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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

Large AFS exposures and accounting for OCI unrealised gains

The question is regarding the ‘’exposures’’ definition (article 389 of CRR IV) and how to deal with assets on the Available For Sale (AFS) accounting portfolio (and hence valued at fair value through Other Comprehensive Income (OCI)) during the transitional period to a ‘’fully-loaded CRR IV’’. More specifically: If the 2014 transitional arrangements include 0% (exclude 100%) of OCI-unrealised gains from CET1 capital (and thus from ‘’eligible capital’’), would it be admissible for the sake of ‘’numerator-denominator consistency’’ to deduct those OCI-unrealised gains from the ‘’exposure’’ value, under the large exposures framework? Considering the above, what would be the approach for the following year (2015) with a transitional arrangement of 20% inclusion (80% exclusion) of OCI-unrealised gains? What would the treatment for OCI-unrealised losses be? How would this issue be dealt with in the capital requirements framework under the standardised approach for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1716
  • Topic: Large exposures
  • Date of submission:

Interaction of Article 227 of the CRR (0% volatility adjustment under FCCM) and Article 401(3) (stress test of realisable value of collateral)

Our question concerns the application of Article 227 of the CRR (0% volatility adjustment under FCCM) and the interaction with the collateral stress test described in Article 401(3). The latter requires collateral values to be stressed, and the impact on Article 395(1) to be determined. It follows that the own funds requirement for large exposures in the trading book (calculated under Article 397 of the CRR) is adjusted upwards to take account of the stressed collateral values. Where the criteria set out in Article 227 of the CRR are met and 0% volatility adjustment is applied to repo/reverse repo transactions, is this exposure value taken as the base case for comparison with the stressed collateral impact calculated under Article 401(3)? Or are these two articles to be read in the reverse order, such that 0% volatility haircuts per Article 227 are also applied in the collateral stress test (Article 401(3))?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1573
  • Topic: Large exposures
  • Date of submission:

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
  • ID: 2014_787
  • Topic: Large exposures
  • Date of submission:

Large Exposures - clients to CCPs

May a client relying on Article 305(2) to calculate own funds requirements for its trade exposures for CCP-related transactions with its clearing member in accordance with Article 306, rely on the exemption in Article 400 as regards such CCP-related transactions? Legal Reference: Article 295(1), 400, 305 and 306

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_365
  • Topic: Large exposures
  • Date of submission:

Reporting of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial institutions

The issue is that the term and definitions for "institution" and "unregulated financial entity" are not complementary and thus could cover the same counterparts. Could EBA confirm that they don't want to have the same entities reported in the 2 groups ("institutions" and "unregulated financial entities") and clarify both terms?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_211
  • Topic: Large exposures
  • Date of submission:

Definition of a large exposure

Please can you confirm if the large exposure threshold for reporting is 10% of eligible capital as mentioned in Article 392 or €300m?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_57
  • Topic: Large exposures
  • Date of submission: