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List of Q&A's

Interest expenses categories

Under which heading of interest expenses should be declared commissions paid on commitments received ?

  • 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: 2021_5778
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/02/2022

Classification of derivative exposures in a CIU for standardised approach

How shall own funds requirement for a CIU be reported in COREP template C07.00 for standardised approach, in case the underlying exposure is a derivative, and the exposure value is calculated in accordance with Article 132a of CRR2 and using the methods laid down in the Chapter 6? Are institutions allowed to report the underlying derivative exposures in a CIU in rows 0070 – 0080 of template C 07.00 as on- or off-balance sheet exposure subject to credit risk?

  • 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: 2021_5774
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 28/10/2022

Maturity calculation under IRB for exposures that only have contractual cashflows in the form of fees

Does Article 162(2)(a) of Regulation (EU) No 575/2013 (CRR) apply to exposures for which cash flow schedules contractually payable by the obligor are only fee-related (e.g., as in the case of guarantees)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5773
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Deductions

The capital items and instruments in the NSFR shall be reported prior deductions. The deductions should be reported as other assets with a RSF of a 100% (Article 429o, point (a), CRR). Should the off-balance deductions be reported on this row as they need an associated RSF, or they shouldn’t be reported at all?

  • 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: 2021_5772
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Money broking

What specific services and products are part of money broking?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5771
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 22/12/2022

Qualifying holdings assessment pursuant to the exercise of resolution powers

In the context of the application of resolution tools or the exercise of resolution powers under Directive 2014/59/EU (BRRD), that may imply the creation or increase of qualifying holdings, does the exercise of control by a resolution authority over an institution under resolution or of some or all the rights and powers conferred upon the shareholders of an institution under resolution make the resolution authority subject to the prudential assessment envisaged by Article 22 CRD? Where the RA of Member State A applies resolution tools or exercises resolution powers in respect of an entity under resolution located in Member State A, which owns qualifying holdings in an entity located in Member State B, is the RA of Member State A subject to the prudential assessment of the competent authority of Member State B in as much as holder of indirect qualifying holding?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5765
  • Topic: Interactions with the CRR / CRD IV and the BRRD
  • Date of submission:
  • Published as final Q&A: 22/12/2022

Obstacle to the provision of payment initiation and account information services

Should Article 32.3 of Regulation (EU) 2018/389, read together with paragraphs 33 to 41 of the Opinion of the European Banking Authority on obstacles under Article 32(3) of the RTS on SCA and CSC, be interpreted so as to consider that interface implementations that require, in a redirection approach, Payment Initiation Services Providers (PISPs) to always transmit the payer’s IBAN to initiate a payment order, are an obstacle to the provision of payment initiation services because the payment service user is required to manually enter their IBAN while in the PISP’s domain? Should Article 32.3 of Regulation (EU) 2018/389 be interpreted identically where the interface implementations require Account Information Service Providers (AISPs) to always transmit the IBAN(s) of the account(s) to be accessed, therefore requiring the payment service user to manually enter their IBAN(s) while in the AISP’s domain?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2021_5763
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 23/04/2021

Homogeneously managed exposures

How should “homogeneously managed exposures” be understood for the definition of “type of exposures”, which then in turn defines the scope of a “rating system”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5762
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 07/09/2022

Assignment to grades or pools

Do the requirements in Article 171(2) CRR refer to the Estimation of Risk Parameters or to the Application of Risk Parameters?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5761
  • Topic: Model validation
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Treatment of guaranteed export financing transactions under Standardised Approach

Under the Standardised Approach for credit risk, can institutions apply a 0% risk weight to the guaranteed part of export financing transactions if (i) the loan is denominated and funded in the domestic currency of the central government acting as guarantor and (ii) the guarantee is also denominated in this currency while the domestic currency of the borrower is different?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5760
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

On the access to safeguarding accounts through the Application Programming Interface (API)

Shall a safeguarding account of the e-money institution (EMI) or/and of the payment institution (EMI and PI) within the account servicing payment service provider (ASPSP) be considered as a payment account and therefore should be accessible (displayed) through the Application Programming Interface (API) of ASPSP?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5755
  • Topic: Other topics
  • Date of submission:
  • Published as final Q&A: 06/01/2023

Definition of exposures arising from mortgage lending

Which value of the exposure is the amount that can be reduced, when referring to "the pledged amount of the market value or mortgage lending value of the property concerned, but by not more than 50 % of the market value or 60 % of the mortgage lending value”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5756
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 10/02/2023

Treatment of cured defaulted exposures

For the treatment of cured defaulted exposures, a probation period of 90 days with no default triggers must apply before the exposure is moved back to a non-defaulted status. According to Article 178(1)(b CRR) default shall be considered to have occurred with regard to a particular obligor when the obligor is more than 90 days past due on any material credit obligation. However, if the material arrears fall below the thresholds, the arrears counter will reset to 0. Should the probation period of 90 days with no default triggers apply before the exposure is moved back to a non-defaulted status?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2021_5754
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Collateralized loans below 35% Risk Weight

Could you please clarify whether in case of collateralized loans (collateralized credit claims) the applicable risk weight (based on the CRR standardised approach) used for classifying certain assets in NSFR refers to the risk weight after credit risk mitigation (i.e. considering the collateral) of the loan?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5753
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Reporting of a net reverse repo when the collateral leg has a higher RSF factor

How should we report a net reverse repo (resulting from the netting of SFTs) when the collateral leg has a higher RSF factor?

  • 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: 2021_5752
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 26/11/2021

Supervisory delta for commodities with negative prices

Article 279a (1), (a) of the CRR establishes the formula to be used for calculating the supervisory delta of options mapped to all risk categories except for the interest rate category. Can such formula be made compatible with market conditions in which commodities may have negative prices?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5747
  • Topic: Credit risk
  • Date of submission:

Aggregation of separate client exposures for a transaction with underlying credit risk exposure

Is it necessary to group and aggregate all separate client exposures from a single transaction with underlying credit risk to one exposure and, as such, treat this aggregated separate client as a single client exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2021_5746
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Public development credit institution - reporting in Rows 0262, 0263, 0264 of C 47

The instructions for rows 0262, 0263, 0264 of the C 47 template (DPM 3.0) refer to same Articles 429a(1)(d), 429a(2) and 429a(3) of the CRR. Further, the guidelines about public development credit institutions referred to in CRR article 429a(2) are the same, and instructions for the rows 0262, 0263 and 0264 of C 47 are similar. How to distinguish the exposures in these 3 rows?

  • 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: 2021_5743
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 10/09/2021

Calculation of the insufficient coverage for NPEs and capital absorptions related to Pillar 1 requirements on the same exposure

Regarding the applicable amount of the insufficient coverage to be deducted from own funds as per Article 36 (1) (m) CRR, to be determined at exposure level according to Article 47c(1) (b) of Regulation (EU) 2019/630, should the credit institutions applying the IRB approach consider the Pillar 1 capital absorptions already computed for credit risk for the calculation, on the same exposure, of the applicable amount to be deducted from CET 1 as per above, precisely to avoid any double-counting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5739
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 31/05/2022

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5738
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2023