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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

Annex VI, template C 108.00, Definition of P&L

Is the definition of P&L, for template C108.00,(i) the P&L Vector generated using historically simulated daily market price/risk factor movements; ie. the underlying daily P&L distribution used to derive VaR; or(ii) instead, the actual P&L (adjusted for Theta, settled cash flows, etc)?

  • 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_3175
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Definition of low default portfolios for 2017 supervisory benchmarking exercise: Missing Portfolio ID for exposures assigned to both the exposure class ‘institutions’ and to the sector of counterparty ‘general governments’

Which Portfolio ID should be used regarding the definition of low default portfolios (Annex I, C 102.00 Draft ITS) for exposures assigned to both(i) the exposure class ‘institutions’ in accordance with annex II, C 102.00, column 070 Draft ITS with reference to COREP and(ii) the sector of counterparty ‘general governments’ in accordance with annex II, C 102.00, column 080 Draft ITS with reference to FINREP?

  • 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_3201
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Conversion of bail-inable liabilities into other types of capital instruments

Should “bail-inable liabilities must be converted into shares or other types of capital instruments” in Article 46(1)(b) not state that bail-inable liabilities must be converted into shares and other instruments of ownership?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3209
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Interpretation of points (a) and (b) of Article 45a(1)

Do points (a) and (b) of Article 45a(1) state conditions for exemption from the MREL requirement for mortgage credit institutions financed by covered bonds? If so, how can resolution authorities verify these conditions beforehand?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3206
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Minimum requirements for own funds and eligible liabilities

Do all entities mentioned in Article 1(1) of Directive 2014/59/EU (BRRD) have to meet minimum requirements for own funds and eligible liabilities?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3205
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Monitoring and evaluation of mortgages in cases of portfolio-wholesale transactions

Is it possible to assign the preferential risk weight of 35% according to Article 125 (1) (a) of Regulation (EU) No 575/2013 (CRR) to exposures that have been purchased at a wholesale price based on a) samples as to whether the conditions laid down in Art 208 and 229 CRR are fulfilled and b) a warranty guaranteeing full compensation in case any of these exposures default?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2726
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Valuation input consisting of a matrix of parameters

For the purposes of calculating AVAs for Market Price Uncertainty, where a valuation input consists of a matrix of parameters (for example a curve or a surface), can the AVAs be calculated at the level of the matrix as a whole (i.e. the curve or surface) based on the valuation exposures related to each parameter within that matrix, rather than be calculated at the individual parameter level?

  • 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_2948
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Calculation of derecognised fiduciary assets

Are institutions required to calculate the value of their fiduciary assets in accordance with the leverage ratio framework even though the assets are already derecognised pursuant to Article 429a(1)(i) of the CRR?

  • 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_2631
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Minority interests

According to Article 84 of Regulation (EU) No 575/2013 (CRR) institutions shall determine the amount of minority interests of a subsidiary to be included in consolidated Common Equity Tier 1 capital. This is calculated by subtracting the excess of Common Equity Tier 1 capital of the subsidiary attributable to minority interests from the total amount of minority interests of that undertaking. In the formula considered under Article 84(1)(a) CRR, how should Common Equity Tier 1 deductions be taken into account when computing this excess?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2155
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 17/03/2017

Prior state aid approval when using resolution tools

Does the use of resolution tools require a prior state aid approval?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2522
  • Topic: Resolution objectives and triggers
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Interaction between the State aid framework and the application of resolution actions

Could you please clarify the interaction of the State aid framework and the application of resolution actions in the context of Article 34 (3) and Recital 47 of Directive 2014/59/EU (BRRD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2182
  • Topic: Resolution objectives and triggers
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Procedural requirements of the sale of business tool with regard to state aid

How can an open and competitive sale process in accordance with the state aid rules be conducted in case of applying sale of business tool and fulfilling the provisions from Article 39(3)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2339
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Eligibility as collateral where securitisation positions are issued by an SSPE belonging to the same group

What group entities are considered as “related” to the obligor for the purpose of the second sub-paragraph of Article 207(2) of Regulation (EU) No 575/2013 (CRR)? In particular, does this apply to securitisation special purpose entities (SSPE)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1628
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Application of Article 159 on the level of total own funds

Can the excess of provisions for non-defaulted exposures be used to cover the shortfall of provisions on defaulted exposures?On the reporting side, which of the two options is the correct way for the own funds reporting (C 04.00) in the following case?Option 1 – netting in C.01.00 row 380 “(-) IRB shortfall of credit risk adjustments to expected losses“ – (1000) row 910 „IRB Excess of provisions over expected losses eligible“ – 600 Effect to the total capital – minus 400Option 2 – no netting at all (no recognition of any excess because it is on defaulted exposures) row 380 “(-) IRB shortfall of credit risk adjustments to expected losses“ – (1000) row 910 „IRB Excess of provisions over expected losses eligible“ – 0 Effect to total capital – minus 1000 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2702
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/03/2017

Appropriate amount in Article 8(4)

What is meant by “appropriate amount” referred to in Article 8(4) DGSD?

  • Legal act: Directive 2014/49/EU (DGSD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2909
  • Topic: Rights of depositors (Eligibility, coverage level, repayable amount, repayment, claim against DGS, depositor information)
  • Date of submission:
  • Published as final Q&A: 24/02/2017

ECAI ratings

1) For the determination of the risk-weight applicable to an exposure, is a “Bank Deposit Rating” an issue rating as per Article 139 of the CRR? 2) For the determination of the risk-weight applicable to an exposure, should a “Bank Deposit Rating” be used instead of an “Issuer rating” for exposures to institutions which are in the form of deposits (i.e. bank deposits)? What would be the treatment in accordance with Article 139 of the CRR?3) For instance, which Moody’s rating should be used to risk-weight an exposure to an institution which is in the form of a deposit (i.e. bank deposit): - the “Issuer Rating”? - the “Bank Deposit Rating”? - the “Obligation rating”? - one of the other ratings described in Moody’s methodology? Similar considerations apply to ratings issued by other ECAIs.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2698
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/02/2017

Treatment of "E-money" in Liquidity Reporting

We seek clarification on how the issue of “e-money” is to be treated in the computation of liquidity requirements and reporting; “LCR, stable funding reporting and ALMM”.From a liquidity related context, would the issued “e-money” be accounted for/treated according to “Article 421(1)” of CRR under retail deposits? And therefore, be included in the computation of demand deposits, where the outflow is stressed with 5% according to “Article 421(1) (a)? Or stressed with 10% following “Article 421(2), in relation to whether a customer has an established relationship with the bank and is covered by the “Deposit Guarantee Scheme”?Alternatively, would the issued “e-money”, from a liquidity related perspective be accounted for under “Other Liabilities” according to “Article 422 of CRR? Hence, entail the computation of “Other Liabilities” as per “Article 422(5), where outflows are stressed with 40% and 20% respectively? Depending on whether the commitment/liability is covered by the “Deposit Guarantee Scheme”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2013/01 - Guidelines on retail deposits subject to different outflows for purposes of liquidity reporting
  • ID: 2016_2840
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 24/02/2017

Incentives to redeem of a hybrid instrument with a call for grandfathering purposes

Article 489 of Regulation (EU) No 575/2013 (CRR) provides for the grandfathering treatment of hybrid instruments with a call and an incentive to redeem. A bank has issued a bond with a fixed coupon before the first call date and a floating rate coupon after the first call date. The credit spread of the fixed coupon as of the issuance date is the same as the margin of the floating rate coupon after the first call date, so there is no immediate step-up there. However, the floating rate coupon is floored at the level of the fixed rate coupon. Does this constitute an incentive to redeem ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2016_2988
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 17/02/2017

Obligation to carry out analysis and to consult with EBA on planned increase of risk weights before RTS on this matter are finally adopted and published in the Official Journal of the European Union

Is there an obligation to carry out appropriate analysis and to consult with EBA on planned increase of risk weights since RTS on this matter are not finally adopted and published in the Official Journal of the European Union?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2894
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/02/2017

Distribution by an originator to its shareholders of a participation instrument the pay out of which is directly linked to the net cash flows under the net economic interest retained

Would a credit institution acting as originator in relation to a securitisation and holding the net economic interest pursuant to Article 6 Regulation 2017/2402 be in breach of Article 12 of Regulation (EU) 625/2014 if such credit institution decides to issue to its shareholders, free of charge, a participation instrument the pay out of which is directly linked to the net cash flows under the net economic interest retained by the originator?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
  • ID: 2016_2878
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 17/02/2017