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

O-SII buffer / Capital conservation buffer application

On which ratio set in article 92 of CRR (CET1/T1 or Total Capital Ratio) the buffers set in part 4 of CRD (Capital conservation buffer and O-SII buffer) should be imposed?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3088
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 16/06/2017

Calculation of the Countercyclical Capital Buffer

Consider a corporate (geographical location DE) exposure guaranteed by a sovereign (geographical location NL).1) Do the CRM techniques with substitution effect (e.g. guarantees) impact the scoping of relevant exposures for the purposes of the Countercyclical Buffer? E.g. should a corporate exposure with a sovereign guarantee be considered a relevant exposure as sovereign exposures are not considered relevant in accordance with Article 140 of the Directive 2013/36/EU (CRD).2) If the exposure is considered relevant, should CRM techniques with substitution effects be taken into account for the purposes of the calculation of the capital requirements for the purposes of the determination of the weighted average referred to in Article 140(1) CRD? E.g. can a sovereign guarantee be taken into account in the calculation of the capital requirement for a corporate exposure with a sovereign guarantee?3) Article 84 of the (draft) ITS 2014/680 Annex 2 (as revised on 8 March 2016) requires geographical allocation on immediate obligor basis, i.e. any CRM (e.g. cross-border guarantee) should not change the geographical location to the location of the CRM provider. The BCBS FAQ on the Basel III Countercyclical Capital Buffer requires the usage of ‘jurisdiction of ultimate risk’, which substitutes the exposure to the location of the CRM provider. Can you please clarify which geographical location should be used for calculation and reporting of the CCyB and template C09.04?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1152/2014 - RTS on the identification of the geographical location of relevant credit exposures for institution-specific countercyclical capital buffer rate
  • ID: 2016_3050
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 16/06/2017

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

Definition of "managerial (internal business) purposes" in terms of re-developed IRB model application.

Is there a definition of “internal business purposes” and a list of activities which are considered eligible for internal business purposes in Annex I, Part II, Section 2, paragraph 6 of Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)? Are there any impediments to the usage of re-developed IRB models for managerial/internal business purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
  • ID: 2016_2983
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Valuation of immovable property performed by statistical model

Does the reference to the independent valuer in Article 229(1) and Article 208(3)(b) of Regulation (EU) No 575/2013 (CRR), permit the recognition of a statistical model of property valuation, the outcomes of which are periodically verified by other independent valuer, as independent valuer?Does the reference to the independent valuer in Article 229(1) and Article 208(3)(b) CRR permit that before a credit decision, a property would be evaluated by a statistical model, the outcomes of which are periodically verified by another independent valuer, without additional confirmation by an independent valuer for each property valuation made by a model?Does the reference to the independent valuer in Article 229(1) and Article 208(3)(b) CRR permit that before a credit decision, a property would be evaluated by a statistical model, where outcomes of a model are periodically verified by another independent valuer, and there is an additional confirmation or correction for the each statistical valuation, after a credit decision by another independent valuer? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3078
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Implementation of default definition - retail portfolio

In the case of retail exposures, can the default definition be implemented in a way that the default of an exposure secured by mortgage extends to unsecured facilities, but not the other way round?Alternatively, should a bank implement the default definition within the retail non SME portfolio consistently at the level of facility, i.e. at the level of product type without extending the default to other facilities?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2968
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Outflows associated with Payment Institutions' escrow accounts

Can the escrow accounts held for Payment Institutions be considered as operational deposits ?

  • 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: 2017_3129
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Market risk capital requirement for CIUs where a look-through approach is applied

Can the market risk capital requirement for CIUs where a look-through approach based on the underlying investments is applied be capped at the amount applicable if no look-through approach would be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3099
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 12/05/2017

Own estimates of CCF in the retail exposure class

For which product types has a credit conversion factor (CCF) to be used in the retail exposure class, which is based on own estimates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2397
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 05/05/2017

Deduction from CET1 of significant holdings in financial sector entities (FSE) and protection acquired to limit downside investment exposure

Will the hedge with the 3rd party as described in the example in the background result in the deduction from CET1 (as per Article 36 CRR) being reduced from €750m to €250m?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3132
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Cross-Product Netting

Can a Bank with a netting set to a QCCP counterparty combining cash instruments (already settled) with derivatives apply the cross-product netting?

  • 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_3028
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Basis of risk exposures to take in consderation for calculation of the countercyclical buffer (CcyB)

Should the risk exposure basis to take in consideration for calculation of CCyB be limited to the "relevant exposures" (as defined in Article 140(4) of Directive 2013/36/EU (CRD)) which are considered for assessment of the institution-specific CCyB rate?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3055
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Other items

Does the approach specified in Article 134(5) CRR regarding the risk weight to be applied to assets purchased on a forward basis also apply to assets sold on a forward basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2935
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Risk weighting attributed to gold bullion coins

Are gold bullion coins included in the term ‘gold bullion’ as used in Article 134(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3011
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Thresholds for Common Equity Tier 1

CET1 threshold amounts are requested to report in the CA4 template (C 04.00) in the ID items 8 and 9. On which calculation basis shall the threshold amounts be reported in these items, based on the fully phased-in definition or the transitional definition?

  • 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_3035
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

v2819_m - Cross-check between FINREP and Asset Encumbrance

Should 'bank covered bonds' be reported in F 04.03, column 030, rows 090-100?

  • 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_3013
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

C 12.00 - v0519_m

According to the validation rule v0519_m, the following assertion should be evaluated for row r070 and all columns between c010 and c370. For each column, r070 = r080 + r090. We think this equality's rule cannot be applied to c0300 and c0320 columns which are used to report Average Risk weight in %. In fact, that calculating the weighted average of a whole is not equal to summing the weighted average of all its subpart.

  • 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: 2017_3165
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Treatment of CCP Default fund contributions in Leverage Ratio reports

Has the ‘Risk exposure amount for contributions to the default fund of a CCP’ from CA2 (C 02.00) row 460 been taken into account in the Leverage Ratio? If so, in which template (LR1, LR2, LR4, LR Calc) and which row and column shall it be reported?

  • 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_3014
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Template C 47.00, rows 270 and 280 (Validation rule v4452_s) – treatment of Cash Flow Hedge reserves

The validation rule v4452_s requires that the rows 270 and 280 of the template C 47.00 are always non-positive. This appears to be incorrect. In case of prudential filters increasing the Tier 1 capital, the amounts reported on these rows can be positive as well. Can you please confirm and amend the rule?Should the leverage exposure be adjusted for the complete cash flow hedging reserve or should the reserve be split to parts relating to assets/liabilities and only the part relating to assets be adjusted for (even though the full reserve is filtered from capital)?

  • 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_3043
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Exposures towards QCCPs under CRR Art. 306(c) under standardised method

Under Article 306(c) CRR, client transactions facing QCCPs where the institution is not liable to the client if said QCCP defaults, should have Exposure Value (C 07.00, column {200}, rows {100}, {120})of zero. Our understanding of the ITS on Supervisory Reporting is that the Original exposure pre conversion factors (C 07.00, column {010}, rows {100}, {120}) of the transactions in question should hence also be zeroed out. The institution is currently reporting the Original exposure pre conversion factors as non-zero. To avoid the blocking errors mentioned below, the institution reports the Exposure Value also as non-zero, which is contrary to Article 306(c) CRR. Could you please confirm if our understanding of the ITS is correct?

  • 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_3064
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017