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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

Validation Rule v3688_s (Blocking Rule)

The validation rule does not seem correct as the 'Adjustments to total own funds' (Template C 04.00, column 010, row 870) could also be of a negative 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1801
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Reporting of % values in LE reports

What is the correct reporting value of % in LE templates?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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_1564
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Netting of Exposures arising from CIUs

Under the approach of Article 350(2) CRR, shall netting be permitted between positions in the underlying assumed investments of the CIU and other positions held by the institution, e.g. stock positions which are traded to hedge the underlying risk exposure of the CIUs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2917
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 31/03/2017

Gross-up calls on Tier 2

Should gross-up cases on Tier 2 be allowed only in relation to coupon withholding tax (and not principal)?

  • 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_2849
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2017

Treatment of negative accrued interests in the credit risk

Do negative accrued interests reduce the exposure value, whereas positive accrued interests increase the exposure value?In particular, are negative accrued interests deducted from CET1 and should a reduction be done, if the negative accrued interests are already included in the retained earnings, according to article 26(1)(c), or in the losses for the current financial year, according to Article 36 (1) a of 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: 2016_2795
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 31/03/2017

Interaction between benchmarking and additional capital requirements under Article 458 of CRR

For the benchmarking exercise for credit risk, the ITS templates request banks to report risk parameters (such as PD, LGD) and capital requirements (RWA) for the low and high default portfolio. However for some portfolios in scope of these exercises NCAs can have imposed additional capital requirements for macroprudential or systemic risk at the level of the member state (Article 458 CRR). For instance, in Belgium the NCA has imposed a 5% additional risk weight add-on (for targeting asset bubbles in the residential property sector). These RWAs relate directly to exposure in scope of the benchmarking exercise (in this example HDP template C 103.00), but under supervisory reporting the resulting RWA is not reported in C 08.01 / C 08.02 but in C 02.00 as an OTHER RISK EXPOSURE AMOUNTS (row 1.8.2). It is unclear whether additional capital requirements under Article 458 CRR, when specifically linked to a portfolio in scope of the ITS on benchmarking, should or should not be included in our submission of benchmarking templates.

  • 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: 2015_2377
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Clarification of columns 050 and 060 of template C 101.00, Annex I of the Benchmarking exercise.

In ITS-Annex I of the Benchmarking exercise the columns 050 and 060 provide the ISIN code and Bloomberg ticker, respectively. Is the requirement to report only exposures to the instruments specified by the ISIN/Bloomberg ticker or should all exposures to the counterparty be reported?

  • 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: 2016_2892
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Collateral value

Please confirm that the sum of all the collateral values of all the collateral types of all exposures of a given counterparty should be provided?Remark: this sum will be split between the types of risk where relevant according to the corresponding counterparty codes of the given counterparty.

  • 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: 2016_2999
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Clarification on Type of Facility to be used for Template C 102.00

How to interpret ‘short term’ for letters of credit mentioned in Option g) ‘Issued short-term letters of credit and other medium-low risk off-balance sheet items’?

  • 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_3105
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Clarification on the exclusion of calculation of credit spread portfolio in cases where only approval for general risk of debt instruments is granted

Do only institutions with approval to calculate their own funds requirements for the general risk of debt instruments and specific risk of debt instruments by using their internal models and an internal incremental default and migration risk (IRC) model have to calculate credit spread portfolios?

  • 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_3135
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

Use ‘AND’ or ‘OR’ rule to identify the exposure of the individual counterparties?

Template C 101.00 ‘Definition of Low Default Portfolio Counterparties’ (Annex I): Shall the columns Legal entity identifier, Credit register code, Commercial register code, ISIN Code and Bloomberg ticker be used with ‘AND’ or ‘OR’ rule to identify the exposure of the individual counterparties?

  • 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_3140
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as final Q&A: 24/03/2017

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