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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

Clarification on portfolio specification.

The Common Instructions paragraph (n) mentions that the commodities OTC options are American. However, American style WTI options are listed options not OTC. Should we therefore book a European option with a maturity date of 13-Oct-2017 ?

  • 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)

Clarification on portfolio specification.

For Portfolio 1.27 the maturity of the index option is given as 15-Apr-2017 (a Saturday). Index options expire on the 3rd Wednesday of the month. Should the maturity be 19-Apr-2017 ?

  • 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)

Clarification on credit portfolio specifications.

Portfolios 1.35, 1.36, 1.37: For CTPs page 16, we are being asked to book the hedges such that net CS01 is 0 as of initial valuation date. From point (b) page 2 it seems that initial valuation date is 27-Oct-2016. This will mean that the hedges can only be booked on the 28-Oct-2016. However point (a) in page 2 specifies that “all positions shall be booked 13 October 2016”. Can you clarify what is the correct approach ?

  • 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)

Inconsistency between a template and instructions regarding F 09.01

Point 61 in Part 2, Annex V of Commission Implementing Regulation (EU) No 680/2014 specifies what is included in rows "of which: defaulted" in the FINREP template 9.1 (F 09.01). However, if we look at that template, it contains rows named "of which: non-performing". Which is correct?

  • 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)

Definition of "originator"

Should an entity purchase third party's exposures without acting for its own account (e.g. a special purpose vehicle issuing limited recourse notes collateralised by the aforementioned exposures), such entity does not qualify as the "originator" for CRR purposes and, therefore, will NOT be able to act as retainer of the net economic interest in the subsequent securitisation of the exposures. Can, however, the person(s) for the account of which the exposures were acquired in the first place (i.e., in the example above, the investors in the notes issued by the special purpose vehicle), be deemed to have, in turn, "indirectly" acquired the exposures for their own account (through the special purpose vehicle) and, therefore, qualify as "originator(s)" and retainer(s) of the net economic interest for CRR purposes at the time of the subsequent securitisation of the exposures?

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

Transferred financial assets Template 15

Should in F15 template that collateral obtained from reverse repurchase agreement (assets) be reported that is given as collateral in a repurchase agreement (liability)?

  • 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)

Connected Clients and Control Relationship

Is the relation between a company and its directors as they are indicated in the company’s structure (irrespective of their number and irrespective if they are executive or non-executive directors) an indicator of control? Would it thus lead to identify a "single risk" and therefore to the creation of a group of connected clients? ?

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

Benchmarking portfolios: termination date

Annex V portfolio 1.28 Scheduled termination date 18 December 2021 is a non-working day (Saturday). Should the termination date be 17 December 2021?

  • 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)

Benchmarking portfolios: document clause for CDS

Annex V portfolio 1.19 restructuring clause: FULL. However, we found "CR14" as the relevant document clause. Please clarify if we shall use doc clause CR14 instead. Annex V portfolios 1.21, 1.23. 1.26 Doc clause = MM. However, current market convention is MM14. Please clarify if we shall use doc clause MM14 instead.

  • 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)

Netting of Exposures arising from CIUs

Under the approach of Article 350(2) CRR, shall netting be permitted between positions in the underlying assumed investments of the CIU and other positions held by the institution, e.g. stock positions which are traded to hedge the underlying risk exposure of the CIUs?

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

Contingent liabilities within the Merchant Services Industry

Does the contingent liability to which an acquiring bank is subject in the course of the merchant acquirer business qualify as an off-balance sheet item according to Annex I  CRR? 

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

Is there a mistake in the Validation formula V4448_m and in the corresponding statement in the ITS?

Is there a mistake in the Validation formula v4448_m and in the corresponding statement in the ITS?

  • 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)

Calculation of “total liabilities including own funds”

How shall authorities calculate “total liabilities including own funds”?

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

Allocating Revaluation Reserves in F 46.00 / Difference Total Comprehensive Income in F 46.00 and F 03.00

The Total comprehensive income for the year in table F 46.00 should be equal to the Total comprehensive income for the year in table F 03.00. All tables in the FINREP should comply with IAS/IFRS. There are two validation rules to ensure this reconciliation: V1383_m (Blocking) and V1384_m (Non-Blocking) Validation rule V1384_m takes into account less items for the Total comprehensive income in F 46.00 than does validation rule V1383_m. V1384_m does not take into account Item Revaluation reserves in F 46.00, which is taken into account for the Total comprehensive income in F 03.00. How can one comply with both V1383_m and V1384_m at the same time, when both validation rules take into account different line-items?

  • 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)

Appropriate amount in Article 8(4)

What is meant by “appropriate amount” referred to in Article 8(4) DGSD?

  • Legal act: Directive 2014/49/EU (DGSD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Cost of living of legal persons

Do legal persons (for instance businesses like SMEs) have a “cost of living”?

  • Legal act: Directive 2014/49/EU (DGSD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Provision of data to cover the cost of living

Does the data referred to in Article 8(4) DGSD have to be provided by the credit institution after the date on which the credit institution has become unable to repay deposits? Or is it possible for a DGS to use data which has been provided by the credit institution before the credit institution has become unable to repay? If DGS are expected to use data which is provided after the aforementioned date, does the data have to be provided specifically for calculating the appropriate amount or can/must data be used which is (mainly) provided for making the repayments?

  • Legal act: Directive 2014/49/EU (DGSD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Minimum requirement for own funds and eligible liabilities (MREL) - procedures, forms and templates

1. Will the MREL-reporting template for all institutions (not just those overseen by the SRB) be based on the SRB’s current LDT rather than Annex V of the EBA final draft ITS on resolution plans?2. Will electronic data delivery be in the form of XBRL?3. Will the templates and electronic format be published in 2016?

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

Clarification of 'Facility Type', regarding the characteristic values 'Other Facilities' (Annex I) and 'Full Risk' (Annex II)

The segmentation criterion 'Facility Type' is used to define the benchmarking portfolios. In Annex I, Template C 102.00 (Definition of Low Default Portfolios), for some portfolios the facility type is 'other facilities'.The characteristic value 'other facilities' is not defined in Annex II. However, in Annex II, Template 102, 'full risk' is a characteristic value for the segmentation criterion 'Facility Type'.'Full risk' is not used in Annex I. Is it correct to assign 'full risk' to 'other facilities' and if yes, is it correct to only assign 'full risk' to 'other facilities'?

  • 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)

Clarification of 'Facility Type', regarding the characteristic values 'Undrawn committed credit facility' (Annex I) and 'Undrawn committed other credit facility' (Annex II)

The segmentation criterion 'Facility Type' is used to define the benchmarking portfolios. In Annex I, Template C 102.00 (Definition of Low Default Portfolios), for some portfolios the facility type is 'Undrawn committed credit facility'. The characteristic value 'Undrawn committed credit facility' is not defined in Annex II. However, in Annex II, Template 102, 'Undrawn committed other credit facility' is a characteristic value for the segmentation criterion 'Facility Type'. 'Undrawn committed other credit facility' is not used in Annex I. Is it correct to assign 'Undrawn committed other credit facility' to 'Undrawn committed credit facility' and if yes, is it correct to only assign 'Undrawn committed other credit facility' to 'Undrawn committed credit facility'?

  • 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)