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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

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:

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:

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:

PD selection in case of substitution approach

In case of substitution approach application, the PD to be use (Annex IV, C103, c060), is the one of guarantor or the one of the obligor?

  • 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_2355
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Definition of the counterparty size in case of substitution approach application

In case of substitution approach application, for the field "size of counterparty, (Annex II, C103, c110) should we use the turnover of the guarantor or the one of the obligor?

  • 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_2354
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Correct scope of clusters based on collateralisation status and collateral type

Both template C 102.00 (LDP) and template C 103.00 (HDP) include clusters based on collateralisation status and collateral type. Reference is made to c150-c210 columns of COREP template C 08.01. It remains however unclear how facilities should be treated which are only partially collateralized and/or for which there are several collateral types.Assume a facility of 100, of which 20 secured by financial collateral, 30 by real estate collateral and 50 unsecured. We see many possibilities to report such a facility in the template, either by splitting the facility over various clusters, by reporting it in full in all concerned clusters or by combinations of these two approaches.Example:1) we could use a 'splitted' approach, so    cluster unsecured  = 50,    cluster secured      = 50,                cluster secured financial collateral  = 20,                cluster secured real estate              = 302) we could keep the facility intact and always report it in full, so    cluster unsecured = 0,    cluster secured     = 100,                cluster secured financial collateral  = 100,                cluster secured real estate              = 1003) we could use a combination of the two with collateral status clusters determined 'in full' and collateral type cluster using a split approach, so    cluster unsecured = 0,    cluster secured     = 100,                cluster secured financial collateral  = 20,                cluster secured real estate              = 304)  ...?Please elaborate further on the correct treatment.

  • 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_2347
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Supervisory Benchmarking exercise for 2015 - Market Risk related

Please could information be provided on the process for selecting stressed VaR period for calculating stressed VaR for the hypothetical 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: 2015_2336
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Given the legal reference reported in the Annex IV, a clarification about the annual default rate computation is required

With reference to the field "Default rate latest year" (Annex IV C 103.00, field 190) the following legal reference is reported: - C20 13 c40 of table 9.2 of Annex 1 of ITS reporting This table contains quarterly default rates. For "Default rate latest year" field, an annualized quarterly default rate is required, or a default rate directly on yearly basis can be determined?

  • 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_2297
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A clarification about the collateral value to provide in the relevant templates is required

For the fields 080, 120 (i.e. Collateralisation status, Collateral type) of Annex II, templates 102-103, all the type of collateral are required (i.e. Eligible financial collateral, Receivables, Real estate, Physical collateral, Other funded credit protection, Credit derivatives, Guarantees). In Annex IV, templates 102-103, for the field 120 (i.e. Collateral value) the instructions refer to “market value” only. Does this mean that Guarantees do not have to be considered? In this case why the legal reference does not refer only to the columns 180-210 of table 8.1?

  • 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_2296
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A confirmation about the legal reference reported in Annex IV is required

With reference to the field “Provisions non-performing exposures” (Annex IV 102, column 160, Annex IV 103, column 160) the following legal reference is reported: - c50 - 60 of table 9.2 of Annex 1 of ITS reporting. Given that this table does not include data for all the countries within the Group (i.e. a relevance threshold is set) and that the distinction between performing/not performing exposures is not available (only on the total value is available), we ask for a confirmation on the above mentioned legal reference.

  • 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_2295
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

How to manage different local rating scales

With reference to 1cRating 1d field (template 103 13 Annex IV, column No 50) how the different local rating scales must be treated for consolidated reporting, i.e: If a master scale is available at Group level (e.g. for Pillar III purposes), does the Institution have to adopt it, or it can choose to create an ad hoc master scale? In this latter case, if different rating scales (with different number of grades) are applied within the Group, can the Institution define the number of grades or does it have to contact its competent authority in advance to agree upon the way to define the new scale?

  • 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_2294
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification for filling the 'Not applicable' value in Annex II and IV

To clarify the meaning of the value 'Not applicable' within Annex II. In some cases the 'Not applicable' value seems to represent a total portfolio (refer to Example 1). In other case, the 'Not applicable' value seems to mean that the driver is not significant for the specific cluster of analysis (refer to Example 2). In other cases, the 'Not Applicable' value seems to be a residual value (refer to Example 3). Summarizing, does the meaning of 'Not applicable' depend, in Annex II, on the considered field or it always represent a total portfolio? For every field of Annex IV, 'Not applicable' shall be used always when none of the answers in the list is correct, therefore does it represent a residual cluster?

  • 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_2291
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A confirmation is required about the rules to fill the EBA Benchmarking templates

Could you confirm whether the following interpretation is correct? Fields of Annex I and the relevant values define the benchmarking portfolios (i.e. the portfolio of analysis identified by the portfolio ID). The same exposure can be included in more than one portfolio_id only in case it is clearly specified in the EBA instructions (i.e. refer to Example 1). For all the other fields the values listed in Annex I have to be considered mutually exclusive (i.e. the same exposure cannot be associated to two different values, with the exception of the 'Not applicable' value). For each portfolio id, Institutions have to fill the information contained in Annex III. These information have to be aggregated in case they are defined at a lower level than the relevant portfolio id (refer to Example 2). According to Annex I (template 103) Rating is not a segmentation criteria (not applicable), but in Annex II (template 103) the internal Rating grade shall be inserted. This would mean that: - is not the portfolio_id unique and an artificial further segmentation would be created? - should the rating grade be dependent on the average PD which was calculated for that portfolio? - is the field 'Rating' indeed required also in Annex I (template 103), i.e. the 'Not applicable' value, indicated in Annex I (template 103) is not significant

  • 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_2290
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Identification of exposures treated under Standard approach

The part of transactions which is secured by guarantees could be moved to the permanent partial use, i.e. standard approach. RTS, page 34, point 10, states that: 1e [ 26] As a result, the benchmarking exercise should only relate to validated internal approaches. Institutions should not provide data for those portfolios which include instruments or risk factors that are reported under the standardized rules. 1d What exactly is meant with 1cportfolio 1d? Shall only be a part of the transaction be excluded (part which is STC), shall the customer be excluded or the portfolio of which the transaction/partner is part of?

  • 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_2288
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Completion of Annex I, Template C103.00 of the ITS needed?

For the high default portfolio benchmarking exercise we have noted that Annex I, Template C103 of the ITS is not included in the "DPM Table Layout and Data Point Categorisation 2.3.1.zip" for benchmarking on the EBA’s website: https://www.eba.europa.eu/-/eba-publishes-updated-dpm-and-xbrl-taxonomy-... Article 2(1)(c) of the “EBA Final Draft Regulatory Technical Standards on benchmarking portfolio assessment standards and assessment sharing procedures under Article 78 of Directive 2013/36/EU” refers to this template, but does not state that the template needs to be completed. Is completion of the Template C103 from Annex I required for the April 2016 benchmarking submission?

  • 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_2282
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Calculation of Default rate past 5 years and Loss rate past 5 years

If bank applies AIRB models to RWA calculation (according with the decision of the competent authority) for a period shorter than 5 years, what time series should be used for calculation of 5-year average values when calculating default rates and loss rates ?

  • 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_2257
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission: