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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

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

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

Treatment of reversal features in cash pooling arrangements

Is a reversal of the daily transfer from the original accounts to the target account, as contractually agreed with the customer, at the next business day compliant with the requirements for net reporting of cash pooling arrangements as set out in Article 429b (2) CRR?

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

Reporting of SA exposures in IRB-CIU look-through

Do CIU exposures for which the IRB look-through approach is applied, but which are subject to the Standardised Approach for calculating the risk-weighted exposure amount as per Article 152(4), point (c), of Regulation (EU) No 575/2013, have to be reported in template C 07.00 (CR SA) or in the C 08 templates (CR IRB)?

  • 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

F 46 EBA_v1226

How to match the re-translated opening balance (in current year) with closing balance (from prior year) on F 46 when the constant USD value is being converted to EURO in two different reporting periods with different FX rate? If the same prior year converted value in EURO is stated in opening balance (before restatement row 10), then how and which row does the FX translation impact shall be reflected?  

  • 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

Treatment of Security Lending and Borrowing Transactions for LCR purposes

How should Security Lending and Security Borrowing Transactions be reported in the LCR template, considering the changes introduced by the Commission Delegated Regulation (EU) 2022/786 about Security Financing Transactions? In detail, shall Security Lending and Borrowing transactions be reported as collateral swaps in C 75.00 template or shall they be reported as Security Financing Transactions in C 73.00 and C 74.00?

  • 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

Interest-income on credit impaired financial assets (template F 16)

Template F 16, r0280, of which: interest-income on credit impaired financial assets: if a financial asset was credit impaired during for example Q1, Q2, and Q3, but during Q4 became performing again, should we still report the interest-income reflected on this row in the Q4-reporting?

  • 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

Treatment of TIPS and IP in AE reporting

Should balances kept on accounts related to TIPS (TARGET Instant Payment Settlement) and IP (Instant payments) in the encumbrance reporting, be reported as encumbered or not?

  • 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

Treatment of additional collateral on top of overcollateralization of Covered bond program

Should a surplus above overcollateralization (above contractual amounts/percentages and also above what rating agencies require to maintain the rating) within a covered bond programme be considered as encumbered, when release and re-assignment of any security requires a signature from external parties (incl. the trustee for the covered bond programme) based on the programme documentation? If the required signature before withdrawal should still be seen as resulting in encumbrance, also in the case of the situation described below, would it then be relevant, if the Trustee contractually would not be able to say ‘No’ if the after the requested withdrawal the required overcollateralization threshold are still met?

  • 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

Notional amount reported under SA_CCR model

SA_CCR model: How do we report notional amount in template C 34.02 {r0030, c0030} in Annex I to Regulation (EU) 2021/451 (ITS on supervisory reporting)?

  • 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

K-CON own fund requirements

How should the K-CON requirement be calculated under Article 39 of Regulation (EU) 2019/2033?   

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

Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting). The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT. A repo transaction is composed by only 2 parameters, the security posted and the cash received. In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions: What is the notional amount of the repo to be reported in column 0030 ? The security value posted (or the security nominal ?) The Cash nominal received The security value posted - the cash received Not relevant, do not populate Other, please indicate What is the current market value of the repo to be reported in column 0040/0050 ? The security value posted The Cash nominal received The security value posted - the cash received The security value posted as a negative position (column 0050) Not relevant, do not populate Other, please indicate What is the exposure value pre-crm to be reported in column 0150 ? The security value posted The security value posted - cash received Other, please indicate

  • 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

Reporting of central bank exposures - C 40.00

Is the intention of data points {row 0090;col 0010} and {row 0090;col 0020} to exclude central bank claims given individual disclosure in {row 0380;col 0010} under taxonomy 3.0 guidance?

  • 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

NACE sector K- 'Financial and insurance activities' in F 06.01

How should the instructions from Regulation (EU) 2021/451, (ITS), Annex V, Part 2, paragraph 92 ‘Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K – Financial and insurance activities’’ be understood? As an example, should a counterparty whose primary activity is NACE code 7010 ‘Activities of head offices’ (sector M), who also performs the activity ‘other financial service activities, except insurance and pension funding n.e.c.’ (NACE code 6499) be presented in F 06.01 in sector K ‘Financial and insurance activities’ or in sector M ‘Professional, scientific and technical activities’?

  • 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

NACE reporting in FINREP

In FINREP where presentation towards NACE sector is requested, in case the immediate counterparty is a holding company, should the applicable NACE sector be based on the NACE sector applicable for the holding company itself, or should the NACE sector be based on the NACE sector of the specific obligor under the holding company which receives the funding from the holding company?

