Search for Q&As

Enquirers can use various factors to search for a Q&A:

  • These include searching by the Q&A ID; legal reference, date submitted, technical standard / guideline, or by keyword if known.
  • Searches can be extended to more than one legal act, topic, technical standard or guidelines by making multiple selections (i.e. pressing 'Ctrl' on your keyboard, and selecting the relevant ones from the drop-down lists by left mouse-click).

Disclaimer:

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.

Final Q&As Q&As under review Rejected Q&As Archived Q&As All Q&As

List of Q&A's

Application of Article 11 CRR in terms of determining the scope of application for multi-national banking groups

Could you clarify whether there is a difference in treatment concerning the scope of application at national level between a) groups which have a parent institution at its top and b) groups which have a parent financial holding company at its top?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2366
  • Topic: Other issues
  • Date of submission:

PD selection in case of substitution approach

In case of substitution approach application, the PD to be use (Annex IV, C103, c060), is the one of guarantor or the one of the obligor?

  • 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_2355
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Definition of the counterparty size in case of substitution approach application

In case of substitution approach application, for the field "size of counterparty, (Annex II, C103, c110) should we use the turnover of the guarantor or the one of the obligor?

  • 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_2354
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Correct scope of clusters based on collateralisation status and collateral type

Both template C 102.00 (LDP) and template C 103.00 (HDP) include clusters based on collateralisation status and collateral type. Reference is made to c150-c210 columns of COREP template C 08.01. It remains however unclear how facilities should be treated which are only partially collateralized and/or for which there are several collateral types.Assume a facility of 100, of which 20 secured by financial collateral, 30 by real estate collateral and 50 unsecured. We see many possibilities to report such a facility in the template, either by splitting the facility over various clusters, by reporting it in full in all concerned clusters or by combinations of these two approaches.Example:1) we could use a 'splitted' approach, so    cluster unsecured  = 50,    cluster secured      = 50,                cluster secured financial collateral  = 20,                cluster secured real estate              = 302) we could keep the facility intact and always report it in full, so    cluster unsecured = 0,    cluster secured     = 100,                cluster secured financial collateral  = 100,                cluster secured real estate              = 1003) we could use a combination of the two with collateral status clusters determined 'in full' and collateral type cluster using a split approach, so    cluster unsecured = 0,    cluster secured     = 100,                cluster secured financial collateral  = 20,                cluster secured real estate              = 304)  ...?Please elaborate further on the correct treatment.

  • 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_2347
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Supervisory Benchmarking exercise for 2015 - Market Risk related

Please could information be provided on the process for selecting stressed VaR period for calculating stressed VaR for the hypothetical portfolios

  • 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_2336
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Given the legal reference reported in the Annex IV, a clarification about the annual default rate computation is required

With reference to the field "Default rate latest year" (Annex IV C 103.00, field 190) the following legal reference is reported: - C20 13 c40 of table 9.2 of Annex 1 of ITS reporting This table contains quarterly default rates. For "Default rate latest year" field, an annualized quarterly default rate is required, or a default rate directly on yearly basis can be determined?

  • 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_2297
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A clarification about the collateral value to provide in the relevant templates is required

For the fields 080, 120 (i.e. Collateralisation status, Collateral type) of Annex II, templates 102-103, all the type of collateral are required (i.e. Eligible financial collateral, Receivables, Real estate, Physical collateral, Other funded credit protection, Credit derivatives, Guarantees). In Annex IV, templates 102-103, for the field 120 (i.e. Collateral value) the instructions refer to “market value” only. Does this mean that Guarantees do not have to be considered? In this case why the legal reference does not refer only to the columns 180-210 of table 8.1?

  • 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_2296
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A confirmation about the legal reference reported in Annex IV is required

With reference to the field “Provisions non-performing exposures” (Annex IV 102, column 160, Annex IV 103, column 160) the following legal reference is reported: - c50 - 60 of table 9.2 of Annex 1 of ITS reporting. Given that this table does not include data for all the countries within the Group (i.e. a relevance threshold is set) and that the distinction between performing/not performing exposures is not available (only on the total value is available), we ask for a confirmation on the above mentioned legal reference.

  • 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_2295
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

How to manage different local rating scales

With reference to 1cRating 1d field (template 103 13 Annex IV, column No 50) how the different local rating scales must be treated for consolidated reporting, i.e: If a master scale is available at Group level (e.g. for Pillar III purposes), does the Institution have to adopt it, or it can choose to create an ad hoc master scale? In this latter case, if different rating scales (with different number of grades) are applied within the Group, can the Institution define the number of grades or does it have to contact its competent authority in advance to agree upon the way to define the new scale?

