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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

Treatment of "E-money" in Liquidity Reporting

We seek clarification on how the issue of “e-money” is to be treated in the computation of liquidity requirements and reporting; “LCR, stable funding reporting and ALMM”.From a liquidity related context, would the issued “e-money” be accounted for/treated according to “Article 421(1)” of CRR under retail deposits? And therefore, be included in the computation of demand deposits, where the outflow is stressed with 5% according to “Article 421(1) (a)? Or stressed with 10% following “Article 421(2), in relation to whether a customer has an established relationship with the bank and is covered by the “Deposit Guarantee Scheme”?Alternatively, would the issued “e-money”, from a liquidity related perspective be accounted for under “Other Liabilities” according to “Article 422 of CRR? Hence, entail the computation of “Other Liabilities” as per “Article 422(5), where outflows are stressed with 40% and 20% respectively? Depending on whether the commitment/liability is covered by the “Deposit Guarantee Scheme”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2013/01 - Guidelines on retail deposits subject to different outflows for purposes of liquidity reporting

Max amount of cash leverage in the mandate of an AIF in order to NOT be considered as a high risk exposure

What is the maximum permitted “cash leverage” allowed in the mandate of the alternative investment fund (AIF) in order not be considered high risk?In the event the AIF is NOT considered to be high risk, should then Article 132 CRR be taken as reference?

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

Portfolios where Maturity should be completed

C 103.00 – Definition of High Default Portfolios - column 140, Maturity: Should this field be completed only for portfolios with exposures to corporates, institutions and central governments and central banks where the institution has received the permission to use own LGDs by the competent authority?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

Validation rule 1740_m

Regarding validation rule v1740_m (sum({F 20.06, r010, c010, (sNNN)}) = xsum({F 08.01.a, (r010, c010, c034)}), we would like to note the following:Template F 08.01 row 010 and columns c010 & c037, should be completed by the carrying value of derivative liabilities according to recognition portfolio as hedging instruments (F 08.01.a, r010, c037) or as trading (F 08.01.a, r010, c010), by those entities which apply IAS or IFRS (please see below reference 1).Template F 08.01 row 010 and column c034, should be completed by those entities which apply National GAAP.On the basis of the above two benchmarks the relevant validation cannot apply.Furthermore, template F 20.06 according to Annex V part 2 par. 108 (please see below reference 2), should be reported the total carrying value from both portfolios, hedging or trading, country by country. It is not clear that the breakdown per counterparty sector applies only for the trading portfolio.Finally, template F 08.01 should also present deposits which are distinguished by accounting portfolio (Held for trading, Designated at fair value through profit or loss, Amortised cost). What should be the treatment of these financial instruments which are also presented in template F 20.06 (validation rule v1742_m)? Should we submit the total carrying value of the three portfolios country by country?

  • 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)

Annex XI - template C 44.00 (LR5), row 040, column 010

In consolidated reporting, which category should be used to complete template C 44.00, row 040, column 010 if the parent company is a Financial Holding Company or a Mixed financial holding company?

  • 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)

Treatment of irrevocable payment commitments according to Article 103(3) BRRD

How should payment commitments pursuant to Article 103(3) BRRD (Directive 2014/59/EU) be treated in the capital requirements for credit risk?

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

Treatment of cash provided as a collateral under issued guarantees and letters of credit

Should cash provided as a collateral under issued guarantees and letters of credit be included for the calculation of the total expected cash outflows under the LCR according to CRR Articles 421(1)a, 421(5)(a) or 422(2)(a)? If included, then should this collateral be treated as retail term deposits (term is being considered as the expiry of the issued L/C)? What outflow rate should be applied for such deposits?

  • 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

MREL calculation on a consolidated basis

Should a Mortgage Credit Institution that is subject to an individual exemption to MREL requirements (according to BRRD Article 45(3)) and owned 100% by an EU Parent Institution be excluded from the calculation of MREL on a consolidated basis?

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

Forbearance ITS

Should we consider a loan/exposure for which the contractual terms and conditions have been modified to help a debtor to face financial difficulties as forborne if there is no loss for the bank?Is there any materiality threshold for the loss to consider forbearance?To calculate the loss (i) should the bank compare the previous terms and conditions with the new terms and conditions or (ii) should the bank compare the new terms and conditions with the current terms and conditions for a debtor with a similar risk profile?

  • 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)

Asset encumbrance templates - Some cells are mapped with the same data point of other ones, but not all of them can be reported on a consolidated basis

Should be reported on a consolidated basis the cells related to F 36.01 and F 36.02 templates mapped with the same data point of the ones related to F 32.01 and F 32.02 templates, which have the coordinates specified below? In general, should columns 50 and 70 of templates F 36.01 and F 36.02 be reported on a consolidated basis?

