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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

Interpretation of EADitotal and Mi in the standardised CVA charge.

Where there are several trades with the same counterparty but there is no regulatory netting agreement in place: Is one EADitotal and one Mi applied per counterparty within the formula? If one EADitotal and one Mi is applied per counterpart, can the Mi be calculated as the weighted average notional? (ambiguity arises because the CRR guidance referred to on maturity only references trades in a netting set for the calculation of a weighted average notional (article 162 (2) b)) If in the above case it is determined that individual trades are to be treated separately with no weighted average notional maturity calculated, is each EAD and M applied and treated as a separate counterparty within the formula?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_830
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

C21 Additional requirements for options (non-delta risks) : reporting requirements

In the report C21, the taxonomy, accordingly with the ITS last functional XLS templates allows the row 090 to be fed for other column that capital requirements. But, this seems very strange from some of our customers as in all other Market risk templates ( ie. MKR SA COM, MKR SA FX) this row must only be fed for the column "Own fund requirements". => In the report C21.00, for rows "090" shall we report figures in column "010" to ""050"?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_829
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

Leverage Ratio, form 46.00

In the taxonomy, it seems that we have an open fact set on the cell Line 160 column 02. Although this cell is not mentioned in the ITS (only cells 160;1 and 160;3 seems to appear in the ITS). => May you confirm if the EBA expects or not to receive a fact for cell 160;2? => Will the ITS or the Taxonomy be updated accordingly?

  • 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: 2014_827
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Inconsistency between taxonomy and ITS - MKR SA TDI

In the taxonomy it seems that the following cells may be fed for all exposures classes (In the taxonomy the facts are "open" for the cells of the following rows ) : - row 325 column 610 - row 330 column 610 Bu tin the same time for those cells, the ITS clearly says that " It shall only be reported on Total level of the MKR SA TDI ". So based on the ITS some of our customers do not want to give a split by currency for those cells. => May you confirm if the EBA expects or not to receive a breakdown by currency for the following cells? => Do you thing that the ITS or the taxonomy will be updated accordingly?

  • 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: 2014_826
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

Inconsistency between taxonomy and ITS - report CR SA

In the taxonomy it seems that the cells from the following rows may be fed for all exposures classes (In the taxonomy the facts are "open" for the cells of the following rows ): - 020 : of which SME - 030 : of which : SME subject to SME-supporting factor - 040 : of which : Secured by mortgages ... But in the last version of the ITS (and also in the old one), the functional text mentions that those rows should only be displayed for some specific exposures classes (i.e screen shot below). Some of our customers think that, accordingly to the ITS, the following rows must be "closed" for non listed exposures classes like "Institutions", "central governments or central banks", "Covered Bonds" ... Indeed, for them those reporting SME details for an exposure on "central governments or central banks" is just functional non-sense. => May you confirm that rows "020" to "040" must only be reported for the exposure classes listed in the ITS? => If so, can we expect that a future version of the taxonomy will close the facts relative to those rows for the ITS unlisted exposure classes.

  • 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: 2014_825
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

COREP NACE codes

Has a revised list of NACE codes been issued or are the current NACE codes based on the Regulation (EC) No 1893/2006 to be used when reporting under COREP?

  • 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: 2014_821
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as final Q&A: 05/09/2014

Internal Model Method for counterparty credit risk: Determination of the effective expected exposure when the model captures the effect of margining (Article 285(1)(c))

Article 285(1)(c) states that 'if the model captures the effects of margining when estimating EE, the institution may, subject to the permission of the competent authority, use the model's EE measure directly in the equation in Article 284(5).'Does the adverb 'directly' mean that institutions have to calculate their Effective Expected Exposure (EEE) as1.) EffectiveEEtk = max{EffectiveEEtk-1 , EEtkmargined}, i.e. just insert margined EEs in the equation in Art. 284 (5) or2.) EffectiveEEtk = EEtkmargined, i.e. substitute the monotony operator by the margined EEs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_819
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 11/07/2014

Validations

Can the EBA review the attached file which includes specific validations which we believe may be illogical or contain errors. Where appropriate can the EBA amend both Annex XV and the taxonomy. Please note that this is not a repeat of question 2013_524. The attached file contains a further set of validation queries.

  • 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: 2014_815
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Non Credit Obligation Assets

Paragraph 5 of article 148 of CRR, states "An institution that is permitted to use the IRB Approach for any exposure class shall use the IRB Approach for the equity exposure class laid down in point (e) of Article 147(2), except where that institution is permitted to apply the Standardised Approach for equity exposures pursuant to Article 150 and for the other non credit-obligation assets exposure class laid down in point (g) of Article 147(2)." It is not clear whether an institution with an IRB Approach permission should treat "non customer assets" e.g. fixed assets, cash etc under the IRB approach (reported as Non Credit Obligation) or under the standardised approach (reported as Other Assets)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_810
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/09/2014

IIlogical validation in Annex XV

IIlogical validations in Annex XV

  • 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: 2014_809
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Effect on the capital requirement of a guarantee where the right to call is linked to default versus another where it is linked to realised loss

Let’s take a portfolio level guarantee that is callable once losses from the exposures covered have been realised (and NOT when exposures DEFAULT); realised losses decrease the notional of the guarantee. As it can take years till losses get realised after the default event, while losses are still unrealised (but defaults have happened) the full notional is used to cover the whole portfolio. Our question is whether such a guarantee is eligible to be taken into account as unfunded credit protection and thus decrease the capital requirement of the sub-portfolio it cover?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_803
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/07/2014

