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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

ECAI ratings

1) For the determination of the risk-weight applicable to an exposure, is a “Bank Deposit Rating” an issue rating as per Article 139 of the CRR? 2) For the determination of the risk-weight applicable to an exposure, should a “Bank Deposit Rating” be used instead of an “Issuer rating” for exposures to institutions which are in the form of deposits (i.e. bank deposits)? What would be the treatment in accordance with Article 139 of the CRR?3) For instance, which Moody’s rating should be used to risk-weight an exposure to an institution which is in the form of a deposit (i.e. bank deposit): - the “Issuer Rating”? - the “Bank Deposit Rating”? - the “Obligation rating”? - one of the other ratings described in Moody’s methodology? Similar considerations apply to ratings issued by other ECAIs.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2698
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/02/2017

Discount rates in Economic Value of Equity calculations

Is the usage of different yield curves related to the calculation of value risk measures (e.g. Economic Value of Equity) or is it related to the calculation of earnings measures (e.g. Earnings-at-Risk) or both?If an institution prefers to base the Economic Value of Equity on the risk-free swapcurve (also for its internal IRRBB management), is the institution still required to use different yield curves (including a yield curve with a credit spread curve) other than the swapcurve for Economic Value of Equity?If it is mandatory to use different yield curves for the Economic Value of Equity calculations, is the following sufficient in order to meet the paragraphs 42c and 42d: (a) to base the Economic Value of Equity (and its related risk measures such as duration of equity) on the risk-free swapcurve, and (b) to base the Earnings-at-Risk measures and the Market Value of Equity on different yield curves (including instrument/credit-specific curves)?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities
  • ID: 2016_2697
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:

Liquid assets valuation in case of hedging with collateralized derivatives.

Should the potential close-out of hedges of securities included within the liquidity buffer be taken into account when hedging is performed through collateralized derivatives?

  • 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: 2016_2695
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Correct reporting in COREP Credit Risk Standardised Approach (CRSA) template of repo / SFT Positions with Cash Collateral CRM Substitution Effects

The question concerns the reporting method under the Credit Risk Standardised Approach (CRSA) of (reverse) repurchase transactions and/or securities financing transactions (SFT) which are (partly) collateralised by cash on deposit. Specifically, this concerns the correct reporting of the CRM substitution effect of cash collateral received and the allocation of a 0% risk weight of the portion of the exposure covered by such collateral.

  • 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: 2016_2693
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Position Risk Own Funds Requirement for options positions on CIUs

Is there an own funds requirement for the non-delta risk of options on Collective Investment Undertakings which are treated for position risk in accordance with Article 348 of Regulation (EU) No 575/2013 (CRR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2016_2692
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 11/11/2016

Computation of discount for purchased assets

How does the treatment described in the last subparagraph of Article 166(1) CRR interact with that of Article 159 CRR? How does the definition of discount/premium apply in prudential treatment of exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2691
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/07/2017

bail in of interbank deposits with original maturity of less than seven days

Could you please clarify if a 6 day deposit that has been rolled over multiple times could be considered to be of greater maturity than 6 days in the event of a bail in? In other words if there is a clause that stipulates the number of times a 6 day deposit can be rolled over before losing its status as a 6 day deposit and therefore losing its protection from a bail in?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2688
  • Topic: Write-down and conversion of capital instruments
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

AT1 distribution and full year loss

Except what is provided under Article 141 of the CRD, is there any restriction imposed on distribution for an institution posting a full year (FY) Net Loss ? (assuming th entity in question runs with excess capital vs. regulatory requirements, so it's not under MDA restrictions)

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2687
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of “effective procedures” to monitor that the property taken as credit protection is adequately insured against the risk of damage.

What are the minimal criteria of adequate insurance of property against the risk of damage that the "procedures" should consist of in order to be assessed as effective?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2685
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/06/2016

Definition of “aggregate liabilities” and “total liabilities” in the context of the 5% threshold

Do the terms “aggregated liabilities” and “total liabilities” used in the calculation of the 5% threshold for multi-currency reporting, refer to on-B/S liabilities in accordance with the applicable accounting framework referring to Article 24 CRR only or does it include contingent liabilities booked in the off-B/S as well?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2679
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Application of the DGS Directive to Financial Institutions

Based on the definition provided in Article 4(1)(26) of Regulation (EU) No. 575/2013 (CRR), should financial institutions which deal on own account only be excluded from DGS compensation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2676
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 24/06/2016

FINREP Group Structure Template 40.02

For entities which are consolidated as part of the Group, but where we do not have any legal ownership over these entities, what should be included as the Holding Company on FINREP template 40.02?

  • 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: 2016_2670
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Contractual recognition of bail-in

Does Article 55 BRRD apply also to agreements (such as guarantees or counter-guarantees) that create contingent liabilities, which, as such, are not subject to bail-in unless and until the contingency occurs?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2669
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Contractual recognition of bail-in

Article 55 BRRD requires institutions and other entities subject to resolution to include a bail-in recognition clause in certain agreements governed by third-country law. Does this provision also apply in respect to agreements for which it would be impracticable to comply with the obligation to include the bail-in recognition clause (e.g. because of the refusal from the counterpart to agree to it)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2668
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Appropriate medium and location for disclosure

What is considered to be an appropriate medium and an appropriate location? Is it, for instance, sufficient that a public disclosure report is available (on request) at the national Chamber of Commerce, or should it be published on the bank's website?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2665
  • Topic: Transparency and Pillar 3
  • Date of submission:

Meaning of "credit lines" in the context of conversion factors for certain off-balance sheet items

Which types of off-balance sheet exposures are referred to by the term “other credit lines” in Article 166(8)(d) CRR? Specific clarification is requested (i) for long-term letters of credit arising from the movement of goods, as only such short-term letters are mentioned in Article 166 (8)(b) CRR, and (ii) for guarantees.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2663
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 20/01/2017

Exemption from cap of inflows per Article 33 (1) of the Commission Delegated Act 2015/61

(a) Can the national competent authority of a Member State grant such exemption where the inflow arises from the parent companies or subsidiaries incorporated in third countries?(b) If the reply to the first question is positive, shall the national competent authority carry out an assessment as required under the draft regulation to be issued by the ECB under Article 425(5) of the CRR and Article 34(1)(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 or shall the national competent authority follow other national guidelines?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2660
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Scope of C40 LR1 Row 090

Is the scope of LR1, row 090 (‘Other assets’) limited to off-balance sheet assets; or should the scope given for row 090 in Annex XI take precedence over the restrictions in Paragraph 21 of Annex XI?And if the latter, please confirm if each of the following assets must be included in LR1 Row 090:i) Trading book positions;ii) Unsettled trades.iii) Default fund contributions.

  • 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: 2016_2659
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 04/10/2019

AVA calculation and tax effects

Should Additional Value Adjustments (AVAs) be calculated net of tax effects for the purpose of the CET1 deduction in Article 34?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2016_2658
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 25/05/2017