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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

Validation rule v1384_m

With respect to remeasurement gains (losses) on defined benefit plans, IAS 19, par 120 (c) together with par 122 stipulate that these are to be reported as part of Other comprehensive income and shall not be reclassified to profit or loss. Par. 122 further allows that these remeasurement gains (losses) can be transferred within equity. Based on these rules, remeasurement gains (losses) on defined benefit plans are recorded as part of Other comprehensive income and as part of Retained earnings in our financial statements under IFRS. Hence these effects are reported in table 46.00 in row 200, column 060 as well as in table 03.00 in row 060 (pre-tax) and 090 (related taxes), column 010 in our Finrep submission.Validation rule v1384_m (F 46.00, r200, c050 + c100 = F 03.00 r360,c010) however doesn’t take up this entry made in table 46.00 for remeasurement gains (losses), which are recorded as part of Retained earnings, leading to a validation error.In our view, the validation rule should be amended to also consider template F 46.00, row 200, column 060, so that remeasurement gains (losses on defined benefit plans could be reported in the Finrep submission accordingly as allowed by IAS 19.

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or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Capital requirements for regular-way transactions during the settlement cycle

How shall regular-way transactions be treated during the settlement cycle, in particular where the settlement cycle is shorter than for long settlement transactions? Is the treatment of such pending settlement transactions different for trade date accounting vs. settlement date accounting?

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

Use of Initial Margin (IM) posted by a Client as risk-mitigating effect in the calculation of the own funds requirement for CCP transactions the Clearing Member bank has with that Client

If a clearing member collects Initial Margin (IM) for client cleared trades and his collateral is passed to a QCCP, may the Clearing member recognise this collateral (IM) as risk-mitigating for calculation the fully adjusted value of the exposure (E*) according to CRR Art 223.5; independently of the method used to calculate the exposure ?

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

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)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on reporting and disclosure requirements for investment firms

FINREP Taxonomy 2.7 Treatment of ECLs on FVOCI Assets

ECLs on FVOCI assets are recognised in equity, as per IFRS 9.5.5.2. How should these be treated on FINREP template 4.3.1?

  • 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)

Hedging derivatives

Should reporting of derivatives on the asset side (F 20.04) be in line with the instructions of EBA on the liabilities side (F 20.06) and include both trading and hedging derivatives?

  • 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)

Calculation of the maximum risk weighted exposure amount (RWEA) for securitisation positions in accordance with Article 260 CRR [prior to Regulation 2017/2401]

How shall specific credit risk adjustments made on securitised defaulted exposures treated in accordance with Article 110 CRR be recognised in the calculation of the maximum RWEA in accordance with Article 260 CRR [prior to Regulation 2017/2401]?

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

Is portfolio name a result of the portfolio allocation or a pattern column with addition rule semantics?

The excel workbook C 101.00 and C 102.00 in Annex I contains rules with pattern columns (like geographical area or regulatory approach) and result columns (like portfolio ID or counterparty code). What is about portfolio name? Is it a result column of the portfolio allocation, or a pattern column with addition rule semantics?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Recognition of specific credit risk adjustments on securitised defaulted exposures under Article 266(1) CRR to reduce risk-weighted exposure amounts (RWEA) on IRB securitisation positions with 1250% risk weight (RW).

Shall specific credit risk adjustments made on securitised defaulted exposures and treated in accordance with Article 110 CRR be recognised to reduce RWEA on securitisation positions with 1250% RW in application of Article 266(1) CRR?

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

Use ‘AND’ or ‘OR’ rule to identify the exposure of the individual counterparties?

Template C 101.00 ‘Definition of Low Default Portfolio Counterparties’ (Annex I): Shall the columns Legal entity identifier, Credit register code, Commercial register code, ISIN Code and Bloomberg ticker be used with ‘AND’ or ‘OR’ rule to identify the exposure of the individual counterparties?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Traitement des dettes subordonnées dans l'état C 68.00 et C 67.00 (Treatment of subordinated debt in templates C 68.00 and C 67.00)

Original questionPouvez-vous nous préciser le traitement à suivre concernant les dettes subordonnées dans l’état C 68.00 (financement par produit)? Translated questionCould you please clarify the applicable treatment for subordinated debt in template C 68.00 (Concentration of funding by product type)?

  • 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)

Clarification of the treatment of contracts for difference (CFD)

Shall long (short) positions in CFDs, where the underlying is denominated in foreign currency, be treated as a single long (short) foreign currency position equal to the market value of the notional position of the underlying or market value of the CFD in the quote currency?

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

Clarification on the exclusion of calculation of credit spread portfolio in cases where only approval for general risk of debt instruments is granted

Do only institutions with approval to calculate their own funds requirements for the general risk of debt instruments and specific risk of debt instruments by using their internal models and an internal incremental default and migration risk (IRC) model have to calculate credit spread portfolios?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

Deduction from CET1 of significant holdings in financial sector entities (FSE) and protection acquired to limit downside investment exposure

Will the hedge with the 3rd party as described in the example in the background result in the deduction from CET1 (as per Article 36 CRR) being reduced from €750m to €250m?

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

Speculative immovable property financing

Should the loans that banks grants to build a first home, as a part of the normal business process, where the repayment of the financing comes from the sale of the property to the first buyer, without a speculative purpose of resale, and on the basis of the credit risk valuation of the borrower’s financial strength, be considered as speculative immovable property financing under Article 4(1)(79) CRR?

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

Outflows associated with Payment Institutions' escrow accounts

Can the escrow accounts held for Payment Institutions be considered as operational deposits ?

  • 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

Treatment of interest outflows for retail deposits

Should interest be reported - together with the deposit amount and be subject to the treatment provided by Articles 24/25 or - separately and be subject to the treatment provided by Article 31(10) a(1)  (any other outflows)? 

  • 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

Specialised lending for the ‘Low Default portfolios’ Supervisory Benchmarking Exercise 2017

According to the instructions related to the Supervisory Benchmarking Exercise 2017 for ‘Low Default portfolios’, we are supposed to report portfolios assigned to one of the following exposure classes:(a) Central governments and central banks(b) Institutions(c) Corporates – Other(d) Not applicableThe legal reference for this column is the Paragraph 78 of Annex 2 of Commission Implementing Regulation (EU) No 680/2014. This paragraph 78 defines clearly the different exposure classes and particularly distinguishes ‘Corporate – Other’ and ‘Corporate - Specialised lending’ according to article 147 of the regulation (EU) No 575/2013. Thus, we understand that the ‘Specialised lending’ is not to be reported for the ‘Low Default portfolios’ Supervisory Benchmarking Exercise 2017. Please confirm our understanding regarding ‘Specialised lending’.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

Calculation of operational risk capital requirements under BIA

Under the Basic Indicator Approach used to compute own funds requirements for operational risk, how should the interest revenues from impaired loans be considered in the calculation of the Relevant Indicator (RI), namely, applying the effective interest rate on the gross carrying amount of the loans (before allowances/impairment) or on the recoverable amount, after deduction of impairment?

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

High income OECD countries and Liquid asset classifications

Can high income OECD countries’ Government bonds be considered as Level 1 assets for the purposes of the LCR?

  • 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