The European Banking Authority (EBA) has updated its Q&As on the single rulebook, publishing a further 8 new answers to questions. The Q&As relate to the CRD IV package of reforms: the CRD IV Directive, the Capital Requirements Regulation (the CRR) and the related technical standards and guidelines developed by the EBA. The 8 updated Q&As cover various issues including: credit risk, own funds, and liquidity risk.
The topics for the new answers are:
- inclusion of additional value adjustments in the internal ratings based treatment of expected loss;
- offset of additional value adjustments against expected loss;
- application of transitional provisions and the calculation logic concerning the deduction from half Tier 1 items and half Tier 2 items;
- internal model method for counterparty credit risk and the determination of the effective expected exposure when the model captures the effect of margining;
- calculation of the threshold deductions from common equity tier 1 during the transitional period;
- inflows;
- securities borrowing transactions within the liquidity coverage ratio; and
- large exposure reporting and whether an institution should report exposure to a central government.
View Question ID: 2014_950: Inclusion of additional value adjustments in the IRB treatment of expected loss, 11 July 2014
View Question ID: 2014_933: Offset of Additional Value Adjustments (“AVAs”) against Expected Loss (“EL”) under Article 159 of the Capital Requirements Regulation, 11 July 2014
View Question ID: 2014_986: Application transitional provisions: Deduction half from Tier 1 and half from Tier 2, 11 July 2014
View Question ID: 2014_842: Calculation of the threshold deductions (from CET1) during the transitional period, 11 July 2014
View Question ID: 2014_784: Inflows, 11 July 2014
View Question ID: 2014_792: Securities borrowing transactions within the LCR – inflows, 11 July 2014
View Single Rulebook Q&A, 11 July 2014
