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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

Material holdings and deferred tax below the deduction threshold

Under article 48 CRR, material holdings and deferred tax assets that are below the 10% / 17.65% CET1 thresholds should be risk weighted at 250% (thus increasing capital requirements rather than being deducted from capital resources). However, there is nowhere on template CA2 to report these items, so where should we report them in order to increase our capital requirements accordingly? CA4 asks for the thresholds to be reported but there is nothing on that template that applies the risk weights or increases requirements.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_670
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/10/2016

Application of Article 199(6)(c) and (d) in the event that the credit institution has not liquidated any such collateral in the past

In the event that a credit institution has not liquidated the collateral referred to in Article 199(6) in the past, is it sufficient to demonstrate the availability of processes and data collection/analyses tool which enables the institution to show that the realised proceeds from the collateral are not below 70% of the collateral value in more than 10% of all liquidations for a given type of collateral in case collateral is liquidated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_669
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/04/2014

Conditions for application of 4% risk weight

Please confirm that the criteria in Article 305(2)(a) is met with gross omnibus segregation solutions that provide the same level of segregation as individual segregation (e.g. account segregation with asset-tagging, where good individual asset attribution yields the same results as individual segregation).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_668
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 23/05/2014

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:

Validation Rules

There are several validations that do not appear to be appropriate. 1. v1231_m and v1318_m These validations require the prior period closing balance to equal the current period opening balance. However, given there is a separate column for profit/loss attributable to the parent on table 46 (column 100), the opening balance will not equal the closing balance. 2. v2668_s This validation requires Table 46 rows 010-040,110,190,210, columns 90 and 110 to be <= 0, however it is possible for rows 20, 30,110,190 to be greater than 0 as well when considering columns 90 and 110.

  • 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_663
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

What value should be used by a CCP as the reduced potential future credit exposure for securities financing transactions to calculate the concentration factor (β)?

What value should be used as the reduced potential future credit exposure for securities financing transactions to calculate the concentration factor (β) for the purpose of Article 50d(c) of Regulation (EU) No 648/2012 (introduced by Article 520 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
  • ID: 2013_662
  • Topic: Market infrastructures
  • Date of submission:
  • Published as final Q&A: 12/09/2014

Types of collateral to be taken into account in the calculation of hypothetical capital by a CCP in accordance with Article 223(5) of CRR

When a CCP calculates the KCCP in accordance with the formula set up in the new Article 50a of EMIR (introduced by Article 520 of CRR), what kind of collateral should be taken into account in the fully adjusted value of the exposure (E*), calculated according to Article 223(5) of CRR and substituted for EBRMi?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_657
  • Topic: Market infrastructures
  • Date of submission:
  • Published as final Q&A: 24/10/2014

Recognition of Cashflows for NSFR reporting

In case of partial payments on assets/liabilities, should each partial payment be reflected in the corresponding time bucket, or in total on the contractual maturity? Does this apply only to capital cashflows or also to interest rate cash flows?

  • 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_656
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Additional outflow due to a material deterioration in the credit quality of the institution

Article 423(2) stipulates that institutions shall notify to the competent authorities conracts containing conditions which lead, within 30 days following the material deterioration of the credit quality of the institution, to liquidity outflows or additional collateral needs. Article furthermore specifies that the competent authorites shall require an additional outflow if those contract are material but this additional outflow is required only for the additional collateral needs. The row 1150 in C 52.00 also provides only additional outflow for additional collateral needs. Some institutions may have entered into contracts containing conditions which lead to additional outflow in the form of the repayment of the debt outstanding or to a rise of interest rate within 30 days following the material deterioration of the credit quality of the institution (and not additional collateral needs). Does this mean that the additional outflow due to the material deterioration of the credit quality of the institution which is not in the form of additional collateral needs is not considered and not reported as an outflow?

  • 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_655
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 28/11/2014

Forbearance - Arrangement to Pay and Promise to Pay

The question concerns the identification of forbearance measures, namely the ‘Arrangement to Pay’ and the ‘Promise to Pay’. With this question I want to propose that an Arrangement to Pay will not be classified as forbearance. I would like to know whether you agree on my conclusion. Forbearance (EBA definition) Debts with forbearance measures are contracts / the terms (1) of which the debtor is considered unable to comply with (2) due to its financial difficulties so that the institution decides (3) either to modify the terms and conditions of the contract to enable the debtor to service the debt or to refinance, totally or partially, the contract. When determining whether a measure constitutes as forbearance the following aspects should be taken into account: A. Is the counterparty in financial difficulties? B. Is there a modification of the terms and conditions of the contract? C. Is the modification a concession? D. Is the classification of forbearance aligned with the objectives of the regulator?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2013_654
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Relevance of Issuers Rating for Article 120 of Regulation (EU) No 575/2013 (CRR)

Does Article 120 of Regulation (EU) No 575/2013 (CRR) refer to claims only, where there is an issue-related rating existing, or does it also cover claims, where no rating exists for the issue, but for the issuer?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_652
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/10/2014

Defintion of "all positions" in the templates C 18.00 - C 23.00, Market risks

What is the definition of "all postions" in the columns in the market risk templates C 18.00 -C 23.00? "All positions" are not descibed or defined neither in CRR nor in the instructions.

  • 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_649
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Instructions regarding unmatched positions, Foreign Exchange Risk

It doesn't seem logical that unmatched positions should be added to column 040 or 050 (net positions) according to the instructions to template C 22.00. We believe that this is not correct but instead the unmatched positions should be added to column 060 or 070 (positions subject to capital charge). Is it correctly interpreted that unmatched positions should be added to column 060 or 070 instead?

  • 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_648
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Instructions and COREP validation rules

C 12.00 Credit Risk: Securitisation - Standardised Approach Instruction for Column 190 Exposure Value: Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. Question 1. Column 200 of CRSA is a calculated column. Does it mean the same calculation applies to CRSEC SA? Question 2. If both the columns (C190 of SECSA and C200 of CRSA) are same, then there is no supporting validation for C190 for Securitisation- SA

  • 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_647
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Definition of Accumulated Writte-Offs to be reported in column 110 of Table 7

The ITS 2.49 defines accumulated write-offs as follows: The column “Accumulated write-offs” includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognizing because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution’s rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery. Does this amount refer to the write-offs from the initiation of the exposure, or only cumulatively, as it relates to the current reporting period (please specify if year or quarter)?

  • 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_643
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

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:

Exposure for Large Exposure Reporting - Accrued interests

Article 389 of the CRR states that for Large Exposure Reporting, the exposure should be identical to those in the standardised approach (Part II, Title 2, Chapter II) just without applying risk weights. According to Standard Approach for assets the risk position is defined by the balance sheet value including accrued interest and impairments being deducted. Can you confirm that this is also the definition for Large Exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_638
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 11/04/2014

CVA for Exposures in structures with underlying assets

In case the bank invests in a structure with underlying assets (e.g. UCITS) that consist also of derivatives. Should the CVA also be calculated for these exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_637
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 13/05/2016

Reconciliation between accounting and CRR scope of consolidation when no accounting scope exists

In case a bank has to provide financial information according to FINREP on a subconsolidated level, but the institution has no accounting obligation on a subconsolidated level, what should be filled in Template 17 of the FINREP-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)
  • ID: 2013_636
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Look through approach to be applied for calculation of Leverage Ratio

Article 429b(1)(a) states that risk positions for the calculation of the Leverage Ratio should be calculated according to paragraph 111 (1) sent. 1 of the CRR, meaning, they are identical to risk positions in the Standard Approach.Does this mean that for transactions with underlying assets, e.g. UCITS a look through approach should also be used for the calculation of the Leverage Ratio?Does this apply to template C45.00 columns 010, 020 and 030 as well as to template C40.00 column 010?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_635
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 08/05/2014