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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.

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List of Q&A's

Exclusion of securities guaranteed by an independent on-demand guarantee from bail-in

Can securities guaranteed by an independent on-demand guarantee be considered as "otherwise guaranteed" claims mentioned in Recital (70) of Directive 2014/59/EU (BRRD) and as such be excluded from bail-in?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2951
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 25/11/2016

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 the testing be based on historical data from the most recent 100 trading days for the same or similar valuation inputs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • 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:
  • Published as final Q&A: 20/01/2017

Valuation input consisting of a matrix of parameters

For the purposes of calculating AVAs for Market Price Uncertainty, where a valuation input consists of a matrix of parameters (for example a curve or a surface), can the AVAs be calculated at the level of the matrix as a whole (i.e. the curve or surface) based on the valuation exposures related to each parameter within that matrix, rather than be calculated at the individual parameter level?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • 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:
  • Published as final Q&A: 17/03/2017

Model selection/use in context of a pending application of a significant model change

Should an institution that expects to receive approval to use a new internal market risk model following the remittance of IMVs but prior to the remittance of the risk measures submit IMVs using the old model or new?

  • 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)
  • ID: 2016_2946
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Reporting LR2 - exposures to consider?

In Template CRD41 / LR2, shall we include or exclude derivatives and SFT's in the exposures distributed by risk weighted? The regulation is focusing on ON and OFF balance sheet items while the title of the Template mention "Total on- and off-balance sheet exposures belonging to the banking book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):".

  • 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)
  • ID: 2016_2945
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Annex V, Section 2.4: Market Benchmarking Portfolios. Definition of Portfolio 16 (FX)

Please confirm that the NYC Closing on 13 October 2016 should be used for the determination of the barrier.

  • 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)
  • ID: 2016_2942
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 13 (FX)

For consistency we will also use the EUR/USD ECB reference rate for the option in portfolio 13. Please confirm that this is appropriate.

  • 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)
  • ID: 2016_2941
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 10 (IR)

We will use 16 October 2018 as start date for the swap and thus 14 October 2018 as maturity of the option. Please confirm that these dates are appropriate.

  • 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)
  • ID: 2016_2940
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Other items

Does the approach specified in Article 134(5) CRR regarding the risk weight to be applied to assets purchased on a forward basis also apply to assets sold on a forward basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2935
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Determination of the recapitalisation amount of MREL (in the RTS on MREL)

The RTS says (article 2, paragraph 6,7,8): "6. The capital requirements referred to in paragraph 5 shall include the following: (a) own funds requirements pursuant to Articles 92 and 458 of Regulation (EU) No 575/2013, which include: (i) a CET1 capital ratio of 4.5% of the total risk exposure amount; (ii) a Tier 1 capital ratio of 6% of the total risk exposure amount; (iii) a total capital ratio of 8% of the total risk exposure amount; (b) any requirement to hold own funds in excess of the requirement listed in point (a) of this paragraph , in particular pursuant to point (a) of Article 104(1) of Directive 2013/36/EU; (c) the Basel I floor according to Article 500 of Regulation (EU) No 575/2013; (d) any applicable leverage ratio requirement. 7. The recapitalisation amount shall also include any additional amount that the resolution authority considers necessary to maintain sufficient market confidence after resolution. 8. The default additional amount shall be equal to the combined buffer requirement, as specified in Chapter 4, Section 1 of Directive 2013/36/EU which would apply to the institution after the application of resolution tools." These paragraphs are not entirely clear on how the market confidence buffer should be articulated with the components of 6.(a),(b),(c) and (d). In particular, if a bank’s Basel 1 floor (or leverage ratio) requirement is higher than the sum of 6(a)+(b), and if a market confidence buffer (say the combined buffer) is required by the Resolution Authority, is the recapitalisation amount equal to the sum of the Basel 1 floor/Leverage requirement AND the combined buffer requirement? Or is the recapitalization amount equal to the higher of I)the sum of requirements (6a+6b) and the combined buffer and ii)the Basel 1 floor or leverage requirement?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2932
  • Topic: MREL
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

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)
  • ID: 2016_2931
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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)
  • ID: 2016_2930
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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)
  • ID: 2016_2929
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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)
  • ID: 2016_2928
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/02/2017

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
  • ID: 2016_2927
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

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)
  • ID: 2016_2926
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

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
  • ID: 2016_2923
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 24/11/2017

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)
  • ID: 2016_2920
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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)
  • ID: 2016_2919
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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
  • ID: 2016_2917
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 31/03/2017