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Permission for delta models for back-to-back positions

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2017_3314 | Topic : Market risk | Date of submission: 30/05/2017
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Netting between depositary receipts and underlying equities

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2017_3120 | Topic : Market risk | Date of submission: 23/01/2017
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Derivative adjustment of the basic annual contribution through mark-to-market method

For the purpose of Article 5(3) of Commission Delegated Regulation (EU) 2015/63 the valuation of...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2017_3172 | Topic : Market risk | Date of submission: 20/02/2017
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CVA Standardised Method for Securities Financing Transactions (SFTs)

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2014_1376 | Topic : Market risk | Date of submission: 18/07/2014
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AVA calculation and tax effects

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA 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
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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 unde...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2017_3099 | Topic : Market risk | Date of submission: 17/01/2017
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Netting of Exposures arising from CIUs

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2016_2917 | Topic : Market risk | Date of submission: 27/09/2016
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Valuation input consisting of a matrix of parameters

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA 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
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Consideration of collateral in the potential future credit exposure

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

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

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA 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
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Exclusion of centrally cleared transactions

How should the terms ‘clearing member’ and ‘client’ be understood for the purposes of Article 38...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2016_3009 | Topic : Market risk | Date of submission: 18/11/2016
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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/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_1835 | Topic : Market risk | Date of submission: 17/02/2015
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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 f...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA 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
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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 calcu...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA 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
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Mark-to-Market Method: Application of perfectly matching provisions to FX forwards

Can the perfectly matching rule be applied to the below two FX forward...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2115 | Topic : Market risk | Date of submission: 07/07/2015
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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/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2252 | Topic : Market risk | Date of submission: 24/08/2015
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Exclusion of intragroup transactions from own funds requirements for CVA risk

Shall intragroup transactions be excluded from the own funds requirements for CVA risk on a cons...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_1929 | Topic : Market risk | Date of submission: 03/04/2015
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Netting set treatment for trades with Specific Wrong Way Risk

For a netting set with three OTC derivative trades (trades A, B and C), Trade A is identified ex...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2016_2590 | Topic : Market risk | Date of submission: 22/01/2016
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Treatment of negative accrued interests in the foreign exchange risk

Do negative accrued interests reduce the fx position, where as positive accrued interests increa...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2016_2797 | Topic : Market risk | Date of submission: 20/06/2016
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Showing 1 - 20 of 60 results.
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