  • 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_2294
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification for filling the 'Not applicable' value in Annex II and IV

To clarify the meaning of the value 'Not applicable' within Annex II. In some cases the 'Not applicable' value seems to represent a total portfolio (refer to Example 1). In other case, the 'Not applicable' value seems to mean that the driver is not significant for the specific cluster of analysis (refer to Example 2). In other cases, the 'Not Applicable' value seems to be a residual value (refer to Example 3). Summarizing, does the meaning of 'Not applicable' depend, in Annex II, on the considered field or it always represent a total portfolio? For every field of Annex IV, 'Not applicable' shall be used always when none of the answers in the list is correct, therefore does it represent a residual cluster?

  • 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_2291
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

A confirmation is required about the rules to fill the EBA Benchmarking templates

Could you confirm whether the following interpretation is correct? Fields of Annex I and the relevant values define the benchmarking portfolios (i.e. the portfolio of analysis identified by the portfolio ID). The same exposure can be included in more than one portfolio_id only in case it is clearly specified in the EBA instructions (i.e. refer to Example 1). For all the other fields the values listed in Annex I have to be considered mutually exclusive (i.e. the same exposure cannot be associated to two different values, with the exception of the 'Not applicable' value). For each portfolio id, Institutions have to fill the information contained in Annex III. These information have to be aggregated in case they are defined at a lower level than the relevant portfolio id (refer to Example 2). According to Annex I (template 103) Rating is not a segmentation criteria (not applicable), but in Annex II (template 103) the internal Rating grade shall be inserted. This would mean that: - is not the portfolio_id unique and an artificial further segmentation would be created? - should the rating grade be dependent on the average PD which was calculated for that portfolio? - is the field 'Rating' indeed required also in Annex I (template 103), i.e. the 'Not applicable' value, indicated in Annex I (template 103) is not significant

  • 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_2290
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Identification of exposures treated under Standard approach

The part of transactions which is secured by guarantees could be moved to the permanent partial use, i.e. standard approach. RTS, page 34, point 10, states that: 1e [ 26] As a result, the benchmarking exercise should only relate to validated internal approaches. Institutions should not provide data for those portfolios which include instruments or risk factors that are reported under the standardized rules. 1d What exactly is meant with 1cportfolio 1d? Shall only be a part of the transaction be excluded (part which is STC), shall the customer be excluded or the portfolio of which the transaction/partner is part of?

  • 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_2288
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Completion of Annex I, Template C103.00 of the ITS needed?

For the high default portfolio benchmarking exercise we have noted that Annex I, Template C103 of the ITS is not included in the "DPM Table Layout and Data Point Categorisation 2.3.1.zip" for benchmarking on the EBA’s website: https://www.eba.europa.eu/-/eba-publishes-updated-dpm-and-xbrl-taxonomy-... Article 2(1)(c) of the “EBA Final Draft Regulatory Technical Standards on benchmarking portfolio assessment standards and assessment sharing procedures under Article 78 of Directive 2013/36/EU” refers to this template, but does not state that the template needs to be completed. Is completion of the Template C103 from Annex I required for the April 2016 benchmarking submission?

  • 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_2282
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Calculation of Default rate past 5 years and Loss rate past 5 years

If bank applies AIRB models to RWA calculation (according with the decision of the competent authority) for a period shorter than 5 years, what time series should be used for calculation of 5-year average values when calculating default rates and loss rates ?

  • 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_2257
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Reporting of different AIRB models in the same benchmarking class (portfolio) - credit risk

If one of the credit risk portfolios defined in the benchmarking exercise covers two different AIRB models, how it should be presented in the benchmarking templates?

  • 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_2256
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Potential Future Exposure (PFE) add-ons for written options out side netting agreement

Is PFE (Potential future exposure) calculation applicable for written options when they are included in derivative netting and not applicable for written options when there is no netting agreement?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2195
  • Topic: Market risk
  • Date of submission:

Application of the NCWO principle

Regarding to the no-creditor-worse-off principle as referred to in Article 34(1)(g) of Directive 2014/59/EU (BRRD) - does it apply to write down and conversion as well? Or only to the use of resolution tools?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2181
  • Topic: Resolution objectives and triggers
  • Date of submission:

Resolution action with regard to a holding

When can a resolution action be taken with regard to a holding according to Article 33(4) of Directive 2014/59/EU (BRRD): are the conditions individual or cumulative?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2180
  • Topic: Resolution objectives and triggers
  • Date of submission:

Mark-to-Market Method: Application of perfectly matching provisions to FX forwards

Can the perfectly matching rule be applied to the below two FX forwards (assuming the same maturity date and same counterparty) that are perfectly matching with respect to the EUR leg:FX forward 1: Bank pays USD 150 in return for EUR 100FX forward 2: Bank pays EUR 100 in return for JPY 1320such that the Mark-to-Market method is based on a single FX forward where the bank pays USD 150 in return for JPY 1320? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2115
  • Topic: Market risk
  • Date of submission: