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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

Template F 16.01 validation rule v5693_s

Is it possible to report negative income from General Government debt securities in F 16?

  • 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

Determination of exposure value cap for netting sets subject to a margin agreement.

CRR Art. 274 (3) states that the exposure value of a netting set that is subject to a margin agreement may be capped at the exposure value of the same netting set assuming it would not be subject to a margin agreement. In this context the question arises if variation margin that the institution has already received or posted should be disregarded in order to determine this cap.  

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

Transaction with underlying assets: “distinct client” vs. “unknown client”

In the case of a transaction with underlying assets where an institution cannot identify the obligors and cannot ensure, by means of the transaction’s mandate, that the underlying exposures of the transaction are not connected with any other exposures in its portfolio, which is the correct procedure for the assignment of the exposures taking into account that a subset of underlying asset exceeds individually 0,25% of the institution’s eligible capital and the remaining underlying assets individually do not exceed that materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets

Share-linked instruments

Is it possible for listed institutions to award variable remuneration under a prospective remuneration plan in share-linked instruments which are priced based on their fair value, applying certain value tunings to the underlying share price due to regulatory availability constraints, including an adjustment to the market value of the share considering that the market value reflects a full entitlement to all expected future dividends?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/04 - Guidelines on sound remuneration policies under CRD (repealing EBA/GL/2015/22)

Definition of encumbrance for the purposes of inclusion of deposits into the category of liquid assets under the IFR

Should the investment firm, which requires posting by client of cash collateral for margining purposes and which obtains ownership over the money placed for the market value of derivative transaction, consider the received cash collateral as unencumbered assets for the purposes of the calculation of liquidity requirement under the IFR, when the cash collateral received by the investment firm is posted as a short-term deposit at a credit institution?

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

Reporting of off-balance sheet exposures (any undrawn purchase commitment) from factoring contracts in F_09.01.1

In case of off-balance sheet exposures from factoring contracts (with or without recourse), who should be considered as the immediate counterparty when reporting these exposures in F 09.01.01?Should these off-balance sheet exposures be reported as loan commitments given or other commitments given?

  • 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

Prodicts in a Template F05.01 and in a Template F08.01

1) How should be presented "Loans and receivables" or "Deposits" which are granted earlier than Reporting date, but which will be matured/repaid on the day following Reporting date? 2) Should “calendar" or “business" day be used  for Overnight deposits?

  • 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

Treasury shares – how to report them in Own Funds and in the NSFR

In CA1 (own funds), should treasury shares (holdings of own shares that were bought back with the prior permission from the CA) be reported in as ‘(-) Direct holdings of CET1 instruments’ (row 80) or should they be reported as part of the ‘Accumulated other comprehensive income’ (row 180) or ‘Other reserves’ (row 200) if they are already included in one of these accounts according to the accounting rules? In case treasury shares are to be reported as a deduction in row 80 in CA1 (hence this deduction is reversed in the NSFR own funds - see Q&A 2021_6016), should treasury shares require any stable funding?

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

PD calibration sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a TTC model, clarification is needed on the expectation on the implementation of the back-testing performed in the validation phase.: Shall the back-testing at portfolio level verify that the average PD over historical observation period is aligned with LRA DR or, instead, shall the comparison be made between PD estimates current at the validation date and the LRA DR? Does it change according to the rating philosophy? Shall the back-testing always be performed on a 1-year validation sample, regardless the type of TTC calibration philosophy and regardless the length of the calibration sample? How shall the rating philosophy be taken into consideration when assessing the outcome of back-testing at grade level? Provided that the main aim of the calibration is to reflect the LRA DR, is the any case where the alignment to 1-year default rate should get a higher weight in validation assessment, although in a TTC calibration philosophy?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures

Use of the last available data for risk quantification sample

Given the requirements of Articles 179(1)(a) and 175(4)(b) CRR, in case of a model development, should the last available one-year snapshot be used for risk quantification purposes (i.e., for the computation of the long-run average default rate) or be set aside for out-of-time validation tests?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures

