List of Q&As

Clarification of negative RWA--, Annex III, Benchmarking exercise

What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?

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: 2019_4459 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 14/01/2019

Definition of numerator for loss rate

How should the numerator of the loss rate be computed when some credit adjustments are applied to the exposure before the default date.

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: 2018_4293 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 25/09/2018

Definition of PD*/PD** for RWA*/RWA**

Regarding the treatment of continuous ratings, the former description of RWA*/** stated: "An institution using continuous PD shall first determine the PD* for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at obligor grade level." This paragraph has been deleted for RWA-/--/+/++. Shall the rating grade used for reporting requirements by the bank be used for the caclulation of p-/--/+/++?

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: 2018_4292 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 25/09/2018

Definition of RWA* and RWA**

The application portfolios of RWA-/--/+/++ are defined as follows in Annex IV: CORP_ALL_0086_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, MORT_ALL_0094_**_****_**_Rx0. However, in Annex I these portfolios exist with a suffix ALL, ONX, OFF und OTH only. Shall RWA-/--/+/++ be reported for all these portfolios?

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: 2018_4291 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 25/09/2018

Reporting of collateral type in the template C 102

How to report collateral type in the template C 102?

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: 2018_4271 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 12/09/2018

Supervisory Formula Method - calculation of parameters

When using the Supervisory Formula Method, how do you calculate parameters T and L for a securitisation whose underlying assets are made of drawn and undrawn Revolving Credit Facilities?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4262 | Topic: Securitisation and Covered Bonds | Date of submission: 11/09/2018

EBA ITS package for 2019 benchmarking exercise (Annex V, credit spread instruments)

ISDA Definitions needed to use are not specified in the document, shall we consider the 2014 release?

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: 2018_4250 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 07/09/2018

Benchmarking - Market risk - instrument specification

In Annex 5, 2019 ITS, section 2 Instruments, equity trade #17, a multiplier of 10 is specified for the NKY future. This specification is not market conform - usually NKY futures are quoted in multiplier of 500 or 1000. Can you confirm that the multiplier of 10 has to be used?

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: 2018_4245 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 07/09/2018

Reporting of RWA* and RWA** in Template C.103 of the Benchmarking exercise.

How to report metrics RWA* and RWA** in Template C.103 of the Benchmarking exercise?

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: 2018_4092 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 10/07/2018

Template 2 EU LI2 EBA/GL/2016/11 (Main sources of differences between regulatory exposure amounts and carrying values in fin statements)

Should original exposures after provisions or EAD (exposures at default) be used to compile data in Pillar 3 template 2 "EU LI2 - Main sources of differences between regulatory amounts and carrying values in financial statements and specifically row 10 “? (Exposure amounts considered for regulatory purposes)

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR

ID: 2018_3836 | Topic: Transparency and Pillar 3 | Date of submission: 08/05/2018

Risk weighted assets calculation under Article 119(2) of the CRR

What would be the applicable risk weight according to Article 119 (2) of Regulation (EU) No 575/2013 (CRR), to an exposure in the scope of Article 114(6)(a) CRR? 

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 (as amended)

ID: 2018_3753 | Topic: Credit risk | Date of submission: 08/03/2018

Impact of a profit and loss transfer agreement under German company law on the eligibility of CET1 instruments for subsidiaries having full discretion on contributing common equity tier 1 capital as defined in Article 26 of the CRR

According to Q&A 408, an agreement an institution has entered into with its 100% parent entity, pursuant to which the institution must transfer its profit for the period to the parent entity (and the parent entity must cover any losses) constitutes an obligation to distribute (mandatory distribution), which is not permitted under Article 28(1)(h)(v) of the CRR. Is the case different where the institution is free to decide to set aside reserves from profits generated, according to its own commercial judgement or discretion, hence avoiding a profit transfer?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3675 | Topic: Own funds | Date of submission: 22/01/2018

Value for column c040 of template C 101.00 in case of counterparties with multiple ratings

How shall cells in column c040 in template C 101.00 be filled out in case of counterparties with multiple ratings?

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: 2017_3635 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 15/12/2017

Market risk benchmarking – specification of portfolio 20

The specification for portfolio 20 includes shorting EUR 1 million per single-name 5-year CDS on 10 companies including ‘Unilever’. Should Unilever NV or Unilever PLC be used?

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: 2017_3614 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 01/12/2017

Market risk benchmarking – specification of portfolio 15

The specification for portfolio 15 includes shorting EUR 2 million per single-name 5-year CDS on Italy, UK, Germany, France and USA (total EUR 10 million notional). What coupon rate should used for each country?

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: 2017_3613 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 01/12/2017

Market risk benchmarking – specification of portfolio 12

The specification for portfolio 12 given in Section 2.2 of Annex 5 sets the initial spot price as ‘Level of USD/EUR on 12 October 2017’. Should London or New York closing time be used?

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: 2017_3612 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 01/12/2017

Market risk benchmarking – specification of portfolio 10

The specification for portfolio 10 includes forward contracts purchased at the EUR/USD ECB reference rate as of EOD Oct 12, 2017. Are the forward contracts purchased at spot rate or forward rate (including fwd points)?

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: 2017_3611 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 01/12/2017

CAP for synthetic securitisations of originator institutions in STD based on Article 252

In case of originator institutions using the standardised approach (STD) having synthetic securitisations, is the CAP applied to all the securitised positions or only on the ones where the risk is retained?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3610 | Topic: Securitisation and Covered Bonds | Date of submission: 01/12/2017

Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253

How shall the weighted average risk weight of the securitised exposures for an unrated securitisation position in the standardised approach (STD) be calculated? Has the average to be weighted on EAD before the conversion factor (EAD_pre_ccf) or on EAD?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3609 | Topic: Securitisation and Covered Bonds | Date of submission: 01/12/2017

The EAD to be reported if no IRB exposure exists

Within the general instructions of Annex IV it is explicitly mentioned that for portfolios, which are defined with a specific rating grade in Annex I, information on the PD shall be reported for the entire rating scale, even if no IRB exposure exists for the respective portfolio at the reporting reference date for each rating grade. In this case, the EAD shall be reported as zero and information on the other columns shall not be submitted. The definition of the EAD in template C 101.00 states in turn that the exposure value shall be left blank if the institution has no IRB exposure for a given counterparty. In our opinion these two specifications are contradictory. Please clarify, if the exposure should be left blank or should be reported as “0” if no IRB exposure exists for the given counterparty/portfolio.

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: 2017_3555 | Topic: Supervisory reporting - Supervisory Benchmarking | Date of submission: 12/10/2017