List of Q&As

Exclusion of structural positions from the calculation of the overall net foreign exchange position

Can foreign currency positions arising from equity holdings in subsidiaries generally be excluded from the overall net foreign exchange position without specific hedges in place to mitigate the FX risk?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2015_2396| Topic: Market risk| Date of submission: 14/10/2015

Positions to include in the calculation of the overall net foreign exchange position

Should positions in foreign currency booked at historical cost be included in the calculation of the overall net foreign exchange position?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2015_2395| Topic: Market risk| Date of submission: 14/10/2015

Computation of RWA-/--/+/++

According to EBA Benchmarking ITS for 2021 exercise (end 2020), as provided in Annex IV Template 103, Institutions shall calculate and report RWA-/--/+/++ for the portfolios defined in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL this implies that RWA-/--/+/++ are required for more than one portfolio level. For instance considering the portfolio “CORP_ALL_0086_CT”, RWA-/--/+/++ have to be reported for: a. “CORP_ALL_0086_CT” opened by <regulatory approach> (i.e. CORP_ALL_0086_CT_AIRB_x0_Rx0_ALL) b. “CORP_ALL_0086_CT” opened by <regulatory approach> and <rating grade> (i.e. CORP_ALL_0086_CT_AIRB_x0_R01_ALL) c. “CORP_ALL_0086_CT” opened by <regulatory approach> and <country> (i.e. CORP_ALL_0086_CT_AIRB_AT_Rx0_ALL) d. “CORP_ALL_0086_CT” opened by <regulatory approach> and <country> and <rating grade> (i.e. CORP_ALL_0086_CT_AIRB_AT_R01_ALL) ITS also specifies that PD-/--/+/++ shall be based on a calculation performed separately for each obligor grade. Based on these requirements two possible interpretations are possible for PD-/--/+/++ and hence RWA-/--/+/++ computation: Approach 1: PD-/--/+/++ have to be computed at a unique portfolio level (e.g. the more granular one for each obligor grade – i.e. (d)) and then used as input to compute the RWA-/--/+/++ also for the other portfolio levels (a, b and c) following the hierarchical rule of Ptf_id. Approach 2: PD-/--/+/++ have to be computed for multiple portfolio level, i.e. portfolio level (b) and portfolio level (d) when a breakdown for obligor grade is required, and then used as input to compute RWA-/--/+/++ respectively for level (a) and (c) following the hierarchical rule of Ptf_id. In case of “Approach 1” the “obligor x” receives the same simulated PD values for all the portfolios (a, b, c, d) to which he belongs to. RWA-/--/+/++ computed on the different portfolio levels can be hence added up to superordinate portfolios, providing hierarchical relationships among the portfolios. In case of “Approach 2” the “obligor x” receives certain PD-/--/+/++ values for portfolios c) and d) and different PD-/--/+/++ values for portfolios a) and b), due to the different composition of portfolio which he belongs to. In this case hierarchical relationship is not ensured for RWA-/--/+/++ in portfolios c) and d) against portfolios a) and b), corresponding values cannot be added up. Which is the approach required, Approach 1 or Approach 2?

Legal act: Directive 2013/36/EU as amended by Directive (EU) 2019/878 (CRD5)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2020_5369| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 15/07/2020

Application of Credit risk mitigation (CRM) according to Chapter 4 of CRR to specialized lending exposures treated under the slotting approach

Is the application of CRM allowed for specialized lending exposures treated under the slotting approach in case credit protection (in particular guarantees) is not part of the security package (i.e. guarantee is not considered in the model used for specialized lending exposures)?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2020_5308| Topic: Credit risk| Date of submission: 16/06/2020

Validation rule v4910_m, C 103.00

What should be reported in a column 130 on a template C 103.00 when the EAD-weighted average of the LGD values of the exposures in a respective portfolio is over 150%?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2020_5270| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 20/05/2020

Validation rule v6210_m

What rules or regulations raise the upper limits of the RWA amount in relation to the amount of the EAD? What values in the column 040 should be reported in the template C 105.02, when the RWA is more than 12,5 times EAD?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2020_5212| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 17/04/2020

Clarification on requirement for SCA with dynamic linking for mobile initiated credit transfers (MSCT) using a proximity technology between the payer and the payee.

Can  mobile initiated credit transfers (MSCT) solutions whereby no mobile network is used during the transaction by the payer’s mobile device and whereby the latter communicates only via a proximity technology (e.g. NFC, QR-code, BLE, etc.) with the payee’s payment terminal be considered as a proximity payment whereby strong customer authentiation (SCA) may be applied without dynamic linking?

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: 2020_5365| Topic: Other topics| Date of submission: 14/07/2020

Incompatibility concerns of SCA in remote and unconnected environments

How can it be ensured that customers can continue to carry out payments onboard aircraft and ships whilst meeting the strong customer authentication (SCA) requirements which were neither conceived for nor tailored to remote or unconnected environments?

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: 2020_5360| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 09/07/2020

The presence of excess in the professional indemnity insurance (PII)

Is excess really not allowed in the professional indemnity insurance (PII) contract not to any extent or should competent authorities allow the presence of excess if it is small and the payment service provider can prove that they have the necessary funds to cover the excess with own funds?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/08 - Guidelines on the criteria on how to stipulate the minimum monetary amount of the professional indemnity insurance

ID: 2020_5334| Topic: Monetary amount of the professional indemnity insurance| Date of submission: 27/06/2020

Access to cost management tool

1. Are accounts where the online portal is a cost management tool considered in scope for Third Party Provider (TPP) access? 2. If so, where would responsibility sit with granting consent to access those accounts?

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: 2020_5226| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 05/05/2020

Obstacles to the provision of PIS and AIS

For a corporate account whereby Account Servicing Payment Service Providers (ASPSPs) require each user to be provided with specific access rights, could ASPSPs require the Payment Services User (PSU) to designate users allowed to access the account and initiate payments through a Third Party Provider (TPP) (meaning whitelisting a list of TPPs that can be used for each corporate PSU) or exclude the capacity for a PSU to rely on Account Information Service Provider (AISP)/ Payment Initiation Service Provider (PISP) services (blacklisting a list of TPPs) directly through the ASPSPs online banking environment?

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: 2020_5182| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 20/03/2020

Transaction and fraud reporting in relation to different SCA exemptions used by an acquirer and an issuer

In fraud reporting to the competent authorities, how should an issuer report transactions for which the acquirer has made an exemption? And how should an acquirer report transactions exempted by the issuer, as not all issuer only exemptions are included in the acquirer reporting table (Appendix D of the EBA Guidelines on fraud reporting)?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/05 - EBA Guidelines on fraud reporting under PSD2 (amended by EBA/GL/2020/01)

ID: 2019_4865| Topic: Fraud reporting| Date of submission: 12/08/2019

Explanation regarding the term "non-reducible"

Could you please explain what does mean the term "non-reducible" in the context of life insurance policy pledged to a lending institution?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_5010| Topic: Credit risk| Date of submission: 22/11/2019

Exposure value attributable to pledged securities

Do you agree that where a Third-Party Securities Borrowing Model that meets the criteria outlined in the Background, the borrower can be satisfied that it no longer has an “exposure” to the lender for the purposes of Articles 5, 111, 110 and Annex 1, and consequently, no capital charges under the CRR?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_5006| Topic: Credit risk| Date of submission: 18/11/2019

Discrepancies in the Counterparty Credit Risk Add-On calculations_Article 280d par.5

We have reviewed formulae in article 280e par. 5 and the supervisory supporting factor is only provided for commodities in point (e) (i) of art 277a(1) i.e. energy products, but does not give instructions what to use for other types of commodities (metals; agricultural products; other commodities; climatic conditions).

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_4994| Topic: Credit risk| Date of submission: 12/11/2019

Determination of SOT for non-maturity deposits

When calculating the change in EVE for the purpose of the Supervisory Outlier Test, in the case of non-maturity deposits, should the 5 year constraint be applicable to financial duration?

Legal act: Directive 2013/36/EU as amended by Directive (EU) 2019/878 (CRD5)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/02 - Guidelines on the management of interest rate risk arising from non-trading book activities

ID: 2019_4975| Topic: Supervisory review and evaluation (SREP) and Pillar 2| Date of submission: 30/10/2019

Applicability of CRR, Article 193 for institutions adopting the Advanced-IRB Approach

Shall an institution which has been granted permission the use of the IRB Approach with own LGD estimates consider art. 193 of CRR (in particular art. 193(1)) a binding requirement for exposures for which the AIRB Approach is applied?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

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

ID: 2019_4974| Topic: Credit risk| Date of submission: 30/10/2019

Calculation method for materiality ratio as mentioned within art 150 (2) to be compared against the 10%/5% threshold for the purpose of application of article 150 (1)(c) for equity exposure class

Can you please clarify how the materiality ratio should be computed with reference to the following points: 1. Should the numerator include only the exposures for which the application for PPU is being sought under article 150 (1) (c) by excluding exposures for which PPU has already been granted pursuant other points of Article 150 (1) and exposures not to be included in the calculation of RWA for equity exposure pursuant to Article 155 (1) (i.e. Equity exposures risk weighted at 250% in accordance with Article 48 (4) of Reg. EU 575/2013 and those deducted from CET1 in accordance with Part Two of Reg. EU 575/2013)?. 2. Should the ratio be computed only at solo level or both at solo and consolidated level, in case an application is limited to only one Legal Entity (LE) of a Large Group?

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

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

ID: 2019_4488| Topic: Credit risk| Date of submission: 28/01/2019

Scope of EBA/GL/2013/01

Do credit institutions fall within the scope of the EBA/GL/2013/01 once the Regulation (EU) no 680/2014 – ITS on supervisory reporting of institutions as amended by Regulation (EU) 2016/322 with regard to supervisory reporting of institutions of the liquidity coverage requirement started to apply from 10 September 2016?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2013/01 - Guidelines on retail deposits subject to different outflows for purposes of liquidity reporting

ID: 2017_3196| Topic: Liquidity risk| Date of submission: 02/03/2017

Multilateral development banks are considered non-financial customers ?

Multilateral development banks are considered non-financial customers ?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_5032| Topic: Liquidity risk| Date of submission: 10/12/2019