  • 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

Finrep validation v11942_m - Collaterals received on NPL

According to the validation rule v11942_m it has been stated that {F 18.00.d, r0070, c0200} + {F 18.00.c, r0070, c0210} <= {F 18.00.a, r0070, c0060} + {F 18.00.b, r0070, c0150}. However, in our case net amount of total gross carrying amount of non-performing loans (NPL) + Accumulated Impairment is not higher than the amount of total collaterals and financial guarantees received for these loans. Since this validation ID’s severity is being stated as ‘warning’ can we proceed with the actual amounts and report with this situation?

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

Whether values to be reported in template C 08.03 and C 34.07 should be based on original obligor or resultant obligor

Should the values reported in template C 08.03 be based on original obligor (immediate counterparty to whom the original exposure amount is assigned) or resultant obligor (counterparty guaranteeing the original exposure and whose PD or LGD is used for RWA calculation as result of PD/LGD substitution approach)? Consistently, as template C 34.07 has a similar structure as template C 08.03, can the logic applied for reporting values on original/resultant obligor basis in template C 08.03 also be applied to template C 34.07?

  • 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 domestic for reporting collateral by type

For the purposes of populating the C 34.08 of Annex 1 to the Regulation (EU) 2021/451 it asks for cash to be split by domestic currency and other currencies and sovereign debt to be split into domestic and other. In this context, how should domestic be interpreted? We can think of three possible options: 1) Domestic refers to the country of incorporation of the institution. 2) Domestic refers to the country of incorporation of the client against which the institution has the CCR exposures. 3) Domestic refers to the country of incorporation of the issuer of the debt with respect to the sovereign debt (although this would then seem to conflict with domestic for cash if it is a valid option).

  • 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

Exposure of the borrower to ESG factors

Does the assessment of exposure and mitigating techniques in the referenced articles apply to the impact of the borrower on ESG factors, or to the impact of ESG factors on the borrower? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring

In template C 34.02, the column Exposure Pre-CRM (column 150) aims to report EAD of all CCR exposures following articles 274 or 281 or 282 (according respective CCR method) and sub-sequent articles defining the effects of margin agreements or aims to report a new EAD value gross of all forms of collaterals and margins included in the margin agreement

​To comply with the requirement of columns 150, 160 of C 34.02 of Annex 1 of Regulation (EU) 2021/451 (ITS on Supervisory Reporting) we seek clarification regarding what is expected to be delivered in these 2 columns. Does any of the below 3 scenarios describe correctly the interpretation of the ITS guidance? If none of below scenarios reflect the correct interpretation, what is the calculation expected to be performed to derive the EAD Pre-CRM and EAD Post-CRM? Scenario 1: for EAD Pre-CRM value apply all SACCR formulas as if the netting set is unmargined and no form of collateral is accepted For banks under SACCR, for margined and un-margined netting sets the EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V)/(2*(1-Floor)*AddOnaggregate)] Exclude from all steps of the EAD calculation: Initial margin given or received Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given Scenario 2: For EAD Pre-CRM value, apply all SACCR formulas as if the netting set is unmargined For banks under SACCR, margined netting sets will be treated as unmargined netting sets. The EAD should be calculated as follows: Maturity factor at trade level should use the following formula: MF(unmargined) = sqt root [ (min {M;1year})/ 1year] RC (replacement Cost) = max { sum V-C; 0} Multiplier = min { 1; Floor + (1-Floor)*exp[ sum(V-C)/(2*(1-Floor)*AddOnaggregate)] Where V includes: initial margin given Collaterals or guarantees given identified as NICA Where C includes: Collaterals or guarantees received identified as NICA Initial margin received According to scenario 2, exclude from all steps of the EAD calculation (RC or PFE multiplier) the following items: Variation margin given Variation margin received Scenario 3: For EAD Pre-CRM (col150), apply all SACCR formulas as prescribed in Chapters 4 and 6 of Title II of Part Three CRR, and for EAD Post-CRM (col160) show the effects of a third-party collateral/guarantee received pledging the netting set(s), mitigants of which, are out of the netting or margin agreement with the counterparty EAD Pre-CRM (col 150 of c34.02) calculation follows the respective formulas for SACCR (simplified SACCR or OEM according to Chapters 6 of Title II of Part Three CRR articles 274 or 281 or 282 accordingly) depending if margined or unmargined netting sets. Therefore, EAD Pre-CRM includes all the below items which are contractually part of the margining agreement with the counterparty, and which intrinsically are part of the EAD calculation and do not constitute an actual transfer of risk as per credit risk mitigation: Initial margin given or received to/from Variation margin given or received Any instrument identified as NICA:Collaterals or guarantees received Collaterals or guarantees given EAD Post-CRM (C34.02 col160) reflects the effects of any mitigants given by a third-party (different entity from margin agreement counterparty). These mitigants may pledge one or more, derivative or SFT’s netting sets. As these mitigants are given by a different counterparty from the counterparty with who the reporting entity has a margin agreement, and consequently the covered portions by these mitigants are subject to different risk weight and there is an actual transfer of risk, it is relevant to trace what is the EAD Post-CRM value net of the effects of these mitigants.

  • 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