Search for Q&As

Enquirers can use various factors to search for a Q&A:

  • These include searching by the Q&A ID; legal reference, date submitted, technical standard / guideline, or by keyword if known.
  • Searches can be extended to more than one legal act, topic, technical standard or guidelines by making multiple selections (i.e. pressing 'Ctrl' on your keyboard, and selecting the relevant ones from the drop-down lists by left mouse-click).

Disclaimer:

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

Derogation for small trading book business

According to the Article 94 of Regulation (EU) No 575/2013 (CRR) there is a possibility to calculate capital requirement in accordance with Article 92(3) point (a) CRR in respect of institution’s trading-book business. But the calculation of trading-book business is not enough precisely mentioned in Article 94 CRR. Should institution calculate this trading-book business based: (1) on overnight positions (as at the end of business day) or (2) on daily turnover in financial instruments?

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

Calculation of the remuneration bracket

Could EBA clarify which categories of staff should be taken into account when the remuneration bracket is calculated?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 604/2014 - RTS Remuneration: criteria to identify categories of staff

Shareholder approval for a firm to increase the permitted ratio of fixed to variable remuneration

(i) Could the EBA clarify the procedure to be followed for a firm to increase the variable remuneration above the basic limit of 100 % of the fixed remuneration. In particular with regard to: whether the percentages referred to in the second indent of 94(1)(g)(ii) should be counted by reference to share or ownership voting rights or the number of individual shareholders or owners, (ii) whether the 75% threshold, which applies when fewer than 50% of shares are represented in the vote and the 66% threshold, which applies when at least 50% of shares are represented, are percentages of the share or ownership voting rights represented or the firm’s whole issued share capital or ownership rights, (iii) is there a definition of the concept of shares or ownership rights being “represented”? (iv) Can staff who are directly concerned by the higher maximum levels of variable remuneration exercise any voting rights they may have?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Determining the exposure value for regular way securities transactions

If settlement date accounting is employed in the recording of regular way securities transactions then there are no balance sheet entries between trade date and settlement date. In this case would the impact of unsettled transactions not be included in the exposure value?

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

Commencement of 3-month period when CCPs cease to meet certain conditions

Should the 3-month period available under Regulation (EU) No 575/2013 (CRR) Article 311, where a firm may continue to treat a CCP as QCCP following confirmation that the CCP no longer meets the conditions for authorisation or recognition, apply: (1) From the earlier of the date of ESMA negative confirmation of authorisation or recognition or from the end of the transitional period available for CCPs under CRR Articles 497(1) and 497(2); or (2) Only after ESMA has made an initial positive assessment of authorisation or recognition and the CCP fails to meet those conditions at a later date?

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

Significant risk transfer applicable to leverage ratio computation

Should the concept of significant risk transfer be applied to the leverage ratio computation of securitisations? Should the underlying exposures be taken into account in case of no significant risk transfer?

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

F 13.01

According to Annex V , Part 2, paragraph 81(b) and answer to question ID 2013-84 in EBA Q&A process, does the term »institution« refer to the definition stated in CRR? If the answer is yes, does it mean that collateral in the form of debt securities issued by counterparties in sector »General government« are not included in column »Cash [Debt instruments issued]«? Are they included in the column “Rest”?

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

Potential future exposure for options

According to Mark-to-Market method set out in Article 274 Regulation (EU) No 575/2013 (CRR), institutions should calculate potential future exposure and, as we understand, for options delta equivalent might be used as it is applied for Position risk? In case of OTC-options should institution have permission by the competent authorities for using institution's own delta model?

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

Mark to market method, application of the mark to market reset

Would it be consistent with the intent of the CRR, if the adjustment to the residual maturity is made in circumstances where the terms of the trade are reset such that the mark to market of the contract is materially close but not perfectly zero? If this were not the case, it would be highly unlikely that under valuation principles imposed by current accounting standards and regulatory requirements that the clause could ever be applied in practice.

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

Regulatory Add-on % for Inflations Swaps

Should point 3 of Annex II (types of derivatives) have a title? Points 1 and 2 both have titles; it is inconsistent that point 3 has no title. Article 274 (3) makes reference to "contracts relating to commodities other than gold, referred to in point 3 of Annex II". What derivative types, as classified in table 1 in the article, does point 3 cover? This ambiguity leads me to ask should an Inflation swaps linked to RPI index, be treated as an 'Interest rate' contract or a 'Commodity' Contract? Given the current wording of point 3, Annex II suggests that Inflation swaps should be treated as Interest Rate contracts, they are of a similar nature to interest rate contracts.

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

Netting of Perfectly Matching Contracts under the Mark-to-Market Method

In the context of the application of contractual netting under the Mark-to-Market Method outlined in Article 274 of Regulation (EU) No 575/2013 (CRR), Article 298 (2) refers to ‘perfectly matching contracts’ that include “similar contracts in which a notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully in the same currency”. It is not defined in the CRR is what constitutes "similar" and whether the reference in the Article implies that perfectly matching contracts are limited to FX related contracts.

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

Large exposures - excluding exposures if fully deducted from own funds

May a credit institution exclude exposures from large exposure calculations which are fully covered by own funds (i.e. full deduction of own funds for this large exposure amount) and which are not used otherwise (e.g. for minimum capital requirements)?

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

Outlfows associated with shorts

Does Article 423(4) of Regulation (EU) No. 575/2013 only cover assets that the institution itself has sold short, or client short positions originated from an institution’s Prime Brokerage business, or both?

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

Application of the Basel I floor (Article 500) and the SME factor (Article 501) // Aplicación del límite mínimo de Basilea I (art. 500) y del factor reductor de PyME (art. 501)

When the Basel I requirements are compared to the requirements of Regulation (EU) No 575/2013, should the application of the SME factor specified in Article 501 be considered? Or, pursuant to Article 500(4), should only Part Three, Title II, Chapter 3 be considered and, therefore, not the application of Article 501? ¿Cuando se comparan los requerimientos de Basilea I con los requerimientos según el Reglamento (UE) No 575/2013 se debe considerar la aplicación del factor reductor de PyME especificado en el artículo 501? ¿O por el contrario y según el párrafo 4 del artículo 501 sólo se debe contemplar el capítulo 3 del título II de la parte tercera y por tanto no se contempla la aplicación del artículo 501?

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

Potential Future Exposure (PFE) add-ons for written options

Please confirm that for the purposes of the Mark-to-Market method under Article 274, no potential future exposure (PFE) add-ons should be taken for written options. This is because for written options there is no possibility of replacement costs becoming positive before maturity, and therefore an add-on is not necessary.

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

Base for calculating Add-ons for Derivatives

For the calculation of potential future credit exposure, when should the notional amount be used and when the underlying value? Which notional amount should be used: Notional of the derivative contract or notional of the underlying?

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

Calculation of EADi(total) for CVA purposes under the standardised method

How should an institution using Mark-to-market Method for calculating the exposure value for CCR purposes calculate an EADi(total) when calculating the own funds requirements for CVA risk under standardised method? How should collateral be taken into account?

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

Calculation of exposure value for counterparty credit risk under Mark-to-market Method

Is there any exemption for the calculation of "add ons" when using Mark-to-market method for determining the exposure value for Regulation (EU) No. 575/2013 (CRR)? What is the right treatment of a single transaction that is not subject to legally enforceable netting agreement, if the contract has a negative value?

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

Reporting of assets that are deducted from own funds but included in the exposure measure in LR calc (template 45.01) in the LR4 (template 43.00)

Where in the LR 4 (template 43.00) should the institution report assets, included in the exposure measure in the LR calc (template 45.01), which are deducted from own funds?

  • 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)