Transfer Restrictions

With regards to transfer restrictions on liquid assets held in third countries Article 417 (b) specifically refers only to liquid assets reported under Article 416 (1)(c) only and not those reported under Articles 416 (1a), (1b) or (1d)? It would appear that transfer restriction are not considered for assets reported under 416(1)(a), (1)(b) or (1)(d). 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_802
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Eligibility of pooled assets for liquidity purposes

Please provide your recommendation as to procedure for allocation of assets within collateral pools to encumbered/unencumbered for LCR/NSFR purposes

  • 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: 2014_801
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Clarifications with respect to Commission Implementing Regulation (EU) No. 1423/2013 (ITS on disclosure of own funds requirments)

1) Further guidance is requested on the disclosure relating to ‘governing law of the instrument’ as securities can be issued in one country (e.g. the USA) but governed or have subordination provisions based on the law of the country in which the issuing bank resides (e.g. the UK) The 'governing law of the instrument’ is required to be populated in row 3 of Annex II. 2) More refined language is requested for the disclosure relating to ‘If convertible, specify instrument type convertible into’. Specifically clarification on whether disclosure is required for conversion within the same category of capital (e.g. securities that qualify as AT1 and can convert into preference shares that would also qualify as AT1). This is required to complete row 28 of Annex II. 3) Possible options for specifying non-compliant features should be included in the guidance thereby ensuring consistency across banks. This is required to complete row 36 of Annex II. 4) Guidance is requested on the publishing mechanism. We would like to clarify whether there is a requirement to publish on the external website or in the printed financial statements. A possible date for publishing the table would ensure consistency across banks although this disclosure may need to tie to the date of results presentation. 5) Guidance is requested to provide the expected frequency of update. When a change in security is incorporated in the table is it expected that the value change (as at the last reporting date) for all securities is reported? (expected to arise when the update frequency is semi annual or less frequent). Also guidance is requested with respect to the time line within which the schedule is required to be updated. 6) Further guidance is requested for the type of Instrument (row 7). The current guidance under Annex III indicates 'menu options to be provided to institutions by each jurisdiction...' 7) Current guidance under Annex III for row 8 indicates '...total amount of the instrument recognised in regulatory capital before transitional provisions for the relevant level of the disclosure...'. Our interpretation of the text in the law requires disclosing the value of each security in the composition of regulatory capital prior to the grandfathering cap. Our interpretation, therefore requires disclosing within row 8 the value of the security that is different from the value included in the calculation of regulatory capital (calculated post the application of the cap). This seems to be inconsistent with the purpose of EU 1423/2013 where all articles included therein are closely linked and therefore amounts disclosed in each of the schedules are expected to reconcile. Please advise if our interpretation is in line with your understanding of the regulation.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
  • ID: 2014_800
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 28/05/2014

Netting of Perfectly Matching Contracts under the Mark-to-Market Method

In the context of the application of contractual netting under the Mark-to-Market Method outlined in Article 274 of Regulation (EU) No 575/2013 (CRR), Article 298 (2) refers to ‘perfectly matching contracts’ that include “similar contracts in which a notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully in the same currency”. It is not defined in the CRR is what constitutes "similar" and whether the reference in the Article implies that perfectly matching contracts are limited to FX related contracts.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_798
  • Topic: Market risk
  • Date of submission:

What is meant with 'mainly' in the definition of 'financial holding company'?

A 'financial holding company' is defined as a financial institution, the subsidiaries of which are exclusively or mainly institutions or financial institutions, at least one of such subsidiaries being an institution, and which is not a mixed financial holding company. Could you please provide more guidance on what is meant with 'mainly'?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_796
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 21/11/2014

The use of the Collateral Simple and Comprehensive Methods under the Large Exposure regime

Does the phrase "where it is permitted to use" referred to in the third sub-paragraph of Article 403(1) of Regulation (EU) No 575/2013 (CRR) intend to prescribe that the treatment for collateralised exposures specified under Article 403(1)(b) is available for: • those institutions which are allowed to use both the Financial Collateral Simple and Comprehensive Methods?; or • collateral types which are eligible for both methods?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_793
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 20/04/2021

Securities borrowing transactions within the LCR - inflows

How should to treat potential inflows regarding an unsecured securities borrowing transaction as they are not mentioned within Article 425 (2) of Regulation (EU) No 575/2013 (CRR) be treated.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_792
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 11/07/2014

Wrong member in the taxonomy categorization for ‘Type of risk’ dimension in column 040 of template F 13.01

In Report F 13.01 – Breakdown of loans and advances by collateral and guarantees, column 040 (Other collateralized loans – Rest) is interpreted, in the template, as being ‘Collateral other than real estate and other than Cash [Debt instruments issued]’. In this column, for dimension Main category of collateral or guarantees received, all members are being categorized as ‘Other than Real Estate’ while they should be categorized as ‘Other than Real estate, Deposits, Debt securities issued’ thus including other Deposits and Debt securities issued for collaterals other than real estate and being consistent with it’s Hierarchy for collateral received (MC22).

  • 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: 2014_789
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

Inconsistency between validation rule v0620_m from Annex XV (Validation Formulae) and the hierarchy definition for TR1 in template C 21.00

According to the Validation formulae (Annexe XV) v0620_m for COREP report C 21.00 – Market risk: Standardised Approach for position risk in equities, {r010, c060} is the total of own funds requirements for General Risk, Specific risk, Particular Approach for position risk in CIUs and Other non-delta risks for options. For ‘Type of risk’ dimension categorization in {r080,c060} - Particular Approach for position risk in CIUs, the member is ‘Market not look-through CIUs risk’. But, according to TR1 hierarchy, this member is not included in the hierarchy for ‘Equity risk’ member. This results in inconsistency between the hierarchy definition and the validation formulae specified. The numbers do not add up naturally as expected in the validation rule.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_788
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 23/10/2015