Search for Q&As

Enquirers can use various factors to search for a Q&A:

  • These include searching by the Q&A ID; legal reference, date submitted, technical standard / guideline, or by keyword if known.
  • Searches can be extended to more than one legal act, topic, technical standard or guidelines by making multiple selections (i.e. pressing 'Ctrl' on your keyboard, and selecting the relevant ones from the drop-down lists by left mouse-click).

Disclaimer:

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

Classification of exposures for which an IRB bank uses the standardised approach, into IRB exposure classes (Article 147 CRR)

Is there any regulation stipulating that for exposures where an IRB bank uses the standardised approach, these "standardised" exposures have to be classified into exposure classes valid for the standardised approach (Article 112 Regulation (EU) No 575/2013 (CRR)).

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

Interaction of the EBA Opinion on the MDA and Article 92 Regulation (EU) No 575/2013 (CRR)

Where a bank does not have sufficient subordinated debt in issue to fulfil its minimum 1.5% Tier 1 and 2.0% Tier 2 requirement, it may need to use a higher quality form of capital to fulfil these requirements.To the extent a bank has to assign CET1 to fulfil shortfalls in its minimum Tier 1 and Tier 2 requirements, can this CET1 also be applied to meet Pillar 2 and Combined Buffer requirements for the purpose of calculating the MDA? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

The definitional references for rows 030 and 040 of Table 1C of Template P 01.03 refer to the Basel 3 Monitoring template instead of the Delegated Act on LCR

Should the data for rows 030 and 040 of Table 1C of Template P 01.03 be reported based on the Delegated Act, instead of the data based on the Basel 3 Monitoring templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05

Clarification of the geographical scope of the benchmark portfolios

Annex I, template C103, Column 030: When 'not applicable' is stated for geographical location,should we report the aggregate of the 24 countries listed or the aggregate of the bank's worldwide portfolio?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Liquidity waiver for institutions controlled by EU parent financial holding company

Regarding the application of Article 8 (1) of Regulation (EU) No 575/2013 (CRR), can it be considered to extend the option to accept a liquidity sub-group to cases where the parent company is a EU parent financial holding company owning a single credit institution or a single investment firm, if all the conditions laid out in article 8 (1) of Regulation (EU) No 575/2013 (CRR) are met?

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

Trades receivables towards Central Banks

Could you clarify why in the FIN 5 template, it is not possible to put an amount in the cell « Trades receivables towards Central Banks” (Row 30 Column 10)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Deduction from own funds of items entered as assets that are not yet included within equity

If an institution enters an asset (e.g. at Equity valuation of a holding in a Financial Sector Entity (FSE) or increasing the amount of a deferred tax asset) through the profit and loss statement (P&L), the corresponding profit is not eligible for own funds before it is audited and officially approved (or in case of interim or year-end profits before it is audited and recognition is approved by the competent authority).However, the deduction amount (e.g. holdings in FSE or DTAs) has formally increased and would lead to an immediate higher deduction amount. If this was the case, it would represent the deduction of gains that are not yet recognized in the own funds of the institution. 

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

Correct application of credit conversion factors in relation to credit substitutes and shipping guarantees

According to Annex I Classification of off-balance sheet items:a) Paragraph 1. (a) guarantees having the character of credit substitutes are guarantees for the good payment of credit facilities. These guarantees bear full risk, therefore CCF of 100% is applied as stated in Article 111. Could you provide more examples or a definition of credit substitutes?b) Paragraph 2. (b). (i) shipping guarantees: could guarantees for payment of delivered goods and services be considered shipping guarantees?

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

Liquid assets underlying sold call options

Should bonds underlying call options (either American or European expiring within 30 days; with exercise mode physical delivery) written by the institution be considered as used in hedging strategies, thus excluding them from the holding of liquid assets in the context of LCR reporting?

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

Prices for Various Lengths of Funding-currency spreads

We would like to seek further guidance on whether the EBA expects firms to calculate spreads for all currencies, which would then be used to calculate the total, or if the EBA would accept reporting for material funding only?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

EAD Template C 105.01

In Column 040 EAD of template C 105.01 the EAD is required. Is it the entire EAD for the respective internal model on institution level irrespective of portfolios or do we have to calculate the EAD for each portfolio which is assigned to the respective internal model? On reporting date 31.12.2015 these would be the portfolios mentioned in template C 103.00.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Incorporation of contributions over full five year time horizon into determination of five year loss rate

The five year loss rates is calculated as the average of the one year loss rate as defined in column 210 of the same table. The one year loss rate only considers the credit risk adjustments and write offs which occur in the first year of default. Thus, the five year loss rate does not include changes in credit risk adjusments and write offs which occur after the first year of default. Is this correct?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Incorporation of intra year cures

The loss rate is defined as sum(credit risk adjustment write offs of observed new defaults at the end of year) / sum (exposure[end of preceeding year] of the observed new defaults). Are cases which default during the year but cure until the end of the year to be included in the denominator?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Relevant time period to determine default rate and loss rate

Is it correct that the default rate and the loss rate for each rating grade has to be calculated based on the defaults of assets which belonged to the respective rating grade one year before the reference date (see description of c190), whereas the exposure value (110), LGD (130) , RWA (170) etc. have to be reported for the reference date? Would it not be more reasonable to report the default rate and the loss rate for the year after the reference date?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Market Risk Netting Under Article 331 (2)

Does Article 331(2) apply to both notional positions produced from a futures contract as per Articles 328 or just to the positions created in the underlying instrument, or just to the position created in a notional instrument that matures on the delivery date of the futures contract? For example a bond future produces both a notional position in a deliverable bond and a notional position for the cash movement at the future expiry.a) Does Article 331(2) apply to both of these notional positions, or just to the notional position created in the deliverable bond, or just to the notional position created for the cash movement at the future expiry?b) Please confirm if the notional position created in the deliverable bond should be included in a net bond position calculation under Article 327(1), and excluded from netting under Article 331(2), while the notional position created for the cash movement should be excluded from Article 327(1) and included in Article 331(2) netting with only other cash movement notional positions.

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

Calculation of the value of exposures resulting from the settlement of debt instruments and equities processed through a delivery-versus-payment (DvP) mechanism.

1. Can it be understood that exposures arising from the settlement of debt instruments and equities, both to the client and the CCP, do not have a capital requirement under Pillar 1, which seems to be the proposed treatment under Basel II (paragraph 89). 2. As for Article 390, 6, b do the exposures mentioned in question 1 fall outside large exposure calculations, regardless of being to the client or to the CCP? 3. Since the settlement of debt instruments and equities seams to falls out of the scope CRR’s own funds requirements for exposures to CCP’s, what is the corresponding treatment (for both own funds and large exposure calculations) for collateral posted and contributions to the default fund of a CCP for such instruments? 4. Should collateral posted as required by the CCP to the General Clearing Member but deriving from transactions with their non-clearing members be considered as an exposure to the clients? If so, the treatment would be such as in questions 1 and 2 for capital and large exposures calculation purposes?

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

Deposits by Financial Customers

Do deposits from Financial Customers with a remaining maturity of more than 30 days qualify for a 100% outflow rate for LCR purposes or shall they be excluded from calculation? (e.g. a 3 months unsecured deposit from an investment firm).

  • 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

Special manager as insolvency manager

Must national courts adhere to the resolution authority’s decision that a special manager should also be insolvency manager?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Prior state aid approval when using resolution tools

Does the use of resolution tools require a prior state aid approval?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

References to shareholders in Article 34 (and 44)

Are holders of Common Equity Tier 1 (CET1) only to be considered shareholders?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable