cet article? Si oui, quelles sont les conditions opérationnelles à respecter, en particulier quant à l'échéance du titre vs l'échéance de l'exposition et quant à une éventuelle différence de devise entre l'exposition et le titre reçu en garantie?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6835
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Deferred tax assets related tax loss due to losses on derivatives in cash flow hedge accounting relationships

In accordance with Article 33(1)(a) CRR, institutions do not include fair value reserves related to gains or losses on cash flow hedges in own funds. Is it correct to also filter deferred tax assets related to the tax loss resulted from fair value reserves related to gains or losses on cash flow hedges?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6831
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Exposure excluded from total exposure measure for the calculation of the leverage ratio

Can the assets that represent funds deposited by a payment institution with the institution, for the fulfilment of its safeguarding obligation under directive 2015/2366 on payment services, be assigned with a risk weight of 0% to the extent they are placed by the institution with a central bank and consequently be excluded from the total exposure measure in accordance with article 429a (1) (c)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6826
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Treatment of corporate debt securities issued by entities that are set up to raise financing for the parent company or group in the LCR liquid asset buffer

Can corporate debt securities that are issued by entities that are set up to raise financing for the parent company or group be included in the LCR liquid asset buffer, considering that that the main business of this specific entity within the group is the participation of securities issues, which is one of the activities listed in Annex I to Directive 2013/36/EU?

  • 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_6816
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Calculation of expected credit losses for guaranteed exposures

We would like to know whether full substitution of the guarantor parameters to the debtor’s parameters (so that ECL are effectively calculated on the guarantor) can take place when calculating ECL on a guaranteed exposure in accordance with Regulation 2016/2067 (IFRS 9) as elaborated on by EBA Guidelines 2017/06.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6815
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Capital instruments eligible as Tier 2 Capital

Under the CRR, capital instruments and subordinated loans shall only qualify as Tier 2 instruments provided that the conditions outlined in Article 63 are met. This includes the condition that “the instruments are directly issued by an institution and fully paid up” as per Article 63(a). As further outlined in Annex II instruction to row 0771, such capital instruments also include subordinated loans insofar that they fulfil the eligibility criteria. We would like to request clarification on the eligibility criteria of Article 63(a) in the context of an amendment in the regulation’s text of Article 64, effected via CRR II (Regulation 2019/876). This clarification is sought with the aim of determining whether the “accrued interest” on subordinated debt may be eligible for inclusion as Tier 2 capital, having regard to Article 63(a) and Article 64 in particular.

  • 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_6793
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

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

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

Value of domestic payment transactions

Should the value of domestic payments transactions between credit institutions and central banks be considered for this indicator?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2019/348 - RTS on simplified obligations for recovery and resolution planning
  • ID: 2023_6832
  • Topic: Simplified obligations
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2023

Calculation of the NPL ratio for determining F_23.00 to F_26.00 reporting requirements

In calculating the ratio outlined in Article 11(g)(ii) of the ITS on Supervisory Reporting to determine applicability of reporting requirements for F_23.00 to F_26.00, should institutions exclude cash balances at central banks and other demand deposits from both numerator and denominator?

  • 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_6818
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/07/2023

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Why there is still some validation rules which control if Financial Garantee and Collateral are less than the Gross Carrying Amount in FINREP 19.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6814
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/07/2023

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Why there is still some validation rules which control if Financial Garantee and Collateral are less than the Gross Carrying Amount in FINREP 18.02?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6813
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 22/07/2023