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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.

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List of Q&A's

Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253

How shall the weighted average risk weight of the securitised exposures for an unrated securitisation position in the standardised approach (STD) be calculated? Has the average to be weighted on EAD before the conversion factor (EAD_pre_ccf) or on EAD?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3609
  • Topic: Securitisation and Covered Bonds
  • Date of submission:

The EAD to be reported if no IRB exposure exists

Within the general instructions of Annex IV it is explicitly mentioned that for portfolios, which are defined with a specific rating grade in Annex I, information on the PD shall be reported for the entire rating scale, even if no IRB exposure exists for the respective portfolio at the reporting reference date for each rating grade. In this case, the EAD shall be reported as zero and information on the other columns shall not be submitted.The definition of the EAD in template C 101.00 states in turn that the exposure value shall be left blank if the institution has no IRB exposure for a given counterparty. In our opinion these two specifications are contradictory. Please clarify, if the exposure should be left blank or should be reported as “0” if no IRB exposure exists for the given counterparty/portfolio.

  • 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)
  • ID: 2017_3555
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Question refer to Guidelines on disclosures requirments under Part Eight of Regulation No 575/2013 template 11 EU CR1-A Credit quality of exposures by exposure class and instrument

How to report data in Pillar 3 template 11: EU CR1-A Credit quality of exposures by exposure class and instrument?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR
  • ID: 2017_3481
  • Topic: Transparency and Pillar 3
  • Date of submission:

Specialised Lending exposures

Could you confirm that Specialised lending exposures should not be reported in templates C 102.00 or C 103.00?

  • 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: 2017_3429
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Revolving exposures

Could you confirm that ‘Retail - qualifying revolving’ exposures should not be reported in the template C 103.00?

  • 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: 2017_3428
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Consideration of surplus collateral received in providing further credit risk mitigation

We are aware of differing interpretations by market participants in relation to the answers given under EBA Single Rulebook Q&A 2013_206 and 2016_2735 on the application of Collateral Received to achieve further credit risk mitigation to the extent that Collateral Received exceeds the net replacement cost, RC net.For collateral received to reduce Net Replacement Cost, RC net, can surplus collateral be used to offset the reduced potential future credit exposure, PCE red, or may EAD, RC net + PCE red be further offset by any surplus Collateral Received that has not been applied in the RC net calculation? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3303
  • Topic: Market risk
  • Date of submission:

Application of IRB floor

How should the IRB floor requirement, stemming from Article 500 CRR (transitory Basel I floor), be applied in case of an IRB institution that uses standardised method (after regulator’s approval) as an alternative to Basel I floor in the situation when 80 % of the total minimum amount of own funds calculated under standardised method (SA) is higher than the own funds calculated under IRB approach?Is the institution in such circumstances obliged to recognise an additional capital (own fund) requirement, resulting from the difference between the floor value based on STA and the actual own funds calculated under IRB capital requirements, directly in its capital adequacy ratio (the positive difference between 80% of STA RWA and IRB RWA to be added to denominator of capital adequacy ratio calculation)?Or rather the IRB bank is only obliged to ensure that it holds own funds at the level which is more or equal to the 80% of the total minimum amount of own funds as required under Basel I (or STA under Basel II, after regulator’s approval), i.e. the level of own funds is sufficient for covering the IRB floor requirement of Art. 500 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3227
  • Topic: Credit risk
  • Date of submission:

Undrawn uncommitted credit lines

What do we understand with "Undrawn uncommitted credit lines"? Are uncommited credit lines in the scope of the benchmarking? What kind of products are we talking about that fall into this category of facilities - are we talking about internal lines that have not been communicated to the customer? Are these relevant for COREP and the supervisory benchmarking?

  • 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: 2017_3221
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Mark-to-Market Method: Add-on for sold options

Should the PFE add-on for sold options that form part of a larger netting set exceed the maximum possible exposure increase of the netting that may result from the sold option?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3217
  • Topic: Market risk
  • Date of submission:

C 101.00 / C 102.00 – Calculation of exposure weighted CCF (c100)

Which exposure shall be taken into account for the calculation of the exposure weighted CCF?

  • 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)
  • ID: 2017_3216
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

C 101.00 – Reporting of Rating (c040) - counterparties with multiple ratings

How shall the rating (column 040) be reported in template C 101.00, in case more than one rating applies to a certain counterparty?

  • 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)
  • ID: 2017_3215
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Eligible liabilities for the purpose of MREL

Can only eligible liabilities counting towards MREL be bailed in?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3207
  • Topic: MREL
  • Date of submission:

Supervisory Benchmarking Exercise, Annex II, C 102.00, Columns 150-170 - NACE code, type of exposure, size of exposure

How should we report NACE code / Type of Exposure / Size of Exposure in template C 102.00 of Annex I?

  • 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: 2017_3194
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Supervisory Benchmarking Exercise, Annex II, C 102.00, Column 100 - Facilities

How should we classify exposures into the list of facility types provided in the 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: 2017_3192
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex II, C 102.00, column 020 - Portfolio name

Please provide guidance on how to categorise entities as ‘Large Corporates’, ‘Large Corporate Sample’, ‘Institutions’ & ‘Central Banks’.

  • 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: 2017_3189
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex II, C 102.00, column 020 – Large corporate sample

How should we interpret ‘Large Corporate Sample’ category under Annex II, C 102.00 column 020?

  • 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: 2017_3188
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Annex I, template C 101.00 – Multiple entities mapped to the same LEI

Under LDP Counterparties list, multiple entities are mapped to the same LEI. What is the distinction between the two entities and how does this impact the way we report the exposures?

  • 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: 2017_3187
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Supervisory Benchmarking Portfolios (SBP) - Z axes on C 101.00 and C 102.00

Should the 'counterparty credit risk' and 'credit risk and free deliveries' Z axes on the C 101.00 and C 102.00 reports roll up into the 'credit risk, counterparty credit risk and free deliveries' Z axes on the same reports?

  • 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: 2017_3185
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Content of templates C 105.01, C 105.02 and C 105.03

As reporting corresponding to 2016 exercise (and to be submitted before 11 April 2017) is related just to LDP, templates C 105.01, C 105.02 and C 105.03 should include only models with scope of application LDP? That is, is it correct that models with scope of application related exclusively to HDP are not reported in templates C 105.01, C 105.02 and C 105.03 for this second 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: 2017_3184
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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
  • ID: 2017_3150
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission: