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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

Clarification on lower barrier level for portfolio number 1.16 (FX) from Annex V

Considering current market (EUR/USD = 1.1374 ), should an adjustment to the lower barrier level defined in Section 2.5 to be expected?

  • 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: 2015_2400
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarifications on Portfolio 1.4 from Annex V (Long/short puts on FTSE 100)

Does Portfolio 1.4, described in Annex V, require exchange traded options? If there is no exact 10% ITM and OTM instrument available on the exchange - should the instrument available with a strike price nearest to the 10% OTM/ITM be taken? Or should an OTC option FTSE with exact strike prices be captured?

  • 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: 2015_2399
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Benchmarking exercise - market risk - clarifications on Annex V portfolios

Annex V - portfolio 1.16 (Double no touch option): Not only is the option worthless, it also knocks out immediately given the current level of spot (1.13). For the 2014 exercise, the level of spot meant that the option was in-the-money at the time of trade entry, however, it appears that the barrier levels have not been updated. As a result, unless the barrier levels are updated, systems may not allow the trade to be booked (it ceases to exist). How should firms handle this? Annex V - portfolios 1.17 and 1.18. What is the underlying currency (which is different from the reference currency) of portfolios 1.17 and 1.18 for Commodity? Are the risk factors for these trades specified in USD or EUR? For example, are the oil put options priced using USD WTI (spot and volatility)? If priced using EUR risk factors, the trades will create cross currency basis risk which will need to be included in the VaR results.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2398
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Own estimates of CCF in the retail exposure class

For which product types has a credit conversion factor (CCF) to be used in the retail exposure class, which is based on own estimates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2397
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 05/05/2017

Applying a currency mismatch haircut to OTC derivatives in a netting pool which are in a currency different from settlement currency

For OTC derivative transactions covered by master netting agreements, if the exposure (derivative) currency is different from the settlement currency, should the exposure amount be increased by the currency mismatch haircut?While calculating the replacement cost of the derivatives, should the exposure amount be increased by the currency mismatch haircut?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2394
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2016

Investment in Tier 2 capital by subsidiary

Article 63(b)(ii) of Regulation (EU) No 575/2013 (CRR) states that capital instruments and subordinated loans shall qualify as Tier 2 instruments provided that particular conditions are met. One of such condition requires that the instruments are not purchased or the subordinated loans are not granted, as applicable, by either the institution or its subsidiaries.Is it a correct approach that only the part of capital instruments which is not currently held by subsidiary should be qualified as Tier 2 instruments?Should an institution apply for permission for the whole issue and after that exclude instruments held by subsidiaries, if national law requires a special permission from the competent authority in order to recognize instrument as Tier 2 capital? And after being granted this permission should the institution exclude in day-to-day adequacy calculation the amount of instruments held by subsidiary?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2392
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 15/07/2016

SBP: Missmatch between predefined values of dimension (ei385) and expected values from EBA

What are the correct predefined values of dimension ei365 in the COREP SBP project report C.106.00?

  • 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)
  • ID: 2015_2389
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification on Funding Plans significant currencies criteria

What rule should be followed given the discrepancy between what the EBA Guideline establishes and the criteria given by the template GL on FP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2388
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 29/07/2016

Mortgages non-defaulted with unknown ILTV

The 103 table of the High Default Portfolio benchmarking exercise contains portfolio IDs which for mortgages (non-SME, non-defaulted) are based on ILTV. No portfolio ID is foreseen for exposures with unknown ILTV. Are we correct to assume that mortgages without known ILTV should not be reported in any of the ILTV-based portfolios and thus that the sum of the exposure values of all ILTV-based portfolos should not equal the total exposure value of the portfolio ID containing all non-defaulted mortgages?

  • 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: 2015_2387
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex I template 103 collateral types mortgages non-SME

Annex I contains in the 103 template portfolio IDs of mortgages (non-SME) with as collateral type (column 120) either "Real estate collateral, other funded CRM and/or personal guarantees" and "Real estate collateral and other unfunded CRM". Neither collateral type is defined in Annex II, where only references are given to the c150-c210 of table 8.1 of ITS reporting (which do not conatin this mortgage specific collateral types). Please provide a definition of "Real estate collateral, other funded CRM and/or personal guarantees" and "Real estate collateral and other unfunded CRM". In particular we are unsure how to treat personal guarantees as we consider them to be unfunded CRM and thus seem to be in scope of both definitions, which does not appear logical.

  • 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: 2015_2386
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Market Risk Benchmarking Portfolios: Clarifications regarding the portfolios set out in Annex V

We are seeking clarifications on the specification and definitions of some of the portfolios referred to in Annex V of the draft benchmarking RTS/ITS in view of reporting the correct/harmonised data in the context of the market risk benchmark exercise (and noting that trades have to be booked on 15 October 2015). We list our requested clarifications below, together with a suggested way forward when relevant.

  • 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: 2015_2385
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Scope of asset value correlation adjustment for regulated entities

Should Undertakings for Collective Investment in Transferable Securities (UCITS) be treated as “subject to prudential regulation in the Union,” such that credit exposures to UCITS are only subject to the Asset Value Correlation (AVC) adjustment where the total assets of the counterparty on an individual or consolidated basis exceed EUR 70 billion? Should third country funds which are regulated on a comparable basis to UCITS (for example, US Investment Act 1940 funds, Employee Retirement and Income Security Act funds) receive the same treatment ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2383
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/02/2017

Counterparty credit risk

Our Institution has entered into an Equity Option Swap, by which receives the 'Floating Amount' and pays, in the termination date, the 'Equity Amount'. Our Institution receives quarterly cash-flows linked to Euribor 3 months, and at maturity will pay a payoff linked to a basket of listed stocks.This type of Swap classifies as an interest rate on or an equity one under the Article 274 of Regulation EU 575/2013 (CRR), regarding the couterparty credit risk?Being so, we would like your confirmation that for counterpart risk capital calculations, this swap classifies as an interest rate one, considering that our risk is only regarding the 'Floating Amount'.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2382
  • Topic: Market risk
  • Date of submission:

EBA Final Draft Implementing Technical Standards on benchmark portfolios - question on the trade templates

This question is relating to the EBA Final Draft Implementing Technical Standards on benchmark portfolio / Annex V Market Benchmark portfolios and trade 1.27. It is requested to "Short index put on ITraxx Euorpe Crossover series 21". We'd like to confirm 2 items - series 21 is the offrun contract, is it correct to book an off run contract? - "short put index": does it mean we are receiver or payer of the payment?

  • 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: 2015_2380
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Exit Criteria NPE

With regards to the EBA Implementing Technical Standard and specifically to the NPE exit criteria we would like to ask for your advice on how to handle the following case:Customer A is a performing exposure. Account 3 presents 91 dpd and as a result the whole customer is classified as NPE. Account 1 and 2 are classified as such due to contagion.Customer A - Performing exposureAccount Balance % on total Days past due NPEAccount 1 50 5% 0 50Account 2 100 10% 0 100Account 3 850 85% 91 8501.000 100% 1.000On the other hand Customer A is now a non performing exposure. It presents arrears over 90 dpd in an immaterial account i.e. account which is < 20% of the total customer balances.Customer A - Non performing exposureAccount Balance % on total Days past due Performing - 1st option Performing - 2nd optionAccount 1 50 5% 91 0 0Account 2 100 10% 0 0 100Account 3 850 85% 0 0 8501.000 100% 0 950The question is should we upgrade Accounts 2 and 3 into performing, leaving Account 1 as an NPE or the whole exposure retated to the customer must remain as NPE? Please always assume that the customer is not impaired and no concerns regarding the full repayment of the debt exists. Based on paragraph 156 of the EBA ITS, the first option is valid, however this is not in line with the NPE entry criteria. In our opinion the second option is the correct one. 

  • 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: 2015_2378
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Interaction between benchmarking and additional capital requirements under Article 458 of CRR

For the benchmarking exercise for credit risk, the ITS templates request banks to report risk parameters (such as PD, LGD) and capital requirements (RWA) for the low and high default portfolio. However for some portfolios in scope of these exercises NCAs can have imposed additional capital requirements for macroprudential or systemic risk at the level of the member state (Article 458 CRR). For instance, in Belgium the NCA has imposed a 5% additional risk weight add-on (for targeting asset bubbles in the residential property sector). These RWAs relate directly to exposure in scope of the benchmarking exercise (in this example HDP template C 103.00), but under supervisory reporting the resulting RWA is not reported in C 08.01 / C 08.02 but in C 02.00 as an OTHER RISK EXPOSURE AMOUNTS (row 1.8.2). It is unclear whether additional capital requirements under Article 458 CRR, when specifically linked to a portfolio in scope of the ITS on benchmarking, should or should not be included in our submission of benchmarking templates.

  • 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)
  • ID: 2015_2377
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Exposure secured by immovable property vs. secured by mortgages on immovable property

CRR requires the treatment of exposures secured by mortgages on residential property under the Standardised Approach (Article 124, 125, 126).Also CRR requires the treatment of exposures secured by immovable property collateral (Article 154(3)), and exposures secured by residential / commercial property (Article 164(4)), both under the IRB approach.(Regardless of the residential/commercial distinction), does the different formulation:- “mortgage on immovable property” (Article 124),- “exposure secured by immovable property collateral” (Article 154(3)),- “exposures secured by [residential / commercial] property” Article 164(4))refer to different kind of exposures?Q&A 1214 suggests that the scope is the same for all the three articles above.If however they are not the same, what sort of exposures are part of each group (and not part of another)? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2376
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 06/01/2017

FINREP: COUNTERPARTY BREAKDOWN: HOUSEHOLDS

Can Personal Investment Companies (PIC) be seen as households in the Finrep counterparty breakdown? Personal investment company (PIC) means an undertaking or a trust whose owner or beneficial owner, respectively, is a natural person or a group of closely related natural persons, which was set up with the sole purpose of managing the wealth of the owners and which does not carry out any other commerical, industrial or professional activity.

  • 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: 2015_2368
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 12/07/2019

Application of Article 11 CRR in terms of determining the scope of application for multi-national banking groups

Could you clarify whether there is a difference in treatment concerning the scope of application at national level between a) groups which have a parent institution at its top and b) groups which have a parent financial holding company at its top?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2366
  • Topic: Other issues
  • Date of submission:

Cadrage de l'état C67 (ALMM) sur la concentration du financement par contrepartie avec Finrep / Aligning the C 67.00 template (ALMM) on the concentration of funding by counterparty with FINREP

French question: Nous interrogeons sur la pertinence de l'instruction en annexe XXI chapitre 1.2 § 2 (c) dans lequel il est indiqué que la somme des section 1 et 2 de l'état C67 doit être égale au total des passifs de l'établissement tel que déclaré dans FINREP. Est-il cohérent d'établir un cadrage entre FINREP et l'état C67 - section 1 (r010) + 2 (r120) - alors que : 1- Finrep est établi sur un périmètre différent de celui du risque de liquidité (Prudentiel / Liquidité), cf. article 18 du réglement 575/2013 (CRR) 2- Finrep est établi selon une fréquence trimestrielle alors que les états ALMM sont prévus à fréquence mensuelle 3- Les délais de remise des états ALMM sont plus courts (J+30 calendaires puis J+15 calendaires) que ceux des états Finrep (J+30 ouvrés en moyenne, fixé par l'ABE). 4- Comment envisager dans ce contexte le calcul des durées moyennes pondérées initiales et résiduelles sur les autres passifs (section 2 - r120) ? English question: We would like to question the relevance of the instruction in Annex XXI, section 1.2(2)(c) which indicates that the totals of sections 1 and 2 of C 67.00 should equal an institution's total liabilities as reported in FINREP. Is it consistent to make a link between FINREP and the C 67.00 template – section 1 (r010) + 2 (r120) – when: 1- FINREP is based on a different scope from that of liquidity risk (prudential/liquidity), cf. Article 18 of Regulation 575/2013 (CRR). 2- FINREP is done on a quarterly basis while the ALMM templates have a monthly frequency. 3- The deadlines for submitting the ALMM templates are shorter (t+30 calendar days then t+15 calendar days) than those of the FINREP templates (t+30 working days on average, set by the EBA). 4- In this context, how should the weighted average initial and residual maturities of other liabilities be calculated (section 2 – r120)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_2365
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 08/01/2016