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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.

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List of Q&A's

Reporting of Pillar 2 requirements in C 03.00 (follow-up to Q&As 2015_2302 and 2016_2699)

For 2017, the competent authority distinguished the Pillar 2 requirements in two slices: P2R (Pillar 2 requirement) and P2G (Pillar 2 Guidance).The EBA Pillar 2 Roadmap of 11 April 2017 explains in page 5 ‘.... competent authorities would not require institutions to disclose capital guidance publicly. It should be noted, however, that competent authorities under the CRD do not have the legal powers to actively prevent institutions from disclosing P2G. Institutions are generally expected not to disclose P2G...’. Moreover, an institution underlined the confidentiality of the P2R, and claims that some regulatory data, among them some COREP ones like those in template CA3 (C 03.00), are regularly transmitted to CCPs in purposes of certification.Question 1Do you confirm that the P2G is not expected in COREP CA3 (C 03.00)?Question 2For 2017, an example of requirements whose formulation is approximately standard for institutions:‘The [competent authority] requires [the institution] to maintain, on a consolidated basis, a total SREP capital requirement (TSCR) of 9.25% as that ratio is defined in section 1.2 of Guidelines EBA/GL/2014/13. The TSCR of 9.25% includes:(i) the minimum own funds requirement of 8% to be maintained at all times in accordance with Article 92(1) of Regulation (EU) N) 575/2013 of the European Parliament and of the Council; and(ii) an own funds requirement of 1.25% required to be held in excess of the minimum own funds requirement and to be maintained at all times in accordance with [the national transposition measures of Article 104 of Directive 2013/36/EU (CRD)], to be made up entirely of Common Equity Tier 1 capital.[The institution] is hereby reminded that it is also subject to the overall capital requirement (OCR), as that ratio is defined in section 1.2 of Guidelines EBA/GL/2014/13, which includes, in addition to the TSCR, the combined buffer requirement as defined in point (6) of Article 128 of Directive 2013/36/EU, to the extent it is legally applicable.’‘[The competent authority] expects that [the institution] complies, on a consolidated basis, with Pillar 2 capital guidance of Y% to be made up entirely of Common Equity Tier 1 capital and to be held over and above:(i) the minimum Common Equity Tier 1 ratio required under Article 92 (1) (a) of Regulation (EU) N) 575/2013;(ii) the own funds requirement of 1.25% required to be held in excess of the minimum own funds requirement and to be maintained at all times in accordance with [the national transposition measures of Article 104 of Directive 2013/36/EU (CRD)], to be made up entirely of Common Equity Tier 1 capital;(iii) the combined buffer requirement as defined in point (6) of Article 128 of Directive 2013/36/EU, to the extent it is legally applicable.'How do these requirements of the competent authority have to be reported in COREP CA3?Option 1:CA3 r080: Target CET1 capital ratio due to Pillar II adjustments = 5.75% (i.e. 4.5% -regulatory minimum- + 1.25% -P2R of CET1-),CA3 r100: Target T1 capital ratio due to Pillar II adjustments = nothing,CA3 r120: Target Total capital ratio due to Pillar II adjustments = 9.25% (i.e. 8% -regulatory minimum- + 1.25% -P2R of CET1-).Option 2:CA3 r080: 9.25% (i.e. 4.5% -regulatory minimum- + 4.75% -P2R-)CA3 r100: nothing,CA3 r120: 9.25% (i.e. 8% -regulatory minimum- + 1.25% -P2R-).Others?

  • 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)

Appropriate Risk Weight for purchased defaulted assets

Where an entity subject to the CRR purchased Non-Performing Loans booked at the purchase price (net book value, “NBV”), which is significantly below the loans’ gross book value (“GBV”), can the difference between GBV and NBV be treated as specific credit risk adjustment when deciding whether a risk weight of 100% (rather than 150%) applies according to Article 127 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

Recognition of non cash variation margin in the calculation for replacement cost of derivatives for Leverage Ratio

In the leverage ratio exposure calculation of non-client cleared derivatives can non cash variation margin be deducted?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

Treatment of inflows from credit facilities in LCR

If an institution expects that a credit facility is prolonged when it becomes due or a renegotiation date occurs, should institutions report an inflow at the due/renegotiation date?Shall institutions report interest payments on credit facilities as inflows if customers do not pay interests in cash?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

Validation rules v2815_m, v2821_m vs. FINREP / AE instructions

Validation rules v2815_m and v2821_m imply that customer loans on demand are reported in different rows in the Asset Encumbrance template F 32.01.Our understanding of FINREP and AE instructions differs as follows:In Asset Encumbrance template F 32.01, all loans on demand are reported in row 020 ‘Loans on demand’, whether they are due from credit institutions or customers. In French accounting (PCEC), credit institution loans on demand are classified in class of accounts 1, and customer loans on demand in class of accounts 2.In FINREP template F 01.01, class 1 loans on demand are reported in row 030 ‘Cash balances at central banks’ and class 2 loans on demand in row 200 ‘Loans and advances’.We believe validation rules v2815_m and v2821_m are inconsistent with FINREP and AE instructions on customer loans on demand.

  • 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)

Risk weight for the credit risk for third countries with supervisory and regulatory arrangements at least equivalent to those applied in the Union according to Article 114(7) CRR

If a third country has supervisory and regulatory arrangements at least equivalent to those applied in the Union (such as Turkey) what risk weight for the credit risk is assigned to the exposure of this country?For example, when the Turkish competent authority assigns a 0% risk weight to the credit risk of Turkey, can this risk weight be used by a German bank? What happens when Turkey issued bonds in EUR, USD, JPY and TKY? How is the difference in the risk weight in the case the Turkish competent authority assigns a 0% risk weight to all bonds?

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

FINREP, F 08.01: Breakdown of financial liabilities, amount contractually required to pay at maturity

We need a clarification regarding FINREP template F 08.01 Breakdown of financial liabilities by product and by counterparty sector, column 050 (Amount contractually required to pay at maturity). It is not clear which types of deposit liabilities (overnight deposits, deposits with agreed maturity, deposits redeemable at notice and repurchase agreements (repos)) are required to be included in this column. Does FINREP template F 08.01, column 050 refer to all of the four aforementioned deposit types or only those ‘deposits with agreed maturity’ and ‘repurchase agreements (repos)’? IF we are to include all four types of deposits, it is not clear what maturity date to use for overnight deposits and deposits redeemable at notice.

  • 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 a Permanent Partial Use exemption under Article 150(1)(d) to the European Commission

Does the permanent partial use exemption under Article 150(1)(d) of CRR encompass European organisations such as the European Commission? Does the permanent partial use exemption under Article 150(1)(d) of CRR encompass European organisations such as the European Commission?

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

Funding Reliances - Table 2A1 - Insured and unsinsured deposits and uninsured deposit-like financial instruments (P 02.01)

Which of the following amount should "Deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country" definition include: (1) Covered Deposits as per Art. (2) of the European Directive 2014/49/EU on Deposit Guarantee Schemes i.e. all deposits eligible for compensation for each customer with the credit institution up to €100.000 for each depositor. OR (2) Payable amount i.e. all deposits eligible for compensation for each customer with the credit institution after setting-off any credit institution's counterclaims against that specific customer and taking into account the maximum amount of compensation that is €100.000 for each depositor.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05

Treatment of Credit Unions in C 68.00 ALMM Reporting

How should Credit Unions be classified for ALMM reporting? 

  • 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)

EBA validations APPEAR to be relevant to IFRS and GAAP though they only include a GAAP template (F 04.06)

Can you confirm that these validations are out of scope for IFRS and, if so, why in the EBA validations list their severity is marked as "Blocking for IFRS"?

  • 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)

CCF for uncommitted lines

Can uncommitted guarantee/letter of credit lines be classified as low risk under Annex I, point 4 letter (c) CRR? 

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

Scope of CRR definition of Financial Institution

Are deposits maintained by entities meeting the literal requirements of Article 4(1)(26) CRR excluded from the coverage of the Deposit Guarantee Schemes (DGS)?

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

C 07.00, validation e4894_n (validations for v2.6)

This validation rule indicates that for exposure class ‘Institutions’ rows 140 to 170 and 190 to 280 of C 07.00 for columns 010 to 040 and 150 to 240 should be empty. Where should the following exposures to institutions be reported?According to Article 113 (6) CRR an institution may have exposures which are assigned a RW of 0%, (row 140).According to Articles 306 (1) and 305 (6) CRR, CCPs exposures reported in ‘Institutions’ would take a RW either of 2% or 4% respectively (rows 150 and 160)According to Articles 119 to 121 CRR, an institution may have exposures to an institution which are assigned a RW of 50%, 100% or 150% (rows 200, 230 and 240)

  • 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)

Rollover of Funding (C 70.00): Treatment of maturing deposits being renewed at a different tenor

When the initial tenor of the maturing deposit is different from the rolled over deposit, will the maturing deposit be reported in a different initial tenor section compared to the rolled over deposit?For example, if a deposit is maturing which had an initial tenor of 2 months but when rolled over it has an initial tenor of 9 months, where will the maturing amounts be shown and where the rolled over amount? Do they have to be in the same initial tenor section?

  • 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)

Risk weight to apply to exposures to unrated central banks

What risk weight should be assigned to exposures to the central bank of a non EU-member country when the central bank does not have a credit assessment by a nominated ECAI (i.e., it is unrated)? Would it be appropriate to assign a risk weight of 100% to exposures to said central bank, independently of the rating of the central government?

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

The question relates to systemic risk buffers and whether they can be additive

According to Article 134 CRD can two systemic risk buffers (SRBs) be additive e.g. in situations where a home country already has a SRB in place and wants to reciprocate a SRB from another Member State?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Presentation of IRB floor (Article 500 CRR) in COREP templates

How should an IRB institution present Basel I floor as defined in Art. 500 CRR (an additional IRB floor requirement) in COREP reports?

  • 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 IRB floor

How should the IRB floor requirement, stemming from Article 500 CRR (transitory Basel I floor), be applied in case of an IRB institution that uses standardised method (after regulator’s approval) as an alternative to Basel I floor in the situation when 80 % of the total minimum amount of own funds calculated under standardised method (SA) is higher than the own funds calculated under IRB approach?Is the institution in such circumstances obliged to recognise an additional capital (own fund) requirement, resulting from the difference between the floor value based on STA and the actual own funds calculated under IRB capital requirements, directly in its capital adequacy ratio (the positive difference between 80% of STA RWA and IRB RWA to be added to denominator of capital adequacy ratio calculation)?Or rather the IRB bank is only obliged to ensure that it holds own funds at the level which is more or equal to the 80% of the total minimum amount of own funds as required under Basel I (or STA under Basel II, after regulator’s approval), i.e. the level of own funds is sufficient for covering the IRB floor requirement of Art. 500 CRR?

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

Deduction of deferred tax assets

Does the CRR recognise any form of deferred tax assets (DTAs) that do not rely on future profitability, other than those specified in Article 39(2) of the CRR?

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