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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

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_568
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_567
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_566
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Treatment of SME-supporting factor in the case of secured exposures.

I. How should the SME-supporting factor be treated relating to secured exposures? a) Including all collaterals, i.e. also for guarantees. Thus risk weighted assets of inflow in asset class sovereigns or institutes will also be reduced? b) Only for those collaterals which cause no risk transfer (meaning which are intered directly in the RWA formula)? c) Only for the non-secured part of the exposure?II. General question when the SMR supporting factor can be used: a) To our understanding a risk transfer is only allowed in the case that the risk transfer is leading to a reduction of the RWA. Taking this into account it should always be compared “the total SME exposure with the supporting factor and without a risk transfer” to “the exposure with the SME supporting factor (only for the non-secured part) and the risk transfer without the supporting factor”. b) To consider the above mentioned point under II. a) it seems that banks under the IRB-A approach are by tendency favored as there is no risk transfer (e.g.in cases of a guarantee by a government) but the effect of the collateral is considered in the total LGD of the exposure.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_565
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/07/2014

COREP CR IRB - Calculation of column 10 - obligor PD with or without CRM technique

When calculating the weighted average PD on column 010, should we consider the PD assigned to the obligor only, or should we take into account the change in PD related to CRM technique (PD substitution on covered exposure)?

  • 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_564
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Outflows from credit and liquidity facilities

Please confirm the interpretation that a general working capital facility made available to a client meets the condition detailed in Article 424(3)(c) of Regulation (EU) No 575/2013 (CRR) if the client can use the facility in situations where the client is unable to obtain its funding requirements in the financial markets provided that the facility has not been expressly and solely provided for this purpose.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_563
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 27/06/2014

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
  • ID: 2013_562
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Clarification on cleared OTC derivatives

What type of market should cleared OTC derivatives (according to EMIR in EU and Dodd-Frank Act in the US) be classified as? OTC or Organized market?

  • 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_560
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

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:

COREP CR IRB - Calculation of column 10

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

  • 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_558
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

LR: Amout due for secured lending transaction

Hi For secured lending transaction, Amount due corresponds to the amount of outflows : does it mean after the application of the rate defined in article 422.2 of the regulation, or before application of this rate? Same question regarding tab 53 and inflows (cell c 010, 030, 050) Regarding tab 53, Row 990 (total cash inflows excluded due to the cap), does this value have to be computed by the report or will be filled with an automatic formula based on the different cells ? Where could we find this formula ? Thanks for your answer Regards

  • 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_557
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Requirement to disclose each individual instrument in the disclosure of capital instruments' main features

For the requirement to disclose a description of the main features of the Common Equity Tier 1 and AT1 and T2 instruments issued by the institution under Article 437(1)(b) of Regulation (EU) No. 575/2013, does the disclosure template require each individual security to be disclosed in the main features template that entities are expected to produce on an external website (BCBS Composition of Capital disclosure requirements - June 2012 - Appendix III)? Would it possible to agree a "de minimis" threshold and allow small securities to be presented en masse given the same value date, maturity date and other terms and conditions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_553
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 30/04/2014

COREP template C43.00 - Breakdown of leverage ratio exposure measure components

On which row of template C43 (LR4) should institutions report 'cash received or securities provided to a counterparty' as referred to in the reporting instructions of C45.00 (LRCalc) - rows 010/020

  • 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_551
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Use of ECAI credit assessments for the determination of risk weights

In Article 138 of Regulation (EU) No 575/2013 (CRR) it says that an institution may choose one or more ECAIs to derive risk weights for asset classes. Is there a possibility for institutions not to choose any ECAI at all for the exposure class ‘exposures to Institutions’, and solely rely on the Sovereign Method for the exposure class stated in Article 121? If not, is it possible to choose only one ECAI and use Sovereign Method for all the unrated exposures (i.e. unrated by your chosen ECAI)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_550
  • Topic: External Credit Assessment Institutions (ECAI)
  • Date of submission:
  • Published as final Q&A: 03/07/2015

Change in Fair Value

Regarding FinRep table 14 (analysis of financial intruments at fair value) and related guidance in annex V part 2 para 86 - Do columns 40 & 50 [ Changes in fair value for the period: Level 2 & Level 3] : (a) relate only to transactions that continue to exist at the reporting date or (b) do they include movements for all transactions during the reporting period?

  • 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_549
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Article 415 and the treatment of forward starting collateral swaps.

Article 415 states "The reporting formats shall include all the necessary information and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound." I assume "collateral swaps" referred to above does not include forward starting collateral swaps. I.e. collateral swaps that have not yet had an initial exchange of paper.

  • 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_548
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 04/04/2014

Subordinated Debt holdings

The definition of subordinated assets appears very broad - it seems to include any asset which is not highest in the order of priority. [Para 45 refers to a detailed definition in para 54: “Subordinated debt” instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied”] Can the definition be interepreted as being any asset which has specific element of subordination according to its own terms and conditions rather than being a requirement to relate to all other assets?

  • 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_547
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 21/03/2014

Bestimmung der Forderungsklasse für börslich gehandelte Optionen, Warrants und Futures / Determination of the exposure class for exchange-traded options, warrants and futures

Warrants, wie auch Options und Futures beinhalten sowohl ein Adress-Ausfallsrisiko, als auch ein ein individuelles Risiko (über die Entwicklung des Basiswertes bzw. dessen Emittenten). Nach welchen Kriterien soll CRR zufolge die Bestimmung der Forderungsklasse erfolgen? EN TRANSLATION: Warrants, like options and futures, entail both a counterparty credit risk and an individual risk (through the development of the underlying and its issuer). On the basis of what criteria, according to CRR, is the exposure class to be determined?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_546
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 20/06/2014

Tier 2 instruments

In question 2013_31 the EBA clarified that non-step-up legacy Tier 1 instruments could be eligible, for the amounts exceeding the grandfathering limits, as fully eligible Tier 2 instruments with no time limit and independently of the frequency of calls, if conditions set in Article 63 are met. Article 63 (j) states that such Tier 2 instruments may be called where conditions in article 77 are met. Could the EBA confirm that article 77 would apply to such legacy non step Tier 1 bonds potentially fully eligible as Tier 2 and would effectively impose a constraint on the bank, so that the bank does not need to have a contractual call provision in the non-step-up legacy Tier 1 bond that states that the call can only be exercised with the approval of the regulatory authority to get this bond approved as Tier 2 ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_544
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 04/07/2014

Eligibility of capital instruments for classification as Common Equity Tier 1 instruments when the instruments are supplemented by a contractual obligation of the majority-holder of those instruments to pay compensation to the minority shareholders even in loss years

Paragraph 1 (I) (ii) of Article 28 Regulation (EU) No. 575/2013 (CRR) states that “the instruments are not secured, or subject to a guarantee that enhances the seniority of the claim by the parent undertaking of the institution”. The question is, whether a contractual obligation of the majority shareholder of a credit institution to pay a compensation to the minority shareholders even in loss years (by reason that the majority shareholder and the credit institution have entered into a profit and loss transfer agreement) is permissible according to paragraph 1 (I) (ii) of Article 28 CRR? In more general terms, what is the meaning of the word “claim” in paragraph 1 (I) of Article 28 CRR (claim only to the substance/equity of the credit institution, or also to a dividend or to a compensation payment or all)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_543
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 04/07/2014