Single Rulebook Q&A

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

  • If you know the Q&A ID, you can insert this in the relevant field.
  • You can also search by legal reference, date submitted or by keyword.
  • 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).
  • Further information on how to search for a Q&A can be found in the Additional background and guidance for asking questions.
Period posted:
Clear
Clear
Publication:
Clear
Clear
Showing 1 - 20 of 63 results.
of 4
   

CIU Correlation Test

When applying the correlation test outlined in Article 350(2b) to a given CIU position in order t...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3538 | Topic : Market risk | Date of submission: 02/10/2017
View

Consideration of surplus collateral received in providing further credit risk mitigation

We are aware of differing interpretations by market participants in relation to the answers given...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3303 | Topic : Market risk | Date of submission: 24/05/2017
View

Calculation of general risk capital requirement for underwriting commitment regarding bond issuance and bond issuance programs under duration-based method specified in Article 340 of the CRR.

How should the capital requirement under duration-based calculation of general risk specified in...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3450 | Topic : Market risk | Date of submission: 10/08/2017
View

Mark-to-Market Method: Add-on for sold options

Should the PFE add-on for sold options that form part of a larger netting set exceed the maximum...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3217 | Topic : Market risk | Date of submission: 08/03/2017
View

Permission for delta models for back-to-back positions

Does the requirement to obtain competent authorities’ permission for delta models (Articles 329(1...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3314 | Topic : Market risk | Date of submission: 30/05/2017
View

Netting between depositary receipts and underlying equities

With regards to the equities and depositary receipts (DRs) issued is the net position in a combin...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3120 | Topic : Market risk | Date of submission: 23/01/2017
View

CVA Standardised Method for Securities Financing Transactions (SFTs)

Article 382(2) of Regulation (EU) No 575/2013 (CRR) states that ‘an institution shall include sec...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2014_1376 | Topic : Market risk | Date of submission: 18/07/2014
View

AVA calculation and tax effects

Should Additional Value Adjustments (AVAs) be calculated net of tax effects for the purpose of th...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
ID: 2016_2658 | Topic : Market risk | Date of submission: 04/03/2016
View

Market risk capital requirement for CIUs where a look-through approach is applied

Can the market risk capital requirement for CIUs where a look-through approach based on the under...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3099 | Topic : Market risk | Date of submission: 17/01/2017
View

Netting of Exposures arising from CIUs

Under the approach of Article 350(2) CRR, shall netting be permitted between positions in the und...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2917 | Topic : Market risk | Date of submission: 27/09/2016
View

Valuation input consisting of a matrix of parameters

For the purposes of calculating AVAs for Market Price Uncertainty, where a valuation input consis...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
ID: 2016_2948 | Topic : Market risk | Date of submission: 18/10/2016
View

Consideration of collateral in the potential future credit exposure

We seek clarification regarding the potential future credit exposure referred to in Article 274(2...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2735 | Topic : Market risk | Date of submission: 16/05/2016
View

Capability to perform an impact analysis for 15 consecutive business days for extensions and changes of internal approaches for market risk

Do the regulatory technical standards for assessing the materiality of extensions and changes of...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2015/942 - RTS on materiality of extensions and changes in internal approaches for market risk
ID: 2016_2763 | Topic : Market risk | Date of submission: 02/06/2016
View

Review and validation of criteria for the use of a reduced number of parameters

For purposes of internal independent review and annual validation of the netting methodology, can...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
ID: 2016_2949 | Topic : Market risk | Date of submission: 18/10/2016
View

Exclusion of centrally cleared transactions

How should the terms ‘clearing member’ and ‘client’ be understood for the purposes of Article 382...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_3009 | Topic : Market risk | Date of submission: 18/11/2016
View

Offset of Additional Value Adjustments (“AVA”) against Expected Loss (“EL”) under Article 159

Could the EBA advise whether the reference to “provisions” within the answer to Q&A 2014_933...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_1835 | Topic : Market risk | Date of submission: 17/02/2015
View

Application level of materiality threshold for assessing the materiality of extensions and changes to the IMA

What is the reference base for the materiality thresholds specified in the technical standards fo...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
ID: 2015_2466 | Topic : Market risk | Date of submission: 12/11/2015
View

Calculation of the threshold for using the simplified approach for the determination of AVAs.

Exactly matching, offsetting fair-valued assets and liabilities shall be excluded from the calcul...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
ID: 2016_2756 | Topic : Market risk | Date of submission: 30/05/2016
View

Mark-to-Market Method: Application of perfectly matching provisions to FX forwards

Can the perfectly matching rule be applied to the below two FX forwards (as...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2115 | Topic : Market risk | Date of submission: 07/07/2015
View

Break clauses in capital requirements and Residual maturity

In a swap contract with break clauses, basically with an enforceable option of early termination...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2252 | Topic : Market risk | Date of submission: 24/08/2015
View
Showing 1 - 20 of 63 results.
of 4