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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.

List of Q&A's

Assessment criteria of the conditions of forbone exposures that are performing

Performing exposures with forbearance measures are distinguished into these that were considered as performing from the date when forbearance measures were extended (see paragraph 178) and these that were previously non-performing and have been reclassified from the non-performing category. Is there a distinction regarding the assessment criteria for these two types of exposures or have all performing exposures with forbearance measures to be assessed on a quarterly basis (see paragraph 177), although the class of formerly non-performing exposures is exposed to a higher risk to become non-performing again as compared to these that have always been performing since forbearance measures were extended?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Holding in an undertaking that is neither a financial sector entity nor outside the financial sector

According to Article 89 (1) of the CRR, a holding in an undertaking that is not a financial sector entity, carrying on certain ancillary activities (for which guidelines are pending to be issued by the EBA), shall not be treated as a qualifying holding outside the financial sector. In addition, the aforementioned holding does not seem to be captured neither by the deductions from eligible capital items (Articles 36, 56, 66) since relevant deductions relate only to holdings in financial sector entities. Therefore, shall a holding in an undertaking that is not a financial sector entity, carrying on certain ancillary activities, be treated as a holding in a financial sector entity or as an exposure which should be risk weighted?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

LR: Amout due for secured lending transaction

Hi For secured lending transaction, Amount due corresponds to the amount of outflows : does it mean after the application of the rate defined in article 422.2 of the regulation, or before application of this rate? Same question regarding tab 53 and inflows (cell c 010, 030, 050) Regarding tab 53, Row 990 (total cash inflows excluded due to the cap), does this value have to be computed by the report or will be filled with an automatic formula based on the different cells ? Where could we find this formula ? Thanks for your answer Regards

  • 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)

Validations

Can the EBA review the attached file which includes specific validations which we believe may be illogical or contain errors. Where appropriate can the EBA amend both Annex XV and the taxonomy.

  • 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)

Alternative treatment of the exposure measure: Notional amount

How do we have to report the notional of derivatives, do we have to sum up all derivatives in absolute value?

  • 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)

C 51.00 Liquid assets - reporting of intransferable liquidity surpluses

How should surpluses of liquidity held by local legal entities be reported, if these can not be freely transferred to the consolidated entity in times of stress?

  • 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)

Reporting of collateral swaps

We do not understand how collateral swaps should be integrated in the reporting template. o Indeed, to calculate the inflows / outflows concerning reverse repos and repos, there should theoretically be a cap on the difference between the cash value of the operation and the market value of underlying security. To calculate the inflows / outflows generated by collateral swaps, the same kind of calculation should be done, but without the cap. o Since operationally the same cells should be used to integrate repos / reverse repos and collateral swaps in the EBA template, we do not understand how this can give adequate results in terms of LCR ratio calculation.

  • 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)

Items associated with particular high risk secured with eligible real estate

How do we treat the exposures that would have been otherwise categorised as "Items associated with particular high risk" and which at the same time are secures with mortgages on immovable property? a) Ignore the collateral which opposes the spirit of Regulation (EU) No 575/2013 (CRR) and Credit risk mitigation (CRM) i.e. CRM is recognised when it decreases the Credit risk? b) Recognise them in the exposure class "Secured with mortgages on immovable property"? Additionally, if these items are also in default, should they be recognised in the "In default" exposure class? c) Recognise them in the exposure class "Items associated with particular high risk" and apply the lower RW that are associated with the exposures secures with mortgages on immovable property?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Groups including an investment firm referred to in Article 95(1) of the CRR controlled by a financial holding company or mixed financial holding company

How shall the own funds requirements be calculated for a group including an investment firm referred to in Article 95(1) controlled by a financial holding company or mixed financial holding company (and no credit institutions)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Clarification regarding the legal opinion mentioned in Article 305 of Regulation (EU) No 575/2013 (CRR)

Is it correct to assume that the specific legal opinion mentioned as a prerequisite in Article 305(2)(c) CRR only needs to confirm that the other prerequisites 'individual client segregation' in Art 305(2)a) and the facilitation of the portability of client assets under Art 305(2)(b) are in place and fulfilled (in a sense that the respective legal position of the client is enforceable under respective law(s)), or does the legal opinion need to address additional legal questions beyond that scope? In the latter case what kind of legal questions beyond Art 305(2)(a) and (b) would such legal opinion need to address?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Inflows - Monies due from non-financial customers

What should be considered as “contractual commitment to extend funding”, is it entire granted off-balance commitment for particular client (e.g. credit card limits) or amount which is contractually going to be transferred to this client over 30 day horizon? Should the cap be calculated on the net basis for all clients on the client-by-client basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Accounting Scope of Consolidation

Do you agree that the term “within the accounting scope of consolidation” refers to the debtor’s accounting scope of consolidation? Do you agree that the group of connected clients according to large exposure methodology is an adequate approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Operational risk - compliance risk

Does the definition of operational risk include compliance risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Supervisory powers Liquidity

Does Article 412(5) of Regulation (EU) No. 575/2013 (CRR) prohibit the competent authorities from imposing a “Liquidity-Add-on” (e.g. LCR-requirement above 100%; similarly to a Capital-Add-on according to Article 104(2) of Directive 2013/36/EU (CRD) according to Article 104(1)(k) and/or Article 105?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Eligible collateral for the purpose of credit risk mitigation

Are American Depository Receipt (ADR) and Global Depository Receipt (GDR) considered as equity for the purpose of credit risk mitigation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Repo conducted with a non-financial customer

Article 425 subparagraph 2(a) of Regulation (EU) No 575/2013 (CRR) states that: "Monies due from customers that are not financial customers for the purposes of principal payment shall be reduced by 50 % of their value or by the contractual commitments to those customers to extend funding, whichever is higher. This does not apply to monies due from secured lending and capital market-driven transactions as defined in point (3) of Article 192 that are collateralised by liquid assets in accordance with Article 416 as referred to in point (d) of this paragraph." As this provision refers only to secured lending conducted with liquid assets (and not non-liquid assets), it would seem to suggest that repos conducted with a non-financial customer using non-liquid assets is subject to only a 50% inflow rate (e.g. now 100%). Could the EBA please confirm the correct interpretation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Liquidity cash-flows

Article 418(1) of Regulation (EU) No 575/2013 (CRR) states that: “If the institution hedges the price risk associated with an asset, it shall take into account the cash flow resulting from the potential close-out of the hedge.” Could the EBA please confirm how this should be reflected within the liquid asset reporting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Valuation of liquid assets

If the institution hedges the price risk associated with an asset, it shall take into account the cash flow resulting from the potential close out of the hedge. Does this mean that: – the market value of the asset plus the market value of the hedge has to be reported? – all types of hedges, including CDS have to be included?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Highly leveraged obligors

How to define/identify 'highly leveraged obligors' under Article 180(1)(a)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of a financial institution

Following the corrigendum of November 30 2013, the definition of a “financial sector entity” (FSE) was modified, however, the definition of a “financial institution” (FI) remained unchanged. We seek clarification for the following two main issues: 1) Clarification is sought on whether all “undertakings other than institutions, the principal activity of which is to acquire holdings” – irrespective of whether the holdings in question relate to undertakings in- or outside of the financial sector – qualify as a financial institution (FI) (and accordingly as a financial sector entity (FSE) pursuant to Article 4(1)(27) of Regulation (EU) No 575/2013 (CRR)) for prudential consolidation purposes and also for purposes of capital deductions for investments in FSEs. 2) As the CRR does not give a definition of what “principal activity” means in relation to FI, there is room for interpretation leading to divergent treatment across Member States – in particular, where a bank owns shares in a holding company that owns a non-financial group (i.e. a group that does not undertake an activity under Annex 1 of Directive 2013/36/EU (CRD)). We seek clarification on whether an undertaking’s principal activity (e.g. to acquire holdings) needs to be determined on an individual basis (i.e. also in the case of holding companies) or whether it can be determined on the basis of its consolidated situation (i.e. including the holding company plus its non-financial subsidiaries and holdings) and by taking into account all relevant qualitative and quantitative criteria (e.g. proportion of assets, of profits and of capital resulting from the acquisition of holdings versus operating activities, including activities listed in Annex I to CRD; human resources deployed; etc) on group level.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable