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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.

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List of Q&A's

Calculation of the threshold for applying the Simplified approach for Additional Valuation Adjustment (AVA).

We are interested in knowing:1. If for the calculation of the thresholds asset and Liabilities under the FVO regime have to be (proportionally) taken into account (indeed, EBA RTS does not explicitly include them within the list of valuation positions for which a proportional calculation of the threshold can be applied- see EBA RTS introduction notes, subsection 3; on the other hand the EBA RTS does not explicitly excluded them). According to our view the answer to this question is yes (art. 34 states that additional value adjustments - calculated according to article 105 - shall apply to all fair value positions and not only to the trading book).2. If the answer to question 1) is yes then we are interest in knowing how to calculate the part that should be taken into account (i.e. the part that is not deriving from the own credit spread movements; the part that has an impact on CET1); we would like to know the criterion that should be used in order to calculate the “proportional part” of these stocks (of asset or liabilities) that is impacting the CET 1.3. If the answer to question 1 is yes and if the bank hedges the “the interest rate component” (that has impacts on CET1 ratio) of the asset or liability at FVO we are interested in knowing if this component has to be taken into account in order to calculate the part of the Assets/Liabilities that is going to be considered for the thresholds calculation?4. Does the answer to question 3 changes if the interest rate component is hedged “back to back” (reference to Q&A n. 29) with external counterparties or only hedged with a “portfolio approach”? Moreover, it is correct to consider as “not back to back hedges” (then a situation in which still the interest rate movements determine some P&L and consequently CET 1 effects) the situation in which there is a hedge back to back with a subsidiary that manages the interest rate risk with “portfolio approach”?5. Which is the meaning of “exactly matching, offsetting positions (art. 105 (14) point 3” to be excluded in the calculation of Simplified Approach threshold? Does it mean only an asset position and the corresponding position took as a liability, that exactly match each other in term of security type and amount (e.g. € 1 mln long position in Google equity stock in the trading book portfolio and 1 € mln short position on Google stock) or the meaning refers also to perfect hedging strategy (e.g. long the stock, short the equity futures with delta =0)?

  • 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: 2015_1715
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 07/10/2016

Retail exposures above EUR 1m - definition and understanding

Would a private individual client need to be regarded as "non retail" if the original exposure is above EUR 1 million (line EUR 2m) or could he stay in the "Retail" exposures class if his EAD is below EUR 1million (EAD close to zero) or the drawn amount is below euro 1m (drawn amount below EUR1m)?Clarity would be appreciated for both the standardised and IRB approach.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2626
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/10/2016

Use of financing arrangement for covering the gap between transferred assets and liabilities in case of application of the sale of business tool

In light of Article 101(1) of the BRRD, is the resolution authority authorised to use the financing arrangement to finance the gap between all the purchased assets and liabilities, by the means of a direct grant/subsidy, in the amount of the negative difference between the assets and liabilities under a condition that the contribution is compliant with the Union State aid framework?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2591
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/09/2016

Definition of a 'Deposit Broker'

What is the definition of a deposit broker?

  • 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: 2016_2642
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Liquid assets valuation in case of hedging with collateralized derivatives.

Should the potential close-out of hedges of securities included within the liquidity buffer be taken into account when hedging is performed through collateralized derivatives?

  • 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: 2016_2695
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Treatment of decreases of impairments in the calculation of the exposure value

In the context of published Q&A 2014_1087 how should a credit institution treat decreases of impairments, value adjustments or provisions (in case of reduced identified losses) recognised during the year, i.e. in the interim period, in the case where the competent authority has not given its permission to include the interim profit into the calculation of Common Equity Tier 1 capital, and the credit institution has not reflected the amounts with a corresponding "immediate reduction in Common Equity Tier 1 capital" although the changes in impairments, value adjustments or provisions for off-balance sheet items are reflected in interim profits or year-end profits?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2016_2629
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Exemption from cap of inflows per Article 33 (1) of the Commission Delegated Act 2015/61

(a) Can the national competent authority of a Member State grant such exemption where the inflow arises from the parent companies or subsidiaries incorporated in third countries?(b) If the reply to the first question is positive, shall the national competent authority carry out an assessment as required under the draft regulation to be issued by the ECB under Article 425(5) of the CRR and Article 34(1)(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 or shall the national competent authority follow other national guidelines?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2660
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Extending the range of application system.

What is practically meant by 'additional exposures related to the lending decision of a third party to the group'?

  • 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: 2015_2224
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 23/09/2016

Reporting ICAAP requirements

Where does a firm report its ICAAP requirement if it has not undergone a SREP or been notified by its National Competent Authority that it must take additional own funds requirements

  • 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: 2014_1258
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Information on performing and non-performing exposures

Table F 18.00 of FINREP contains the breakdown by past-due time bands of performing and non-performing exposures. In case of "debtor approach" how should the exposures to a given debtor be allocated to columns? And do such criteria have to be applied to both performing and non-performing debtors?

  • 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: 2015_2192
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Reporting of template C017.00

According to ITS Annex II, Part 2, paragraph 119. C017.00 The template C017.00 summarises the information by an institution in the last year. According to EBA final Q&A 2013 285: The reporting of C 17.00 (OPR Details) shall be based on the calendar year. The figures reported in June of the respective year are interim figures, the final figures are reported in December. But it is still not clear whether data is expected on the relevant calendar year (as current year) or on the last calendar year (as previous year): 1) data as of June 30, 2015 is about gross losses relevant to last calendar Year 2014 (the whole year) or about gross losses relevant to current calendar Year 2015 (1. half-year)? 2) data as of December 31, 2015 is about gross losses relevant to last calendar Year 2014 or about gross losses relevant to current calendar Year 2015?

  • 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: 2014_1571
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation error in CA4 (v3688_s)

A validation in CA4 (v3688_s) prevents completion of rows 240, 270 and 291, therefore how should a short synthetic position be reported to offset a direct long position?

  • 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: 2014_1546
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation v1740_m

In FINREP template 8.1 "Breakdown of financial liabilities" (EBA/ITS/2014/05 as of 30/07/2014) hedge accounting derivatives are not included in validation v1740_m, although they qualify as financial liabilities in terms of IAS 39.

  • 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: 2014_1539
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Memorandum Items in Credit Risk SA

Can you please confirm that the memorandum items in row 290-320 only should 1. Include Exposures secured by immovable property under articles 124,125 and 126 2. In case of the exposure being to a "High Risk" customer that is fully secured by an eg. RRE then the in template C 07.00 - exposure class "High Risk" no memorandum items will be completed (based on point 54 of the instruction as High Risk Category is not one of them) BUT instead the original asset class of the high risk obligor eg. Corporate should be completed

  • 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: 2014_1295
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Annex I, C 05.01

I am a little confused by two validations with the ID of V2000_s and V2035_s. My understanding is that column 50 should be a percentage but validation rule (V2035_s) states that it must be >=0 and column 10 should be the absolute number but the validation rule (V2000_s) shows that this should be <=0.

  • 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: 2014_1261
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

C 09.03 - Calculation of the breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

Suppose that a bank has an exposure an own funds requirements to country A of € 10,000 while the bank’s total exposures total own funds requirements (i.e. the aggregate exposure aggregated own funds requirements to all countries) is € 500,000. In addition, let’s say that the bank’s own funds is € 80,000. Would this mean that for the purposes of template C 09.03, under the sheet related to country A, the bank is required to report the amount of € 1,600 (i.e. (€ 10,000 / € 500,000) x € 80,000)?Is the method above correct to calculate total own funds requirement for credit risk of relevant credit exposures by country or are there any guidelines issued by the EBA or found in the CRR?

  • 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: 2014_1247
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Calculation of 17.65% CET1 threshold

In CRR article 48(2) it 19s defined calculation of threshold as follows:"2. For the purposes of paragraph 1, the threshold amount shall be equal to the amount referred to in point (a) of this paragraph multiplied by the percentage referred to in point (b) of this paragraph: (a) the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;(b) 17,65 %."However in the instruction of the ITS on supervisory reporting on row 210 of CA4 is supported by Article 48(1) of CRR and explains the following:"This item contains the 17.65% threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10% threshold.The threshold is calculated so that the amount of the two items that is recognised must not exceed 15% of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions."As the respective article 48 points (1) or (2) do not refer to 15% threshold, this reference in annex 2, in row 210 of CA4, in last paragraph to, 1815% of the Common Equity Tier 1 19 should be read as '17,65% of the Common Equity Tier 1'?Or does the threshold 17,65% of row 210 of CA4 actually includes calculation of 15% threshold? In this case, how? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1180
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Validation rule v4421_s does not comply with validation rules v4117_m, v4118_m, v4119_m, v4120_m as it implies a negative sign for maturing long term funding

Validation rule v4421_s implies that maturing long term funding must be reported with a negative sign for different categories of long term funding in row (200,230, 260,290,320) and column (020,030,040,050) in template P 01.02. However, this contradicts with validation rules v4117_m, v4118_m, v4119_m and v4120_m.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_2046
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Funding plan for credit institutions: meaning of "maturing gros outflow"

regarding to table P01.02 row 200, the definitional reference states "Instruments of this type which are contractually due to mature during the time from the end of the previous period to the relevant period-end".

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/04 - Guidelines on harmonised definitions and templates for funding plans of credit institutions - repealed by EBA/GL/2019/05
  • ID: 2015_1969
  • Topic: Supervisory reporting - Funding Plans
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Difference between and Annex I/ Annex II/1.6 description and DPM descrption of the same table name

There is a difference regarding the name of table C 05.02 Capital Adequacy, between Annex I sheet C 05.02/ Annex II Own funds paragraph 1.6 and DPM Database/ DPM Table Layout. While in Annex I/II name is 'Grandfathered instruments: Instruments NOT constituting State aid (CA5.2)' in DPM Database/DPM table layout, namie is 'C 05.02 - Capital Adequacy - Transitional provisions: Grandfathered instruments constituting State aid'. Please confirm what name is correct and should be used for table C 05.02 Capital Adequacy related to Grandfathered instruments (with NOT or without 'not').

  • 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: 2014_1305
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 09/09/2016