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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.

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List of Q&A's

Translation risk when calculating total own fund requirements on consolidated basis using the reporting currency of the consolidated institution

How should the overall own funds requirements be calculated in a consolidated situation for institutions or undertakings, for which Art. 325b(4)(b) CRR applies, i.e. if different institutions or undertakings of the group use different currencies other than the reporting currency of the group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7194
  • Topic: Market risk
  • Date of submission:

Passporting procedure for CIs and EMIs issuing tokens under MICAR

Are articles 146 (for credit institutions) and 48(3) (for e-money institutions) to be interpreted as submitting credit institutions and e-money institutions issuing ART/EMT on a crossborder basis to comply with the existing passporting framework set for these categories of establishments respectively by directives 2013/36/EU and 2009/110/EC? 

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7168
  • Topic: Other MiCAR topics
  • Date of submission:

Passporting procedure for non-CI ART issuers

Shall NCAs consider that articles 18, 21, 25 and 109 of MICA regulation set a specific passporting framework for “pure” ART issuers where: ART issuers are authorized to market tokens in Member States they declared during the authorization process as soon as they are authorized by home NCAs; within two working days of granting authorization, home NCAs only have to inform host national competent authorities, ESMA, EBA, ECB and competent national central bank of the Member States of the member states where ART issuers intend to market their token ; this information regarding passporting of ART issuers is publicly available on ESMA register? 

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7167
  • Topic: Other MiCAR topics
  • Date of submission:

Publication of white papers

Regarding entities exempted from authorisation pursuant to Article 16(2) of MiCAR, they shall notify the white paper to the competent authority of the home Member State, and the NCA is responsible for forwarding on the white paper of these entities to ESMA. However, it is unclear how the white paper is made available to the intended audiences of customers, and other relevant stakeholders and investors. Article 28 on publication of crypto-asset white papers only refers to ‘approved’ white papers (in accordance with Article 17(1) or Article 21(1) of MiCAR), without referring to notified white papers of exempted entities under Article 16(2) of MiCAR. Therefore, does Article 28 on publication of white paper of ART issuers also applies to issuers exempted under Article 16(2) of MiCAR?"

  • Legal act: Regulation (EU) No 2023/1114 (MiCAR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7166
  • Topic: Authorisation of issuers of ARTs and EMTs (MiCAR)
  • Date of submission:

Calculation of the net open position for capital requirements for structural FX risk

In the context of article 352.2, in relation with the consolidated capital calculation for FX risk,  the historical cost at solo basis must be taking into account or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2024_7162
  • Topic: Market risk
  • Date of submission:

Calculation of the capital requirements for structural FX risk

In the context of article 352.2, when there is an investment in a subsidiary denominated in foreign currency and this subsidiary has invested in other subsidiary denominated in the same foreign currency must this exposure be always exempted from capital requirements calculation? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2024_7161
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

Offsetting position among all group entities without the permission of 325b

In the context of article 352, when an institution is following a strategy of hedging the consolidated CET1 ratio (as opposed to hedge at solo level) and has been granted the waiver in art 352.2 at a consolidated level but when the permission in article 325b is not granted: It is necessary having the netting permission of 325b granted to take into account shorts open position in a subsidiary to calculate the structural FX position at consolidated level, for the waiver application purposes? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2024_7160
  • Topic: Market risk
  • Date of submission:

Consideration of additional items in the calculation of the net open position or maximum net open position

In the context of art 352 (2) the calculation of the net open position  or maximum net open position in the context of Structural FX framework should take into consideration items affecting the capital ratio but not directly related to assets, liabilities or off-balance items such Additional Value adjustment or minority interests denominated in FX currency? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/09 - Guidelines on the treatment of structural FX under Article 352(2) of CRR
  • ID: 2024_7159
  • Topic: Market risk
  • Date of submission:

Retail deposit - an established relationship criteria

For the purpose of article 24 paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:  (a) has an active contractual relationship with the credit institution of at least 12 months duration;(b) has a borrowing relationship with the credit institution for residential loans or other long term loans;(c) has at least one other active product, other than a loan, with the credit institution.   Could you give an example what is considered to be 'one other active product, other than loan'?  Would it be correct to consider these products as 'one other active product, other than loan' to fulfill the crieteria c): credit card debt; hire purchase; financial lease ?

  • 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: 2024_7157
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

Simultaniously use of the SME and infrastructure factor

Please see the existing question, which was not answered yet: 2020_5551

  • 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: 2024_7155
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

The OFR calculation are performed in local currency (reporting currency in the jurisdiction for the subsidiary) and then converted to EUR (group reporting currency) for consolidation

Under current (No FRTB) Own Funds Requirements (OFR) framework for Market Risk. A bank composed by a parent entity in Europe and a subsidiary in a third country.  With approved use of Internal Model Approach for all risk factors where no offsetting of positions is allowed between both entities (parent and subsidiary) and not permission described in article 325 of CRR granted. Some residual risks calculated under Standardized Approach. So, according with the IMA permission and TRIM guides, the OFR calculation for market risk at consolidated level is the addition of 4 elements: OFR under IMA for parent + OFR under IMA for subsidiary + OFR under SA for parent + OFR under SA for subsidiary. For the subsidiary, the OFR calculation are performed in local currency (reporting currency in that jurisdiction) and then converted to EUR (group reporting currency) for consolidation. The required Banking Book positions (i.e. FX and commodities) are capitalized for market risk under this schema. Is this calculation compliant with CRR (current version of OFR, not FRTB reporting and future OFR)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7154
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 24/09/2024

Perfectly matched back-to-back bought and sold options under market risk capital requirement - sensitivities-based method for calculating the own funds requirement.

According to Article 325e of Regulation (EU) No 575/2013 (CRR) all the positions of instruments with optionality (among others: calls, puts, caps, floors, swap options, barrier options and exotic options) shall be subject to the own funds requirements for: a) delta risk b) vega risk c) curvature risk. According to Q&A no 2016_2571 (Question ID: 2016_2571 published in Single Rulebook Q&A on 11th November 2016) perfectly matching options should not be subject to market capital requirements. Does this approach also apply to sensitivities-based method for calculating the own funds requirement for market risk specified in CRR2/CRR3? If yes does it mean that perfectly matched back-to-back bought and sold options can be excluded from calculation capital requirement for market risk under sensitivities-based method  (delta, vega and curvature risk)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7149
  • Topic: Market risk
  • Date of submission:

Breakdown of currencies to be reported

What is the expected breakdown by currencies for the reporting of template J.01.00 and for the reporting of the other J templates [(J 02.00, J 03.00 and J 04.00), (J 05.00, J 06.00 and J 07.00), (J 08.00 and J 09.00) and (J 10.00 and J 11.00)] in the case that for J 01.00 the bank includes other currencies in addition to the minimum “material currencies” as defined in Article 1(3) of Delegated Regulation (EU) 2024/856 when reporting the aggregation of “all currencies”? Let us consider, for example, the case of a bank on which on a consolidated level three currencies (EUR, USD, GBP) are identified as “material currencies”, but the bank includes, on a voluntary basis, other currencies (e.g. MXN and BRL) for the calculation of the SOT, as it is considered in the bank’s internal management systems. Must the bank provide the breakdown by currencies for the J templates only for the “material currencies” (EUR, USD, GBP) or as well for the other “non-material currencies” (MXN and BRL)? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7148
  • Topic: Interest Rate Risk for Banking Book (IRRBB)
  • Date of submission:

Inclusion of Interim profits in CET1 ratio at half year

At the half year, where an institution has accrued for an interim cash dividend in line with its approved dividend policy and the policy also allows for the distribution of excess capital at the discretion of its Board, is the institution also required to deduct for a potential full year share buyback in its half year CET1 ratio where:  (i) its Board has not made any decision on an interim or full year share buyback and its distribution policy does not formally commit the institution to an interim / full year share buyback;  (ii) no share buyback application has been made to the ECB;  (iii) no explicit guidance on the quantum of a share buyback has been given to the market (at either the HY or FY), and therefore undistributed capital is fully available for use in H2 to cover unexpected risk or losses should they occur

  • 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: 2024_7147
  • Topic: Own funds
  • Date of submission:

Internal hedges in the market risk thresholds computation

Should internal hedges be included in calculation of the size of institution's on- and off-balance-sheet business that is subject to market risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7146
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 31/07/2024

application of credit conversion factor in accordance with article 235

How shall institution calculate risk-weighted exposure amounts for off-balance-sheet exposures with unfunded credit protection, to which those institutions apply the standardized approach? How shall credit conversion factor be applied to the formula specified in article 235 before the application of risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7145
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/08/2024

Application of large exposure rules towards companies designated as financial holding companies

Should exposures of a financial holding company (Company A) to a company that is not an institution or a financial institution and is not covered by prudential consolidation ("Company B") be included in the statement of large exposures on a prudential consolidated basis at the level of Company A, taking into account Company A is not an institution within the meaning of Art. 4, Para. 3 of Regulation 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7144
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/07/2024

Retained collateralized issuances

Should assets used as collateral for retained issuances be treated as encumbered assets?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7140
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 31/07/2024

Exclusion of cash withdrawal services from PSD2

Is it a prerequisite for an ATM operator,to qualify for the exemption of article 3(o), to co-operate with a Payment Service Provider (authorised within the EEA or with a relative passport where necessasry) offering payment service number 2 of the Annex 1 of the PSD2?  

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7136
  • Topic: Other topics
  • Date of submission:

Maturity weighting of gross JTD amounts to calculate net JTD amounts

Are the maturity weighting of gross JTD amounts and three months floor of Art. 325x(3) applicable only to gross JTD amounts in cases where no offsetting is possible or are they applicable more generally to all gross JTD amounts?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7129
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 13/09/2024