List of Q&As

Use of Core Market Participants Rule

This question regards the use of the Core Market Participants rule (Article 227 of Regulation (EU) No 575/2013 (CRR)) in the context of Master Netting Agreements with Own Estimates of Volatility (Article 220). The rule detailed under Article 227 of CRR specifically excludes only the Internal Models Approach for Master Netting Agreements (Article 221), and is consistent with the Basel II text (June 2006) in which paragraph 170 excludes the same approach in paragraphs 178-181. However, paragraph 177 of the June 2006 text provides for repo-style transactions under master netting agreements to have haircuts calculated in accordance with paragraphs 147-172, inclusive of the core market participant rules. This is in contrast to the CRR, where article 220(1) is only inclusive of the volatility adjustments detailed in Articles 223-226, thereby excluding the core market participant rule. The question is whether this exclusion in the final CRR was intentional or an oversight.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_269| Topic: Credit risk| Date of submission: 24/09/2013

Notifications of agents and subagents of credit institutions in the European Economic Area (EEA)

1) Is it allowed for a credit institution to provide money remittance services via agent cross-border in the EEA? 2) Do agents have to be notified to the home-/host authority and if so under which directive? 3) Do agents have to be notified by way of freedom of establishment or by way of freedom to provide services? 4) Are agents to be treated as branches? 5) Is it allowed for an agent of a credit institution which provides money remittance services cross-border in the EEA to use subagents? If yes: a) Does a sub-agent have to be notified? b) On which legal basis? c) To which Authority? d) Does the credit institution or the agent provide notification and, if so, freedom of establishment or by way of freedom to provide services?

Legal act: Directive 2013/36/EU (CRD) as amended

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

ID: 2013_190| Topic: Other topics| Date of submission: 29/08/2013

Capital charge for credit derivatives in the banking book in the position of protection seller

In Regulation (EU) No 575/2013 (CRR) we assume that for credit derivatives in the banking book in the position of protection seller the present capital charge is calculated only for credit risk with respect to the underlying and no extra capital charge for counterparty credit risk after CRR is needed. Do you agree?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_387| Topic: Credit risk| Date of submission: 15/10/2013

Treatment of Upper Tier 2 instruments under CRR

Can existing Upper Tier 2 instruments with a provision such as "the institution has the right to defer the payment of interest because the institution has not paid dividends on ordinary shares (Core Equity Tier 1 – CET1) and on hybrid instruments (Additional Tier 1 – AT1)" qualify as fully eligible Tier 2 instruments under Regulation (EU) No 575/2013 (CRR)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_54| Topic: Own funds| Date of submission: 10/07/2013

Applicability of the re-securitisation definition to securitisation positions being subject to tranched credit protection according to Article 264(1) of Regulation (EU) No 575/2013 (CRR)

Do the portions of a securitisation position covered and uncovered by senior unfunded credit protection have to be treated as re-securitisation positions in accordance with Article 4(64) of CRR for the purposes of determining the risk-weighted exposure amounts of these portions in accordance with Article 264(1) and for other regulatory purposes?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_53| Topic: Securitisation and Covered Bonds| Date of submission: 10/07/2013

Definition of a large exposure

Please can you confirm if the large exposure threshold for reporting is 10% of eligible capital as mentioned in Article 392 or €300m?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_57| Topic: Large exposures| Date of submission: 11/07/2013

Unrealised Gains and Losses

Under to Article 467 and 468 of Regulation (EU) No 575/2013 (CRR), what is the appropriate level of aggregation with respect to unrealised gains or losses at which the percentages have to be applied respectively? Please indicate the appropriate level of application.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_51| Topic: Own funds| Date of submission: 09/07/2013

FINREP: Requirement to submit financial information

If a credit institution prepares consolidated accounts - under IFRS - for Statutory Reporting and is a non public company, and the subsidiary company's activities (a non-credit institution) are below the thresholds mentioned in Article 19 (a) and (b) of the Regulation (EU) No 575/2013 (CRR), can you confirm that it will not be mandatory for the credit institution to submit Financial Information (FINREP), effective from January 1st 2014?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_119| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 06/08/2013

Preferential risk weight of covered bonds containing securitisation positions of sovereign exposures as cover pool assets

Would UCITS compliant covered bonds containing public sector securitisation exposures qualify for preferential risk weights under Article 129 of Regulation (EU) No 575/2013 (CRR)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_42| Topic: Securitisation and Covered Bonds| Date of submission: 08/07/2013

Which institution is responsible to provide the remuneration data if a subsidiary has been sold?

Which institution is responsible to provide the remuneration data if a subsidiary has been sold?

Legal act: Directive 2013/36/EU (CRD) as amended

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

ID: 2013_41| Topic: Remuneration| Date of submission: 08/07/2013

Immovable property risk weights under the standardised approach (commercial)

Is the 50% standardised risk weight applicable to exposures fully and completely secured by mortgages on commercial property outside the Union?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_66| Topic: Credit risk| Date of submission: 16/07/2013

Application of the Discretion outlined in Article 99 (6) of the CRR to non-IFRS institutions

We wish to clarify whether, in exercising the discretion afforded to it in Article 99 (6) of the CRR, a competent authority may consult the EBA in order to extend the (new FINREP) reporting requirements outlined in Article 99 (2) to non-IFRS banks, but not to non-IFRS investment firms in its jurisdiction.

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_38| Topic: Supervisory reporting - Other| Date of submission: 05/07/2013

Immovable property risk weights under the standardised approach (residential)

Is the 35% standardised risk weight applicable to exposures fully and completely secured by mortgages on residential property outside the Union?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_65| Topic: Credit risk| Date of submission: 16/07/2013

Deferral of Tier 2 coupons

Can Tier 2 instruments include terms according to which coupons would be mandatorily deferred or cancelled if coupons were not paid on Additional Tier 1 instruments?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_21| Topic: Own funds| Date of submission: 03/07/2013

Local Regulations versus the CRR

Will national regulations, maintained by domestic regulators (such as those in the Capital Principal Circular (7/2012) of the Bank of Spain, as an example) which set requirements for Tier 1 instruments compatible with, but in excess of, those set in Regulation (EU) No 575/2013 (CRR) for Additional Tier 1 instruments, continue to have force after the date (1st Jan 2014) at which CRR itself comes into force?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_39| Topic: Own funds| Date of submission: 05/07/2013

Grandfathering of own funds instruments

Where an Additional Tier 1 (AT1) instrument qualified as original own funds according to Article 154(9) of Directive 2006/48/EC with the excess amount considered as part of the additional own funds, will the excess amount be included in the base used to calculate the cap for AT1 items during the transitional period under Regulation (EU) No 575/2013 (CRR)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_17| Topic: Own funds| Date of submission: 03/07/2013

Applicability of Own Funds Reporting Requirements to Investment Firms Out of Scope

Should the reporting requirements of Regulation (EU) No 575/2013 (CRR) for institutions be interpreted to include reference to both investment firms and firms referred to in point (2)(c) of Article 4(1) that provide the investment services and activities listed in points (2) and (4) of Section A of Annex 1 to Directive 2004/39/EC that are excluded from the definition of investment firm, yet subject to Pillar 1 capital requirements under Article 95(2)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_37| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 05/07/2013

Retention bonuses

Is a “retention bonus”, i.e. a bonus solely granted for staying with a credit institution for a pre-defined time, still admissible in the light of remuneration principle Article 94(1)(e) of Directive 2013/36/EU (replacing Annex V, Section 11, point 23 (j) of Directive 2006/48/EC (CRDIII))?

Legal act: Directive 2013/36/EU (CRD) as amended

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

ID: 2013_10| Topic: Remuneration| Date of submission: 03/07/2013

Synthetic holdings

We are considering own regulatory capital instruments which are put in pledge to the issuing bank itself as collateral for loans to customers. 1) Do banks have to deduct those pledged own regulatory capital instruments under Regulation (EU) No 575/2013 (CRR) although the related loans are not granted for the purchase of these instruments (i.e. no direct funding), potentially as a synthetic holding (Article 4 (1) (126) of CRR? 2) Do such pledged regulatory capital instruments still meet the “paid up”-criterion (Article 28 (1)(b)) of CRR?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_9| Topic: Own funds| Date of submission: 03/07/2013

Grandfathering of own funds instruments

Is there any grandfathering applicable to instruments of state aid that are initially subscribed by the state but are then sold a) before 31 December 2017 and b) after that date?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

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

ID: 2013_11| Topic: Own funds| Date of submission: 03/07/2013