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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

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
  • ID: 2014_1126
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2014_1104
  • Topic: Leverage ratio
  • Date of submission:

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
  • ID: 2014_916
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

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
  • ID: 2014_907
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2014_892
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2014_841
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2014_798
  • Topic: Market risk
  • 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:

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
  • ID: 2014_781
  • Topic: Liquidity risk
  • Date of submission:

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
  • ID: 2014_744
  • Topic: Credit risk
  • Date of submission:

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
  • ID: 2013_666
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2013_641
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2013_616
  • Topic: Market risk
  • Date of submission:

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
  • ID: 2013_611
  • Topic: Market risk
  • Date of submission:

Remuneration - Secondment contracts

This question regards the application of the remuneration policies of the so called "secondment contracts/assignment contracts" from a third country. In Directive 2013/36/EU (CRD) it is stated (as well as the FAQ) that "the rules also apply to i) subsidiaries established outside the EEA of institutions which have their head office in the EEA and ii) subsidiaries established inside the EEA of institutions which have their head office outside the EEA". If an executive member of a credit institution is "sent" on the terms of a secondment contract by a third country credit institution to a EU member credit institution (which however is not only a subsidiary), do the remuneration policies apply (if the staff member is paid by the third country institution and also on the basis of the contract with the third country institution).

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_577
  • Topic: Remuneration
  • Date of submission:

FINREP, NACE codes

FINREP table F 06.00 asks breakdown of loans and advances to non-financial corporations by NACE codes. Yet there is no NACE code K (Financial and insurance activities). It is obvious that most of the corporations falling under NACE code K are actually financial corporations with sector code S.12. However, there exist non-financial corporations with sector code S.11 with NACE code K. We ask for clarification if those loans should be reported here or not.

  • 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: 2013_559
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

Derogation from the application of liquidity requirements on an individual basis

Does compliance with the obligations laid down in Part Six include the concept of “phasing-in” of the LCR from 60% in 2015 to 100% in 2018 as defined in Part Nine in Article 460(2) of Regulation (EU) No. 575/2013, or is compliance with 100% LCR from 2015 onwards required?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_503
  • Topic: Liquidity risk
  • Date of submission:

Calculating capital requirement for trading book positions - Derogation for small trading book business

According to article 94(1) of Regulation (EU) No 575/2013 (CRR), institutions which meet specific conditions are allowed to use an exception in calculating capital requirements considering trading book exposures. In letter (b) of abovementioned article it states that the size of institution's on- and off-balance sheet trading-book business should never exceed 6 % of total assets and EUR 20 million. It does not specify a time horizon for such an event. Should the institution calculate the trading-book business values starting from January 1st 2014 or from the day that it started their trading-book activity? For an example, if the institution’s trading-book business exceeded 6% of total assets only once on June 24 2013, could the derogation be applicable on January 2nd 2014? If not, for how long is the institution restricted from making use of the derogation specified in article 94(1)(b)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_500
  • Topic: Market risk
  • Date of submission:

Cash Inflows from major index equity instruments

Article 425(2)(f) of Regulation (EU) No 575/2013 (CRR) states "Monies due from positions in major index equity instruments provided there is no double counting with liquid assets". Which cash flows are included in this definition? Is it referred to monies due from expected dividends?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_481
  • Topic: Liquidity risk
  • Date of submission:

Cash outflows on other liabilities

What are the general mandatory requirements for clearing, custody and cash management deposits for the beneficial run-off factors of 5%(with deposit insurance scheme) and 25%(without deposit insurance) respectively? How can it be proved that a client is compromised in its operational functioning upon withdrawal of funds within the 30 day horizon? Can you give us an example?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_480
  • Topic: Liquidity risk
  • Date of submission: