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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

Benchmarking

With regard to Annex I - C 103.00 we see that EBA requires data that the bank already reports regularly via COREP. For some of them, we see a so-called legal reference. Examples: 22 120 13 Collateral Value 22 140 13 Maturity 22 160 13 Provisions non-performing exposures The question is: do we comply to the EBA Benchmark requirements if we report equally to the regular COREP report? Or should we use these data and follow the legal reference to calculate it in a deviating way?

  • 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: 2016_2561
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

EAD Template C 105.01

In Column 040 EAD of template C 105.01 the EAD is required. Is it the entire EAD for the respective internal model on institution level irrespective of portfolios or do we have to calculate the EAD for each portfolio which is assigned to the respective internal model? On reporting date 31.12.2015 these would be the portfolios mentioned in 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: 2015_2537
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Incorporation of contributions over full five year time horizon into determination of five year loss rate

The five year loss rates is calculated as the average of the one year loss rate as defined in column 210 of the same table. The one year loss rate only considers the credit risk adjustments and write offs which occur in the first year of default. Thus, the five year loss rate does not include changes in credit risk adjusments and write offs which occur after the first year of default. Is this correct?

  • 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_2536
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Incorporation of intra year cures

The loss rate is defined as sum(credit risk adjustment write offs of observed new defaults at the end of year) / sum (exposure[end of preceeding year] of the observed new defaults). Are cases which default during the year but cure until the end of the year to be included in the denominator?

  • 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_2535
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Relevant time period to determine default rate and loss rate

Is it correct that the default rate and the loss rate for each rating grade has to be calculated based on the defaults of assets which belonged to the respective rating grade one year before the reference date (see description of c190), whereas the exposure value (110), LGD (130) , RWA (170) etc. have to be reported for the reference date? Would it not be more reasonable to report the default rate and the loss rate for the year after the reference date?

  • 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_2534
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Calculation of ELGD under the Supervisory Formula Method in case of a re-securitisation

In case of a re-securitisation, in order to calculate the value for ELGD under the Supervisory Formula Method, shall an LGD of 100 % only be applied to those securitised exposures that are securitisation positions or to all securitised exposures where all securitised exposures are to be treated under the Internal Ratings Based Approach (IRBA)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2508
  • Topic: Securitisation and Covered Bonds
  • Date of submission:

RWA Standardised calculation

Could you confirm if RWA Standardised (field c180 of template C103, Annex III) is out of scope until 1.1.2017?

  • 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_2505
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

‘Mortgages’ identification

Are "commercial mortgages" and "other mortgages" excluded from HDPs perimeter?

  • 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_2501
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Calculation of PD* and PD**

The formula provided for calculating PD* is based on a Normal approximation of the binomial confidence interval.The approximation formula is based on a case weighted approach. Should the formula be applied using the exposure weighted default rate as defined in the final draft RTS/ITS or can a case weighted default rate be used?RWA* and RWA** shall be calculated per rating grade. However, rating grade is not a segmentation criterion. How should be dealt with this?How should the default rate per rating grade be calculated? Should the rating grade of the year prior to the default be used? How should customers who are not in the portfolio the previous year be dealt with?In calculation of PD**, how the value “n” (i.e. the number of exposures non defaulted at the beginning of the period) has to be calculated?

  • 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_2481
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

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:

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:

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:

Annex V portfolio clarifications

Annex V - portfolio 1.12. The October index has not yet been published. Which index should firms use? Annex V - portfolio 1.13. Is the Option expiry date 15 January 2015?

  • 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_2430
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

C105.02 / 010 - Portfolio ID

C105.02 / 010 - Portfolio ID. Is it possible to have multiple Portfolio IDs by model?

  • 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_2424
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

C105.01 / 080 - Cure rate for defaulted assets

C105.01 / 080 - Cure rate for defaulted assets. Is this only applicable to the PD models?

  • 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_2423
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

C105.01 / 050 - EAD weighted average default rate for calibration

C105.01 / 050 - EAD weighted average default rate for calibration. Is the specification only relevant to the PD models themselves? Also, does this mean the PD actually used for model build, or the latest monitored position?

  • 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_2421
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Exposure class - Corporate - Specialised Lending

Does Annex I have a value of "Corporate - Specialised Lending" for exposure class?

  • 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_2418
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission: