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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.

List of Q&A's

Inclusion of indirect holdings in the large exposures regime

Do indirect holdings have to be included in the large exposure regime based on Article 389 of Regulation (EU) No. 575/2013 (CRR) if they are held against a financial sector entity (that is fulfil the definition in Article 36 (1)(h) or (i) of the CRR), but are not deducted from own funds and instead risk weighted according to Articles 48(4), 46(4) or 49(4) of the CRR? If the answer is yes, can the financial sector entity being regarded as the relevant client for large exposure purposes?

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

Determination of clearing threshold of non-financial counterparties

Who decides if a non-financial counterparty exceeds a clearing threshold and therefore has to be included in the CVA calculation? Is this the responsibility of the counterparty? Is this only relevant for counterparties in third countries or also for counterparties in member states?

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

Discounts on balance sheet exposures purchased when not in default

In Regulation (EU) No 575/2013 (CRR) Article 159 it states: "......Discounts on balance sheet exposures purchased when in default in accordance with Article 166(1) shall be treated in the same manner as specific credit risk adjustments." In respect of this how should one treat discounts on purchased exposures that were not in default at the time of purchase and discounts that were not calculated on single exposure level, but instead calculated on a whole portfolio of exposures which are not in default.

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

Reporting requirement of the “10 largest exposures to institutions” and “10 largest exposures to unregulated financial sector entities”

How should we understand that reporting requirement?

  • 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)

Liquidity: Reporting on liquid assets Annexe XII; C51.00

Let's take a French bank that have an LCR >100% with a liquidity buffer composed by German government bonds. For report C 51.00 (liquidity buffer) the German government bonds should be reported only to 1 of the 6 reporting blocs. As a consequence, German government bonds will be reported in line 340 since they are of extremely high liquidity and of high credit quality. Nothing will be reported into line 440 neither 040. Is that what you expect?

  • 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)

Application of transitional provisions to Additional Tier 1 and to Tier 2 instruments with an incentive to redeem

When all the call options from an AT1 (or T2) instrument which has an incentive to redeem occur during the period that an institution is under state aid and, thus, subject to a ban on exercising call options on own funds instruments, should the AT1 (or T2) instrument be subject to the provisions of Article 489(5) (or 490(5) of Regulation (EU) No 575/2013 (CRR) assuming that the effective maturity date, as defined in Article 491, is the first call date after the referred ban has been removed?

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

Definition of a retail deposit

According to Article 411(2) of Regulation (EU) No 575/2013 (CRR) a retail deposit means:- a liability to a natural person or to an SME, where the natural person or the SME would qualify for the retail exposure class under SA or IRB approaches; or- a liability to a company which is eligible for the treatment set out in Article 153(4).(plus the limit of 1 million EUR for deposits by enterprisesthat SME or company on a group basis).Article 153(4) relates to the treatment (the correlation formula) of the exposures to companies with the total annual sales (on a consolidated basis) less than 50 million EUR under the IRB approach.Do the criteria from Article 411(2) which relates to Article 153(4) mean that:- only institutions using the IRB approach and the above mentioned treatment in Article 153(4) can treat deposits from companies with the total annual sales (on a consolidated basis) less than 50 million EUR as retail deposit, or- all institutions, regardless of the approach implemented (SA or IRB), can treat deposits from companies with the total annual sales (on a consolidated basis) less than 50 million EUR as retail deposit?

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

Effective date of Part 8 of CRR – Disclosure by Institutions

We would appreciate clarification of the date(s) by which we are required to meet the disclosure requirements detailed in Part 8 of CRR – Disclosure by Institutions. We note disclosure is to be made on the date of publication of the firm’s financial statement, the year end for our firm is not the calendar year end but 31 March. The first year end, after the date CRR comes into force will be 31 March 2014. The disclosures detailed in Part 8 of CRR are dependent on associated EBA guidelines and draft implementing and regulatory technical standards with publication/submission dates ranging from 31 December 2014 to 1 January 2016.

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

Cash Inflows with symmetrical weights

In Article 425(2)(e) of Regulation (EU) No 575/2013 (CRR) it states: "Monies due that the institution owing those monies treats in accordance with Article 422(3) and (4), shall be multiplied by a corresponding symmetrical inflow." Does this mean that assets stemming from cash management, clearing and custody services have to be treated with 5% and 25% factors, in case those factors are also applied to the corresponding deposits?

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

Methods for prudential consolidation

What is the meaning of the last sentence of Article 18 of Regulation (EU) No 575/2013 (CRR)? Does it mean that the method of prudential consolidation (paragraphs 3 to 6 and 9) is not available for institutions that have to apply Part Six on the basis of their consolidated situation?When do institutions have to apply Part Six on the basis of their consolidated situation – is this only according to Article 11 of CRR or also in case of application for a liquidity sub-group according to Article 8 CRR?

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

Inclusion of ancillary services undertakings in prudential consolidation

Should the ancillary services undertakings be included in prudential consolidation according to Article 18 and 19 of Regulation (EU) No 575/2013 (CRR)?

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

Correct consideration of the saving accounts in the LCR calculation of outflows following Article 421 (5) of Regulation (EU) No 575/2013 (CRR)

Is it correct that German “Savings Accounts” are to be considered in the LCR calculation only up to the threshold of EUR 2000,- penalty-free withdrawals per account?

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

Operational Risk (OPR) templates

The suggested questions are related to both operational risk models C 16.00 (OPR) and C 17.00 (OPR Details): -C 16.00 1.-Are the relevant indicators (year X) calculated with the information of the last natural years (from 1 of January of X-1 to 31 of December of X-1) or with the information of the last cycle of 365 days (for 30 June X reporting reference date, from 1 July X-1 to 30 June X)? 2.-If they are calculated with the last natural years, the value of the relevant indicators and the own fund requirements will not change in the reports made during the year. Thus, which cells of the template could be modified among the reports made during the year? -C 17.00 3.-Is there any threshold to report losses or must they be considered losses even when they are negligible?

  • 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)

Reporting of template “SEC DETAILS” on consolidated or/and individual basis. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

Due to conflicting specifications in Annex II instructions and Final Draft ITS there is doubt on which basis the template has to be reported: on consolidated or/and individual basis?

  • 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)

“Inflows” in connexion with securitisations. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

How is it that “inflows” can arise concerning securitisations?

  • 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)

Column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” to be reported only from originator institutions.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Why is the column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” not shown greyed for the rows concerning Investor and Sponsor?

  • 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)

Column “OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS” to be reported only from investor institutions. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Why is the column “OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DIL-IGENCE PROVISIONS” not shown greyed for the rows concerning Sponsor and Originator?

  • 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)

Determination of “Number of Obligors” (column 300).C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1)

The “Number of Obligors” has to be determined according to which method(s)?

  • 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)

Identifying the forborne exposures

What are the approaches, which are being considered in identifying the forborne exposures, as well as exposures under probation? (i.e. IT, manual). How will the 2 year probation period for the forborne exposures be managed for the exposures which are classified as forborne, and which are no longer non-performing? Are they required to be reported separately within table 18?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions