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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

Clarifications on HDP benchmarking exercise instructions, templates and portfolios

1) Definition of HDPs (C103, Annex II)A clear indication of the definition of SME - CORPORATE and SME - RETAIL Portfolios (Column 020) is not provided in the instructions. Are they to be defined according to the CRR rules? Specifically, SMEs are the counterparties with Total annual sales for the consolidated group < 50 mln € and which are considered for RWA calculation according the specific formulation as of Art.153 (4). This may include also cases in which the Institution “shall substitute total assets of the consolidated group for total annual sales when annual sales are not a meaningful indicator of the firm size and total assets are a more meaningful indicator than total annual sales” 2) Weighting of default ratesDoes the EBA expect banks to compute the “default rate past 5 year” as the as the exposure weighted average of the default rates observed in the last 5 years? 3) Clusters without exposuresFor the exercise, some clusters might come up without any exposures. How should firms deal with them? Report them anyway with 0 values or simply not report?Moreover, if not as confirmed during the previous exercises, how should firms consider the general instruction “Institutions shall submit data only for those counterparties where an actual exposure or a valid rating exists”? (Annex IV Part 1) 4) Calculation of RWA* and RWA**The calculation of PD*/PD** thus RWA*/RWA** is due for each entity reporting a COREP. Therefore, some regional institutions (related to a parent institution) with low materiality are concerned by reporting the RWA*/RWA** values. However, these small institutions could show a low volume of defaults (sometimes equal to zero). Can these institutions be exempted from reporting RWA*/RWA** when their IRB approval takes place in the same country 5) EL ModelsAre institutions exempted from reporting EL models in the template Annex III C 105.01 (where institutions apply Article 160-2(a) CRR)?

  • 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)
  • ID: 2015_2464
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarifications on portfolio specifications & general instructions for Annex V

Portfolio 1.5 (equity variance swap) - In the formula for realised variance in Annex V, the summation index i goes from 1 to n-1. That is not how standard booking works, where the index should start at 0 not 1. Portfolio 1.15 (knock-out currency option) - In the table (page 5) of Annex V it states 'cash settled' while in appendix 2.4 it states that settlement = deliverable which we interpret as physically settled. Could you clarify? Also which currency to settle in if it is settled in cash? Portfolio 1.18 (oil put option) - Annex V is somewhat ambiguous on which contract month to use for the underlying (currently we use Feb16) and to set the strike (currently we use May16). Could you confirm? Portfolio 1.10 (Contradiction between general instructions and term sheet) - Under trade 1.10 “Seller of an OTC receiver swaption” - there is ambiguity whether the premium should be included or excluded from the valuation. The term sheet requires premium as payable at expiry although the general regulatory instructions indicate that premiums should be excluded. Can you please clarify how premiums should be treated? Portfolios 1.10, 1.30 and 1.32 - Can you please confirm whether the swaption #10 should be booked as cash settled or physically settled? Portfolio 1.20 - When firms calculate the IMV on the 26th Oct, do they have to use the same FX rates as of the 15th Oct to convert the USD bond to EUR? Same question applies for the VaR calculation in December. Common instructions - Should firms assume LDN close unless explicitly stated when market data were referenced (e.g. “strike = 3m forward exchange rate as end of day 15 Oct 2015") given that evaluation time is LDN close? Common instructions - Reporting currency - For templates covered by Annex V, firms are asked to disclose positions against EUR, USD etc. In terms of the instrument/position-booking values, are the EBA expecting firms to provide in the actual transaction currency requested i.e. EUR, USD etc or should they convert to local (for instance for UK headquartered firms to GBP)? Firms currently submit all existing CoRep returns in local currency (GBP) as systems used by national authorities only accept local base currency (GBP) values. If firms must submit in local currency, will the EBA take care of the conversion?

  • 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)
  • ID: 2015_2463
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Definition of Active Contractual Relationship

What is the definition of an Active Contractual Relationship?

  • 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
  • ID: 2015_2461
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 26/02/2016

Article 116 Colleges of Supervisors

When conducting supervision on a consolidated basis, is the consolidating supervisor of an EU-headed banking group with subsidiaries only in third countries subject to the provisions of EU law, notably to the provisions of Regulation (EU) No 575/2013, Directive 2013/36/EU and the relevant delegated and implementing acts? If so, how is Article 116 of Directive 2013/36/EU to be applied in that case, in particular under the considerations that there is no need for a joint decision and that third-country supervisors are not subject to EU law? How does the situation change when the ECB is the consolidating supervisor and the banking group has subsidiaries only in participating Member States and in third countries?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2460
  • Topic: Colleges of supervisors
  • Date of submission:
  • Published as final Q&A: 04/03/2016

Eligible collateral in a central bank

Must liquid assets be eligible in a central bank when LCR is calculated?

  • 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
  • ID: 2015_2459
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 11/11/2016

NCWO principle in a group resolution

When a group is put under resolution and when the normal insolvency law of a country is not applicable to a group but only entity by entity, is the NCWO principle valuated at the level of the group or entity by entity?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2458
  • Topic: Valuation
  • Date of submission:
  • Published as final Q&A: 10/06/2016

Composition of resolution college

For the purpose of Article 88(2)(g)) of Directive 2014/59/EU (BRRD), should “the authority that is responsible for the deposit guarantee scheme of a member state” be the “designated authority” in accordance to Article 2(1)(18) of Directive 2014/49/EU (DGSD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2457
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Resolution plan for an institution without any critical economic functions

Is the resolution authority under the obligation to elaborate resolution plans even for institutions without critical functions for which the waiver under Article 4(8) of Directive 2014/59/EU (BRRD) is not available? Must the resolution authority elaborate resolution plans for groups that do not have any critical functions?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2455
  • Topic: Resolution plans
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Depositor preference where the deposit is recived from a fiduciary

Do deposits received from financial institutions on behalf of clients that are individuals and SMES benefit from depositor preference.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2452
  • Topic: Interactions with the DGS and the BRRD
  • Date of submission:
  • Published as final Q&A: 01/07/2016

FINREP – Forborne Exposures

Is the definition of concession referred in paragraph 164 to be read as including all non-payment related concessions?

  • 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: 2015_2450
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Requested guidance on portfolio 1.26 – pricing bond XS0516040671

Bond XS0516040671 in portfolio 1.26 has been completely purchased on March. How should be price this bond?

  • 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)
  • ID: 2015_2448
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Requested guidance on usage templates in Annex VII for multiple portfolios

The template in Annex VII contains a block with information for one portfolio. It is unclear from the instructions whether it is the intention that we fill in one template per portfolio (for worksheets 107 - 110 in the template) or we report all portfolios in one template. Is it also the intention for the IMV's (worksheet 106) to report the fgures for only one portfolio or do we extend the table there to be able to report all portfolios in one overview?

  • 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)
  • ID: 2015_2446
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

ALMM Template 71

Regarding the ALMM T71, CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY, do we show separately central banks’ exposures and government securities for the same country?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_2445
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Validation Rule v3812_s

This validation rule indicates that column 010 of C43.00a should be positive or equal to zero. For row 060; this amount could be negative in case of portfolio of repos that fulfill conditions of Article 429 - 11.

  • 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: 2015_2444
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 03/02/2017

Market risk benchmarking portfolio 1.18 not fully clear how to book

Portfolio 1.18 is short 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015. Is the underlying the 6m future, or spot?

  • 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)
  • ID: 2015_2440
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarifications on portfolio specifications & general instructions for Annex V

Portfolio 1.10 - the portfolio references Bloomberg code eusv0210 curncy but then also states that “strike price is based on the IRS rate as per #9”. Market convention would suggest using the 2y 10y forward swap rate, unless the intention is to create a non-ATM option. Which of these should be used? Portfolio 1.13 - Should firms take the forward such that the notional of EUR is based on the forward FX rate (as opposed to spot FX rate) as of 15 October 2015? The wording just refers to “EUR/USD ECB reference rate”. General instructions: The instructions require [in Annex 5, section “Common instruction”, paragraph (b)] that the valuation of each portfolio shall be made at 4:30 pm London time. For a number of portfolios this is impractical. Indeed marking of some portfolios are usually done at the end of day of the relevant market. Marking at 4:30 London time would constitute for those portfolio an intra-day price which might be arduous to derive. This would typically be the case for : - FX instruments which are usually marked at NY COB - Commodities - CRM trades are marked at the end of their respective markets Therefore, we would suggest that the cutoff time is changed for some portfolio to be aligned with market conventions. Can you confirm whether this convention can be used?

  • 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)
  • ID: 2015_2439
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Application of MREL to entities defined in Article 1(1)

Do entities referred to in Article 1(1), points (b), (c) or (d) also have to comply with the requirement for own funds and eligible liabilities (MREL)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2438
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 30/10/2015

MREL regarding liabilities governed by the law of a third-country

What are the obligations of an institution regarding liabilities governed by the law of a third-country and how are the requirements of Article 55 of Directive 2014/59/EU (BRRD) assessed? Should the competent authority or the resolution authority be in charge of gathering and assessing the evidence?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2437
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Transfer to a recipient in full under a partial transfer

Is it possible to transfer certain classes of eligible liabilities to a recipient in full even in case not all liabilities of an institution are transferred to that same recipient?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2436
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 28/10/2016

Exemption from bail-in of emergency liquidity assistance provided by the central bank

Does the BRRD provide for any exceptions from bail-in as regards liabilities from emergency liquidity assistance provided by the central bank before the institution is in resolution?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2435
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 02/12/2016