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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 portfolios: document clause for CDS

Annex V portfolio 1.19 restructuring clause: FULL. However, we found "CR14" as the relevant document clause. Please clarify if we shall use doc clause CR14 instead. Annex V portfolios 1.21, 1.23. 1.26 Doc clause = MM. However, current market convention is MM14. Please clarify if we shall use doc clause MM14 instead.

  • 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_2919
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Minimum requirement for own funds and eligible liabilities (MREL) - procedures, forms and templates

1. Will the MREL-reporting template for all institutions (not just those overseen by the SRB) be based on the SRB’s current LDT rather than Annex V of the EBA final draft ITS on resolution plans?2. Will electronic data delivery be in the form of XBRL?3. Will the templates and electronic format be published in 2016?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2906
  • Topic: MREL
  • Date of submission:

Clarification of 'Facility Type', regarding the characteristic values 'Other Facilities' (Annex I) and 'Full Risk' (Annex II)

The segmentation criterion 'Facility Type' is used to define the benchmarking portfolios. In Annex I, Template C 102.00 (Definition of Low Default Portfolios), for some portfolios the facility type is 'other facilities'.The characteristic value 'other facilities' is not defined in Annex II. However, in Annex II, Template 102, 'full risk' is a characteristic value for the segmentation criterion 'Facility Type'.'Full risk' is not used in Annex I. Is it correct to assign 'full risk' to 'other facilities' and if yes, is it correct to only assign 'full risk' to 'other facilities'?

  • 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_2902
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification of 'Facility Type', regarding the characteristic values 'Undrawn committed credit facility' (Annex I) and 'Undrawn committed other credit facility' (Annex II)

The segmentation criterion 'Facility Type' is used to define the benchmarking portfolios. In Annex I, Template C 102.00 (Definition of Low Default Portfolios), for some portfolios the facility type is 'Undrawn committed credit facility'. The characteristic value 'Undrawn committed credit facility' is not defined in Annex II. However, in Annex II, Template 102, 'Undrawn committed other credit facility' is a characteristic value for the segmentation criterion 'Facility Type'. 'Undrawn committed other credit facility' is not used in Annex I. Is it correct to assign 'Undrawn committed other credit facility' to 'Undrawn committed credit facility' and if yes, is it correct to only assign 'Undrawn committed other credit facility' to 'Undrawn committed credit facility'?

  • 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_2901
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Reporting of CCF values for FIRB

Instructions on c100 of C 103 in ANNEX IV to the ITS state that institutions should report own estimates for CCFs. If the institutions apply the FIRB approach, they have to use regulatory CCFs. Further, in the case that there are no off-balance positions in the exposure no CCF is applied. Would it be correct to report regulatory CCFs if no own estimation is undertaken or should these cells be left blank? If no CCF is applied, should the cell be left blank or be filled with a 1cnot applicable 1d?

  • 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_2861
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Application of the Guidelines on sound remuneration policies to the award and pay out of variable remuneration for the performance year 2016

In the Guidelines the application date is set for 1 January 2017. Do the Guidelines apply to variable remuneration for the performance year 2016 that will be awarded in 2017?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/04 - Guidelines on sound remuneration policies under CRD (repealing EBA/GL/2015/22)
  • ID: 2016_2858
  • Topic: Remuneration
  • Date of submission:

Portfolios where Maturity should be completed

C 103.00 – Definition of High Default Portfolios - column 140, Maturity: Should this field be completed only for portfolios with exposures to corporates, institutions and central governments and central banks where the institution has received the permission to use own LGDs by the competent authority?

  • 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: 2016_2837
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

MREL calculation on a consolidated basis

Should a Mortgage Credit Institution that is subject to an individual exemption to MREL requirements (according to BRRD Article 45(3)) and owned 100% by an EU Parent Institution be excluded from the calculation of MREL on a consolidated basis?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2827
  • Topic: MREL
  • Date of submission:

Supervisory permission for reducing own funds if the institution repays share premium to its shareholders

Is supervisory permission required where an institution reduces its own funds by repaying share premium to its shareholders without simultaneously reducing, repurchasing, calling or redeeming the own funds instrument to which the share premium relates?Would the answer to this question change if the institution would first (have to) convert the share premium to reserves in order for the share premium to become repayable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2808
  • Topic: Own funds
  • Date of submission:

Termination date

1cFor portfolio 1.28, should the scheduled termination dates be 5 years (i.e. December 2020) rather than 4 years 1d and the answer was 1cThe scheduled termination date is 20/12/2020 1d. However, Section 2.7 of Annex V refers to scheduled termination date of 20December 2019. Should the termination date be December 2020?

  • 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_2776
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Clarification on the treatment of regular clearing positions of central counterparties (CCPs) in the leverage ratio exposure measure (provided CCPs are subject to leverage ratio regulation)

Can you confirm that positions which arise from a CCP’s primary clearing activity and which are already covered by EMIR-compliant risk management tools are to be excluded from the LR exposure measure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2016_2750
  • Topic: Leverage ratio
  • Date of submission:

Format of column 020 (exposure class) in Template 103 of Annex I

Regarding the EBA Benchmarking Exercise, in Annex I of the ITS some of the 18High Default Portfolios' are defined covering two exposure classes (Retail - Secured by real estate SME ; Retail - Other SME). In template C 103 column 020 the exposure class is to be reported. The given data point model does not include a value that combines these two exposure classes.

  • 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_2738
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Consideration of collateral in the potential future credit exposure

We seek clarification regarding the potential future credit exposure referred to in Article 274(2) of Regulation (EU) No 575/2013 (CRR) for all contracts included in a netting agreement. Should the collateral (given or received) be considered in the denominator of NGR? Is the proposed calculation of RC gross correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2735
  • Topic: Market risk
  • Date of submission:

Counterparty Credit Risk, Credit Default Swaps

Can the potential future credit exposure (PFE) for short position CDS (see background) be capped to the sum of the outstanding premiums?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2701
  • Topic: Market risk
  • Date of submission:

How institution-specific buffer and Capital buffer shall be reported in target CET1, T1 and Total Capital ratios (COREP C 03.00)

Our question is related to COREP template C 03.00. How to fill in lines 080, 100 and 120 (Target CET1, T1 and total capital ratios due to Pillar II adjustments) of this template is not entirely clear for us.When a jurisdiction requests a capital conservation buffer of 2.5 % that is applicable to all banks subject to own funds requirements on top of minimum own funds requirements of 4.5%, 6% and 8% defined under CRR Article 92, shall this buffer be reflected in Target CET, T1 and Total Capital leading to respectively 7%, 8.5% and 10,5%?When a bank has an institution-specific buffer of 2.25%, shall this buffer be reflected in all target ratios, in Target CET1 only, or in none?In the end, if both of the buffers mentioned in 1) and 2) are imposed, which of following options a) to f) is the one to be applied?target CET1, T1 and TC of respectively 4.5,%, 6% and 8% (capital buffer and institution-specific buffer not taken into account)target CET1, T1 and TC of respectively 7%, 8.5% and 10.5% (capital buffer common to all banks of 2.5% taken into account)target CET1, T1 and TC of respectively 6.75,%, 6% and 8% (capital buffer not taken into account and institution-specific buffer only reflected in CET1)target CET1, T1 and TC of respectively 6.75,%, 8.25% and 10.25% (capital buffer not taken into account and institution specific buffer reflected in CET1, T1 and TC)target CET1, T1 and TC of respectively 9.25,%, 8.5% and 10.5% (capital buffer taken into account and institution specific buffer reflected in CET1 only)target CET1, T1 and TC of respectively 9.25,%, 10.75% and 12.75% (capital buffer taken into account and institution specific buffer reflected in CET1, T1 and TC)Following the requirement of a NCA that the reporting institution should maintain a specific CET 1 capital ratio, after the Supervisory review and evaluation process, what figure should banking institutions report in own funds template C 04.00, row 820 as ‘own funds requirements related to Pillar II adjustments’?

  • 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_2699
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:

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:

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:

Identification of Material Risk Takers in branches of a Member State institution, where the branch is established in another Member State

Where an institution (established in a Member State) has established a branch in a different Member State, is the branch to be treated as having to identify its material risk takers in accordance with Commission Delegated Regulation (EU) No. 604/2014 on an individual basis, or should the branch be treated as a business unit of the institution? Similarly, in relation to an institution established in a Member State, does a branch established in a third country need to identify its material risk takers on an individual basis, or should the branch be treated as a business unit of the institution?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/04 - Guidelines on sound remuneration policies under CRD (repealing EBA/GL/2015/22)
  • ID: 2016_2655
  • Topic: Remuneration
  • Date of submission:

Mark-to-Market Method: Residual Maturity for Physically Settled Contracts

Which maturity should be used to determine the percentage as per Table 1 in Article 274(2) of Regulation (EU) No 575/2013 for derivative instruments that are settled with cash instruments for which a maturity can be determined, e.g. a cash debt security? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2634
  • Topic: Market risk
  • Date of submission:

Clarification on the Geographical Area breakdown

Is the list of Geographical areas (countries, macroregions) of the template C 103.00 of Annex I complete? Some relevant EU countries are omitted, like Spain. Other non EU relevant countries in term of exposures like US are omitted too. Is there any materiality threshold below which portfolios corresponding to certain Geographical Areas should not be included in templates C 103.00 and C 105.02 of Annex III?

  • 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_2600
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission: