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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

ITS ESG P3 - Template 2 - Should loan/collateral ratio (loan-to-value) be taken into account?

We have interpreted column a in Template 2 to be filled in with the gross carrying amount of the loan collateralized with commercial and residential immovable property and of repossessed real estate collaterals. What if the collateral value is less than the gross carrying amount of the loan? Should we in this case fill in the gross carrying amount of the loan or use the amount of the loan that is actually collateralized with commercial/residential immovable property in Template 2? 

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

Discrepancy between definition of ‘investment holding company’ and ‘consolidated situation.’

Could a financial institution the subsidiaries of which are mainly tied agents or ancillary services undertakings, but which also has at least one investment firm as subsidiary, be considered an  investment holding company as referred to in Article 4(1)(23) IFR?

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

Minimum loss coverage for non-performing exposures under Article 469a

In case a default occurred on a debt obligation originated before 26 April 2019, and if the originating bank grants the defaulted obligor a forbearance measure in the form of a partial refinancing of a debt obligation to cover past due payments on the original debt obligation and thus effectively increases the bank’s total exposure towards the obligor, will the original debt obligation, which has not been increased, cease to be subject to the derogation provided for in Article 469a(1) CRR?

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

Allocating exposures into the correct vintage buckets of the „NPL-backstop“ acc. to Art. 47c CRR applying Art. 469a CRR

For exposures classified as non-performing prior to 26 April 2019 and not exempt from the deductions from CET1 items for non-performing exposures acc. to Art. 36 (1)(m) applying the second subparagraph of Art. 469a CRR, which date should be considered when allocating those exposures into the vintage buckets of the “NPL-backstop” in COREP template C 35.01 to C 35.03 in order to determine the applicable amount of insufficient coverage for non-performing exposures acc. Art. 36 (1)(m) in conjunction with Art. 47c CRR: Is it the date on which the exposures were originally classified as non- performing, as it is with purchased non-performing exposures (see EBA ITS regarding C 35.01 c0010 - c0100) – in the example above a date prior to 26 April 2019? Or is it the date on which the criteria of the second subparagraph Art. 469a CRR (terms and conditions of the exposure - originated prior to 26 April 2019 - were modified by the institution in a way that increases the institution’s exposure to the obligor) were fulfilled and therefore the exposure shall be considered as having been originated on the date when the modification applies?

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

Treatment of intragroup liabilities when one of the institutions is established in a country being a member of EEA and EFTA (i.e. non-EU Member State but EEA Member State)

Should, according to Article 5(1)(a) of Commission Delegated Regulation (EU) 2015/63, intragroup liabilities be deducted from the contribution base when one side of the transaction is an institution established in a country being a member of the EEA and EFTA (e.g. Norway)? If so, from which date such deductions shall be applied?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements

Eligibility of communication by AISPs with ASPSP throughout two access interfaces in parallel

Question no 1: Do art. 30(1), art. 31 and art. 33 of the Commision Delegated Regulation (EU) 2018/389 of 27 November 2017 supplementing Directive (EU) 2015/2366 of the European Parliament and of the Council with regard to regulatory technical standards for strong customer authentication and common and secure open standards of communication (”RTS”) should be interpreted in that manner, that in scenario, where account servicing payment service provider (”ASPSP”) has introduced a so-called dedicated interface within a meaning of art. 31 RTS, which meets requirements provided for in art. 32 and 33 RTS, than ASPSP has a right and it is up to ASPSP’s sole discretion, whether, for purposes of communication with account information service providers (”AISPs”), to: make available to AISPs, in parallel, two access interfaces, as referred to in art. 31 RTS (i.e. dedicated interface and interface made available to the payment service users for the authentication and communication with their ASPSPs); or make available to AISPs only dedicated interface (without prejudice to, among others, contingency measures set forth in art. 33 RTS)? Question no 2: If answer to question no 1 is that in scenario of introduction by ASPSP of dedicated interface, ASPSP has a right and it is up to ASPSP’s sole discretion to make available to AISPs, in parallel, two access interfaces, as referred to in art. 31 RTS (i.e. dedicated interface and interface made available to the payment service users for the authentication and communication with their ASPSPs), does this mean that AISPs, with observation of further requirements set forth in art. 30, art. 34 and art. 35 RTS, might communicate with this ASPSP, in parallel, throughout both access interfaces? Question no 3: If answer to question no 1 is that in scenario of introduction by ASPSP of dedicated interface, ASPSP has no right and it is not up to ASPSP’s sole discretion to make available to AISPs, in parallel, two access interfaces, as referred to in art. 31 RTS, i.e. a contrario ASPSP is allowed to make available to AISPs only dedicated interface (without prejudice to, among others, contingency measures set forth in art. 33 RTS), does ASPSP is under obligement to engange necessary and proportional measures, including technical measures, for AISPs to communicate with ASPSP only via dedicated interface, i.e. with exclusion of interface made available to the payment service users for the authentication and communication with their ASPSPs? Question no 4: If answer to question no 1 is that in scenario of introduction by ASPSP of dedicated interface, ASPSP has no right and it is not up to ASPSP’s sole discretion to make available to AISPs, in parallel, two access interfaces, as referred to in art. 31 RTS, i.e. a contrario ASPSP is allowed to make available to AISPs only dedicated interface (without prejudice to, among others, contingency measures as set forth in art. 33 RTS) but nevertheless ASPSP has not engange necessary and proportional measures, including technical measures, for AISPs to communicate with ASPSP only via dedicated interface, i.e. with exclusion of interface made available to the payment service users for the authentication and communication with their ASPSPs, does this fact in any measure reflects AISPs right to communicate with this ASPSP throughout both access interfaces, or whether AISPs should undertake any additional actions, and if yes, what kind of actions?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

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