CCR treatment of exposures arising from centrally cleared transactions - indirect clearing flows

Does an institution which is a client of a clearing member or a lower-level client in a multi-level client structure (institution > intermediary/higher-level client > clearing member > central counterparty) need to verify that Art. 305 (2) or (3) conditions are met at every level of the structure to apply Art. 306 (1) CRR, which might also entail zeroing out the exposure value arising from the transaction between the institution and the clearing member or the higher-level client if the institution is acting as a financial intermediary between a client and a CCP? Guidance is sought on 4 possible clearing flows: Indirect clearing flows (clients’ transactions and institution’s own transactions) Client > institution > clearing member > CCP Institution > clearing member > CCP Multi-level indirect clearing flows (clients’ transactions and institution’s own transactions) Client > institution > intermediary/higher-level client > clearing member > CCP Institution > intermediary/higher-level client > clearing member > CCP

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

Prospective remuneration plan for variable remuneration

What requirements must a remuneration plan fulfil in order to fall under the concept of “prospective remuneration plan for variable remuneration, including LTIPs, […] exclusively based on future performance conditions”, as per para. 139 of the EBA Guidelines, so that instruments awarded under then plan should exceptionally be valued for the purpose of the calculation of the ratio between variable and fixed components of the total remuneration with the market price or fair value at the time the prospective remuneration plan was granted? In particular, can an incentive plan which combines both short-term and long-term performance conditions fulfil the requirements of a “prospective remuneration plan” within the meaning of para. 139 of the EBA Guidelines?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/04 - Guidelines on sound remuneration policies under CRD (repealing EBA/GL/2015/22)

Determination of own funds requirements for gamma risk according to the ‘Delta plus approach’, for option positions in Exchange-traded funds (ETFs), when the reporting institutions apply the look-through method for the funds

How should the gamma impact be calculated for options positions on Exchange-traded funds (ETFs), when the look-through approach is applied to those funds and the components of the fund are from across several sectors?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach

Ability of the Share Premium to absorb losses

Can the Share Premium be recognised as CET1 capital if there are features preventing its use to absorb losses?

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

Share buybacks included in distribution policies

How and when should the share buyback ordinary component of an adopted profit distribution policy be reflected in the CET1 capital of institutions?

  • 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

Share buyback program: amount of upfront deduction

Does the upfront deduction under Article 28(2) of Commission Delegated Regulation (EU) No 241/2014 as specified by Q&A 3277 include in addition to CET1 instruments and related share premium accounts also the other CET1 items that are reduced by a share buyback program authorized pursuant to Article 78(1)(b) CRR?

  • 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

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

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

Identifying the customer of a collecting PSP

Does the fact that a collecting PSP (e.g. one providing the payment service acquiring of payment transactions to the payee) is involved in the flow of funds between the payer and the payee mean that the same PSP, if also providing merchant-facing payment initiation services, would have to assess the payer using PIS to be its customer in a different way than it would have to do if it were to provide PIS only (i.e. by way of deviation from what would otherwise apply according to Guideline 18.8 a of EBA/GL/2021/02))?

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/02 - Guidelines on customer due diligence and the factors institutions should consider when assessing the ML /TF risk associated with individual business relationships and occasional transactions under Articles 17 and 18(4) of AMLD

Identifying the customer of a PISP

Is the assessment of who the customer is, from the perspective of a payment initiation service provider (PISP) with a merchant-facing business model (as referred to in Guideline 18.8 a) of EBA/GL/2021/02), affected by the frequency with which a single payer uses the PISP’s services?

  • Legal act: Directive (EU) 2015/849 (AMLD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/02 - Guidelines on customer due diligence and the factors institutions should consider when assessing the ML /TF risk associated with individual business relationships and occasional transactions under Articles 17 and 18(4) of AMLD