List of Q&As

Treatment of failed SRT under Traditional Securitisation

In case the significant credit risk cannot be considered to have been transferred according to Article 243, but the exposures had been already derecognised from the bank's balance sheet, shall the bank continue to calculate the RWA for the securitised exposures as if they were never securitised? Does it mean that no RWA will be calculated for the securitisation position?   Additionally, if the exposures have been securitised against cash, and the cash invested in new loan, would RWA be calculated for these new loans

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4207| Topic: Credit risk| Date of submission: 20/08/2018

Timely payment requirement for unfunded credit protection provided under credit risk insurance policies

Does unfunded credit protection - which a bank has purchased in order to hedge a loan exposure and which provides the protection-seller with the contractual right to compensate credit losses according to the original scheduled payment dates of the hedged loan - fulfil the timely payment requirement for unfunded credit protection in a situation where the loan becomes due and payable prior to the original scheduled payment dates?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3576| Topic: Credit risk| Date of submission: 27/10/2017

Proposals for mortgage credit extension described in Article 14 of the Directive 2014/17/EU as off-balance sheet exposures

Are the binding proposals for mortgage credit extension described in Article 14 of the Directive 2014/17/EU off-balance sheet exposures according to Annex I CRR? Should FINREP,COREP reporting include such binding proposals for mortgage credit extension?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3376| Topic: Credit risk| Date of submission: 03/07/2017

Clarification of negative RWA--, Annex III, Benchmarking exercise

What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2019_4459| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 14/01/2019

EBA ITS package for 2019 benchmarking exercise (Annex V, section 2, FX instruments)

What is the correct interpretation of instrument No.40?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2018_4428| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 20/12/2018

Definition of numerator for loss rate

How should the numerator of the loss rate be computed when some credit adjustments are applied to the exposure before the default date.

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4293| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Definition of PD*/PD** for RWA*/RWA**

Regarding the treatment of continuous ratings, the former description of RWA*/** stated: "An institution using continuous PD shall first determine the PD* for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at obligor grade level." This paragraph has been deleted for RWA-/--/+/++. Shall the rating grade used for reporting requirements by the bank be used for the caclulation of p-/--/+/++?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4292| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Definition of RWA* and RWA**

The application portfolios of RWA-/--/+/++ are defined as follows in Annex IV: CORP_ALL_0086_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, MORT_ALL_0094_**_****_**_Rx0. However, in Annex I these portfolios exist with a suffix ALL, ONX, OFF und OTH only. Shall RWA-/--/+/++ be reported for all these portfolios?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4291| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Supervisory Benchmarking - Alternative risk weight

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3222| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 10/03/2017

Undrawn uncommitted credit lines

What do we understand with "Undrawn uncommitted credit lines"? Are uncommited credit lines in the scope of the benchmarking? What kind of products are we talking about that fall into this category of facilities - are we talking about internal lines that have not been communicated to the customer? Are these relevant for COREP and the supervisory benchmarking?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3221| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 10/03/2017

Annex I Template C101.00 - Sovereigns

Clarifications around which entities to include for those identified by a bloomberg ticker referencing a Sovereign

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3197| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 02/03/2017

Supervisory Benchmarking Exercise, Annex II, C 102, columns 070 and 080 Counterparty types

What counterparty types should be included in the Low Default Portfolio exercise?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3191| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 28/02/2017

Annex IV, template C 105.01, c060, interpretation of term "case weighted" in column 060 (Case Weighted average default rate for calibration)

We are seeking for a clarification regarding the term "case weighted" in column 060 - Case Weighted average default rate for calibration. Is the requirement to weight default rates by default occurrences in each year (1st interpretation) or to weight default rates by non-default obligor observations at the start of each year?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs:

ID: 2017_3150| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 07/02/2017

Template C 105.01 for 2017 exercise (end 2016 data)

According to the 2017 exercise related to “Low Default Portfolios”, entities shall submit Template C 105.01. Given the specific characteristics of these portfolios (low default), information regarding to “default rate”, “cure rate”, etc. is not used in the estimation. Therefore, estimation is based on external information. Overall, are these fields mandatory to report in Template C 105.01? And if so, which ratios should be included?

Legal act: Directive 2013/36/EU (CRD) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2016_3069| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 21/12/2016

Recovery rate of the foreclosure assets calculation

Regarding to the Supervisory Benchmarking Process, Annex III, C 105.01: When calculating the recovery rate of the foreclosure assets, should the recovery rate include a prediction for LGD for the recent defaults or only observed recoveries are expected? 

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_2412| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 15/10/2015

Synthetic securitisation of undrawn revolving credit facilities

In a synthetic securitisation of undrawn revolving credit facilities (“RCF”), which is compliant with Article 244 of CRR, what is the EAD that should be considered inside the securitisation (which will subject to the risk weighting according to the securitisation framework) and what is the EAD that should be considered outside the securitisation (which will continue to be risk weighted according to the approved IRB model for such exposures)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4025| Topic: Securitisation and Covered Bonds| Date of submission: 26/06/2018

Interaction between Articles 473a and 127 of the CRR (risk weight factor for exposures in default under the standardised approach)

Do banks in order to calculate the thresholds of Article 127 of Regulation (EU) No 575/2013 (CRR) have to consider all IFRS 9 provisions (without applying any scaling factor) or the amount of IFRS 9 provisions reduced by applying the scaling factor as per Article 473a?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3931| Topic: Accounting and auditing| Date of submission: 24/05/2018

Asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies

For the purpose of the credit risk standard risk-weight attribution, can we consider that 1) an asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies is equivalent to 2) an asset denominated and funded in the same currency?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3832| Topic: Credit risk| Date of submission: 04/05/2018

Liability for fraud when SCA exemption used

Who is liable for fraud on Strong Customer Authentication (SCA) exempted transactions? Which payment service provider (PSP) is liable (payer’s or payee’s) when both PSPs choose to trigger an exemption to SCA?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4042| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 28/06/2018

Confidentiality of offline PIN

Should the PIN transmitted offline from a terminal to an Europay, MasterCard and Visa (EMV) card always be enciphered? 

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4055| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 28/06/2018