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

Systemic risk buffer requirement calculation

1) What is the definition of the term “exposure” in Article 133 (3) CRD IV? What is the base for the calculation of systemic risk buffer requirement? In case systemic risk buffer applies to all exposures regardless the location of the exposure, is it total risk weighted exposure according to Article 92 (3) CRR? How should the systemic risk buffer be computed by the institution, since there is no further guidance? What is the definition for „exposures located in the Member State that sets that buffer“? Is the term „exposure“ referring to: - (credit) exposures according Article 111 of Regulation 575/2013 - (credit) risk weighted exposures according to Article 113 of Regulation 575/2013 - the subset of aforementioned, for example relevant credit exposures according to Article 140(4) - total risk exposure according to Article 92 (3) of Regulation 575/2013 - or otherwise? 2) What is the definition of term „located in the Member State“. Can the guidance introduced in DR No 1152/2014 be applied also for systemic risk buffer, although it is issued primarily for countercyclical capital buffer?And in case the systemic risk buffer applies to all exposures located in the Member State that sets systemic risk buffer, but does not apply to exposures outside the Member State, how the systemic risk buffer requirement should be calculated? Does the term “exposures located in the Member State” include only credit exposures located in the Member state following CCyB treatment in article 140 (4) CRD? Or under the term “exposures” shall be included also exposures to other risks (e.g. operational risk)? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3037
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 30/06/2017

CVA Standardised Method for Securities Financing Transactions (SFTs)

Article 382(2) of Regulation (EU) No 575/2013 (CRR) states that ‘an institution shall include securities financing transactions in the calculation of own funds required by paragraph 1 if the competent authority determines that the institution's CVA risk exposures arising from those transactions are material’. Assuming SFTs are included in the CVA Standardised CVA charge, clarification is required on the definition of the 'EAD' and 'M' inputs to the CVA Standardised Formula:Question 1: What definition of 'EAD' is applied for SFTs under the CVA Standardised Method? i.e. is it only the fully adjusted exposure value in accordance with Article 223(5) or can the exposure value take in account master netting agreements as set out in Articles 220 and 221 of the CRR be used ?Question 2: What definition of 'M' (the effective maturity of the transactions) is applied for SFTs in the CVA Standardised Formula? i.e. the definition of 'M' in Article 384(1) for non-IMM banks references Article 162(2)(b) which only refers to master netting agreements for derivatives.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1376
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Written Credit Derivatives Add-On MR/NR Netting

Under Article 429d(3) of the Regulation (EU) No 575/2013 (CRR), is it allowable to reduce the Add-On exposure of a written credit derivative (CDS) which has a Modified-Restructuring clause by a purchased credit derivative (CDS) which has No-Restructuring clause (where both CDS contracts have the same maturity, seniority and underlying reference entity)?

  • 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: 2015_2491
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Private ownership of a bridge institution or an asset management tool

We seek clarification on Articles 40(2) and 42(2) of Directive 2014/59/EU (BRRD). Can a bridge institution or an asset management tool be fully privately owned?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2342
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 23/06/2017

Reporting of assets lending on an unsecured basis

When collateral lending on an unsecured basis maturing within the 30-day period, shall the institution report this as inflows?

  • 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_2992
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 16/06/2017

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