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Treatment of non-withdrawable central bank reserves on C 66.
How should the non withdrawable part of the reserves placed with the Central bank be reported on the inflow section of the C66?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5286 |
Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) |
Date of submission: 02/06/2020 |
Date of publication: 19/03/2021
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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 |
Date of publication: 26/07/2019
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Treatement of liquidity generated by the overnight maturity of Withdrawable Central Cank reserve in Counterbalancing Capacity panel of Template C66
How should “liquidity generated by the overnight maturity of withdrawable central bank reserve” be treated in Counterbalancing Capacity panel of Maturity Latter template C 66?
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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2018_4318 |
Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) |
Date of submission: 09/10/2018 |
Date of publication: 06/09/2019
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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 |
Date of publication: 26/07/2019
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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 |
Date of publication: 26/07/2019
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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 |
Date of publication: 26/07/2019
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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 |
Date of publication: 29/03/2019
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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 |
Date of publication: 22/03/2019
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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 |
Date of publication: 01/02/2019
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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 |
Date of publication: 01/02/2019
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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 |
Date of publication: 29/03/2019
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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 |
Date of publication: 15/02/2019
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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 (repealed)
ID: 2018_3753 |
Topic: Credit risk |
Date of submission: 08/03/2018 |
Date of publication: 01/03/2019
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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 |
Date of publication: 22/06/2018
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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 |
Date of publication: 16/03/2018
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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 |
Date of publication: 16/03/2018
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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 |
Date of publication: 23/03/2018
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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 |
Date of publication: 16/03/2018
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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 |
Date of publication: 16/03/2018
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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 |
Date of publication: 25/05/2018
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