  • 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)

Third countries considered to have supervisory arrangements equivalent to EU

Article 11 of Delegated Act 2015/61 specifies the conditions under which covered bonds can be considered buffer L2A eligible. For covered bonds issued by credit institutions in third countries, Article 11(1)(d)(ii) requires that “supervisory arrangements applied in the third country must be at least equivalent to those applied in the Union”. Could you please indicate us if a list of such countries will be made available?

  • 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

Treatment of integer values in the 'days' columns

Reference is made to the AMM templates, particularly to template C68.00 weighted average maturity (columns 040 and 050); C69.00 (spread columns) and C70.00 average term (columns 300 -330). As you are aware, in line with the current instructions on these templates, the figures reported in these columns should be integers and do not carry any decimals. In this regard, a figure of, say, 0.6 days should be reported as 1. However, we would like to have your views regarding the reporting of positions in the case of figures less than 0.5 days. We are not sure whether these should be reported as 0 (to indicate that there is an amount of less than half a day), or else leave the cell blank as per current practice of monetary values.

  • 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)

FINREP -contents of template F40.01 Group Structure

During the last reporting of 31/12/2015 we received a return from ACPR about the way of filling this template (Fin. 40.1), we are coming back to you because we need additional information to correct if necessary our last statement 31/12/2015.

  • 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)

Further clarification required on the inclusion of transactions between trade and settlement date

We would welcome further clarification on the reporting of transactions between trade and settlement dates (unsettled trades). Q&A 2013_378 implies that unsettled trades should be treated on a gross basis. However, it does make reference to underlying HQLA or non HQLA, Annex XXV (Part 2, Outflows and Part 3, Inflows) of the EBA-ITS-2015-04 on reporting for the LCR, provide specific remarks regarding forward starting transactions. In particular, the ITS provides guidance for inflows/outflows stemming from forward starting repos, reverse repos and collateral swaps, whereby, the inflow/outflow to be received/delivered shall be reported net of the market value of the asset to be delivered/received after the application of the related LCR haircut. This guidance is included in Commission Implementing Regulation (EU 2016/322 of 10 February 2016. However, there is no guidance on the treatment of unsettled outright purchases/sales of liquid assets.

  • 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)

Positions Subject to Capital Charge

COREP template C 18.00, column 050 - Can you please clarify what is expected to be reported in this field?

  • 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)

Clarification on EBA Final Q&A 2015_2469 / Exemption from bail-in of liabilities to institutions in order to avoid risk of systemic contagion

The answer to Q&A 2015_2469 clarifies that the exception to bail-in in Article 44(2)(e) of Directive 2014/59/EU (BRRD) captures inter-bank unsecured liabilities with an original maturity of less than seven days. Does this exception apply to all inter-institutional unsecured liabilities with an original maturity of less than seven days? In other words, does this exception also capture the liabilities of investment firms that are defined as institutions in Article 2(1)(23) BRRD, alongside the liabilities of other banks or credit institutions?

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

Delta equivalent amount of cash-or-nothing digital (binary) options

Should the delta equivalent amount of cash-or-nothing digital (binary) options be limited to the maximum possible payment at expiry?

  • 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

Assignment of exposures to exposure class of Public Sector Entities

Can only the entities having legal forms of non-profit associations and foundations qualify as PSE-s and be assigned to exposure class of PSEs, or could PSEs also include legal forms of either public or private limited liability companies, which are either owned by or set up and sponsored by central governments, regional governments or local authorities and are under public supervision?

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

Supervisory permission for reducing own funds if the institution repays share premium to its shareholders

Is supervisory permission required where an institution reduces its own funds by repaying share premium to its shareholders without simultaneously reducing, repurchasing, calling or redeeming the own funds instrument to which the share premium relates?Would the answer to this question change if the institution would first (have to) convert the share premium to reserves in order for the share premium to become repayable?

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

General credit risk adjustment (GCRA) inclusion into Tier 2 capital

For the purpose of the inclusion into institutions' Tier 2 capital and in the event of interim profits or year-end profits that have not been approved in accordance with Article 26(2) CRR (a.k.a. "interim GCRAs"), are the general credit risk adjustments (GCRAs) required to be immediately deducted from institutions' CET1 capital?Are "interim GCRAs" eligible as a Tier 2 capital regardless either the fulfilment of Article 26(2) of CRR, or without immediate reduction from CET1 capital?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments