Search for Q&As Submit a question

List of Q&As

Clarification of the treatment of contracts for difference (CFD)

Shall long (short) positions in CFDs, where the underlying is denominated in foreign currency, be treated as a single long (short) foreign currency position equal to the market value of the notional position of the underlying or market value of the CFD in the quote currency?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3137| Topic: Market risk| Date of submission: 31/01/2017

Separate IMA approval or summation approach for market risk OFR at consolidated level

Assuming that a parent institution does not have permission by the competent authorities to use the Internal Models Approach (IMA) on consolidated level, but(i) it has the permission to use the IMA on individual level and/or one (or several) of its subsidiaries have the permission to use the IMA on individual level or (ii) it has no permission to use the IMA on individual level and only one (or more) subsidiaries have the permission to use the IMA on individual level.Question 1:Is the parent institution compliant with the requirements of the CRR (in particular Articles 11 and 363(2) thereof) if it calculates the own funds requirements for market risk on consolidated level by summation of (i) the individual VaR, sVaR (and where applicable IRC and CRM) where IMA permission on individual level has been granted; and(ii) the own funds requirements according to the standardised approaches for market risk in accordance with Chapters 2, 3 and 4 of Title IV of Part Three of the CRR for consolidated entities which do not have IMA permission?Question 2: Does the assessment depend on whether permission has been granted for the consolidating parent entity on individual level?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4021| Topic: Market risk| Date of submission: 25/06/2018

Offset of Additional Value Adjustments (AVA) against day one profits deferral

Under Article 8(3), is day one profit deferral eligible to offset the AVAs under Articles 9, to 17 of Regulation (EU) No. 2016 / 101?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2019_4458| Topic: Market risk| Date of submission: 14/01/2019

IFRS 9, validation rule v6030_m

Validation rule v6030_m for IFRS 9 (taxonomy 2.7) seems to be incorrect. Subsequently validation rules v6031_m, v6032_m, v6033_m, v6034_m, v6035_m, v6036_m, v6037_m and v6038_m seem also to be incorrect. Template F 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty. If there are allowances for other demand deposits (table F 01.01. row 040) do these allowances have to be reported in table F 12.01.a as well? In case of that allowances for other demand deposits have to be shown in table F 12.01.a the validation v6030_m (and subsequently the validation rules v6031_m, v6032_m, v6033_m, v6034_m, v6035_m, v6036_m, v6037_m and v6038_m) can't be fullfilled as table F 04.03.1 and F 04.03.1 do not include other demand deposits.

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2018_3835| Topic: Supervisory reporting| Date of submission: 08/05/2018

Application of Article 254(2) to derivative exposures

Is new Article 254(2) CRR applicable to derivatives positions to hedge market risk?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4465| Topic: Securitisation and Covered Bonds| Date of submission: 17/01/2019

IRRBB Application of the sudden parallel

How should banks apply the sudden parallel +-200 basis points shift of the yield curve in their forecast yield curve?

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities

ID: 2019_4448| Topic: Other topics| Date of submission: 04/01/2019

Deduction of deferred tax assets that rely on future profitability

Is the deduction of the deferred tax assets that rely on future profitability (hereinafter, the “DTAs”) and the amount of the associated deferred tax liabilities (hereinafter, the “DTLs”) relevant for the calculation of the amount to be deducted from Common Equity Tier 1 (CET1) according to Article 36(1)(c) of Regulation (EU) No. 575/2013 (CRR) to be determined independently of the Accounting Policies defined by the Bank for the offsetting of the DTAs and the DTLs in the Balance Sheet and regardless of the way in which the DTAs and DTLs are reported in the Financial Statements?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4302| Topic: Own funds| Date of submission: 01/10/2018

Immovable property collateral under the Standardised approach & Credit risk mitigation principles

Do the Article 193 ‘Principles for recognising the effect of credit risk mitigation techniques’ and Article 194 ‘Principles governing the eligibility of credit risk mitigation techniques’ apply to immovable property collateral under the Standardised approach?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4300| Topic: Credit risk| Date of submission: 27/09/2018

Clarification on application of incurred CVA to the Leverage Ratio Exposure calculation

Can incurred CVA, which is recognised as an incurred write-down in the Balance sheet, be used in the calculation of the Leverage Ratio Exposure for derivatives contracts?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2017_3628| Topic: Leverage ratio| Date of submission: 08/12/2017

Clarification of Z02.00, row 0200 (DGS liabilities)

What is expected to be reported in Z 02.00, row 0200 (DGS liabilities) as the instructions only refer to Article 44 (2) point g (iv) of Directive 2014/59/EU and liabilities to deposit guarantee schemes arising from contributions due in accordance with Directive 2014/49/EU?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on the provision of information for the purpose of resolution plans

ID: 2018_4213| Topic: Information for the purposes of resolution plans| Date of submission: 22/08/2018

Treatment of negative contribution base while calculating contributions to resolution financing arrangements

Due to specificities of the business model of some institutions, exclusions according to Article 5(1) of the Delegated Regulation (EU) 2015/63 may result in negative amount of total liabilities (excluding own funds) less covered deposits (contribution base according to Article 103(2) BRRD).Could you confirm that the approach in which the contribution base is floored to zero is correct in such cases?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements

ID: 2018_4002| Topic: Resolution financing arrangements| Date of submission: 19/06/2018

Requirements in Commission Delegated Regulation (EU) 2016/1712

- Do the requirements in Commission Delegated Regulation (EU) 2016/1712 only apply to financial contracts resulting in a liability which could be subject to bail-in under resolution, rather than all assets and liabilities?- Are there any expectations on the format/method of submission for the information if/when requested (i.e. excel, CSV, other)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3928| Topic: Resolution tools and powers| Date of submission: 24/05/2018

Minority interest, AT1 and T2 instruments qualifying for inclusion in consolidated own funds

How should the calculation in Article 85(1) CRR be performed “on a sub-consolidated basis for each subsidiary” as required by Article 85(2) CRR, where no sub-consolidation or sub-consolidated own funds requirements apply to an institution?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3567| Topic: Own funds| Date of submission: 20/10/2017

Transaction Risk Analysis (TRA) exemption – Time period for calculation of initial fraud rate

What is the relevant time period to use when calculating the initial fraud rate for use when the Strong Customer Authentication (SCA) comes into force?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4044| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 28/06/2018

Reporting the gross carrying amount of the credit-impaired financial assets measured at amortised cost (other than purchased or originated credit-impaired financial assets), in the context of the new FINREP framework, as provided for in the Regulation (EU) 2017/1443

Our question is whether the gross carrying amount of a credit-impaired financial asset measured at amortised cost (other than purchased or originated credit-impaired financial assets) reported in the column 040 of the template F 04.04.1 “Financial assets at amortised cost” should be: a) the principal amount together with the value of the interest computed in accordance with IFRS 9 5.4.1(b) (not the entire value of the contractual interest accrued). or b) the contractual amount of the principal and of the interest accrued according to the contractual terms; in this case, the value of the accumulated impairment for this financial asset presented in the template F 04.04.1 would include the adjustment of the contractual interest (to attain the value of the interest revenue computed in accordance with IFRS 9 5.4.1(b)).

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3553| Topic: Supervisory reporting| Date of submission: 11/10/2017

Location of the obligor for the calculation of the countercyclical capital buffer

What is the definition of “actual place of administration” in Article 1(4) of Regulation (EU) 1152/2014?

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: 2018_3739| Topic: Other topics| Date of submission: 27/02/2018

3 month notification period on interface changes to ASPSPs’ interfaces

Do account servicing payment service providers (ASPSPs) need to adhere to a 3 month notification period for all interface changes, or only for breaking interface changes, as specified in the RTS on on strong customer authentication (SCA) and secure communication (CSC) Article 30 Paragraph 4?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2019_4823| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 09/07/2019

Applicability of exemption under RTS Article 16 for payee’s PSPs (acquirers)

Can an exemption under Article 16 of the RTS on strong customer authentication and secure communication be applied by the payee’s payment service provider (PSP) (the acquirer) for card-based payments?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4242| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 06/09/2018

Applicability of exemption under RTS Article 11 for payee’s PSPs (acquirers)

Can an exemption under Article 11 of the RTS on strong customer authentication and secure communication be applied by the payee's payment service provider (PSP) (the acquirer) for card-based payments?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4241| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 06/09/2018

Contactless counting

For the purpose of counting previous cumulative contactless transactions in order to assess the eligibility of the exemption in Article 11 of the RTS, should contactless transactions initiated outside of the EEA be included?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4227| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 05/09/2018

PDF