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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

CRD Art. 140(4) in conjuction with CRR Art. 327 and CRR Art. 112

For the purpose of reporting as per point 3.4.3.2 of Annex 2 (Annex 2 of EC Implementing Act on Reporting) page 109 ''Own funds requirements for relevant credit exposures, trading book exposures and securitisation exposures in accordance with Article 140(4) CRD and determined in accordance with Part Three, Title II and Title IV of the CRR'' , are the referred CRR Art 112 restrictions under CRD Art 140(4) applicable also to IRB and also specifically for the purpose of point (b) Art 140(4) do the restrictions of CRR Art. 112 apply considering CRR Art. 327?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2016_2594
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Cash variation margin received in the same currency of settlement of the derivative contract

Second sub para. of Art. 429a(3) of the leverage ratio Delegated Regulation indicates that: "For the purposes of point (c) of the first subparagraph, where the derivative contract is subject to a qualifying master netting agreement, the currency of settlement means any currency of settlement specified in the derivative contract, the governing qualifying master netting agreement or the credit support annex to the qualifying master netting agreement.” As "currency of settlement" is not sufficiently specified and differs from standard market documentation terminology, we we would request to provide further explanation on the interpretation of “currency of settlement”.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2016_2570
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Liquidity waiver for institutions controlled by EU parent financial holding company

Regarding the application of Article 8 (1) of Regulation (EU) No 575/2013 (CRR), can it be considered to extend the option to accept a liquidity sub-group to cases where the parent company is a EU parent financial holding company owning a single credit institution or a single investment firm, if all the conditions laid out in article 8 (1) of Regulation (EU) No 575/2013 (CRR) are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2549
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Deductions of holdings of own funds instruments issued by financial sector entities included in the scope of consolidated supervision under art 49.2 CRR

For what specific purposes competent authorities may determine deductions of holdings of own funds instruments issued by financial sector entities included in the scope of consolidated supervision, apart from purposes mentioned in art 49.2: i.e. structural separation of banking activities and resolution planning? Should competent authorities determine deductions for all institutions in the member state or should it be more institution specific decision? In case of institution specific decision, should it be subject to joint decision, taken by the competent authorities of the home and host Member States?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_908
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Confirmation of waiver in particular situations

Is it confirmed that the waiver of the provisions in respect of deduction applies to capital instruments or subordinated loans that an entity holds or has granted temporarily for the purposes of a financial assistance operation designed to reorganize and save another entity even prior to the CRR/CRDIV regulations coming into force? Is it confirmed that the waiver of the provisions in respect of deduction for capital instruments or subordinated loans envisaged for the purposes of a financial assistance operation designed to reorganize and save the entity still applies also with reference to holdings already acquired but still necessary for the purposes of the financial assistance operation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_875
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Interpretation of EADitotal and Mi in the standardised CVA charge.

Where there are several trades with the same counterparty but there is no regulatory netting agreement in place: Is one EADitotal and one Mi applied per counterparty within the formula? If one EADitotal and one Mi is applied per counterpart, can the Mi be calculated as the weighted average notional? (ambiguity arises because the CRR guidance referred to on maturity only references trades in a netting set for the calculation of a weighted average notional (article 162 (2) b)) If in the above case it is determined that individual trades are to be treated separately with no weighted average notional maturity calculated, is each EAD and M applied and treated as a separate counterparty within the formula?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_830
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Transfer Restrictions

With regards to transfer restrictions on liquid assets held in third countries Article 417 (b) specifically refers only to liquid assets reported under Article 416 (1)(c) only and not those reported under Articles 416 (1a), (1b) or (1d)? It would appear that transfer restriction are not considered for assets reported under 416(1)(a), (1)(b) or (1)(d). 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_802
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Calculation of the value of exposures resulting from the settlement of debt instruments and equities processed through a delivery-versus-payment (DvP) mechanism.

1. Can it be understood that exposures arising from the settlement of debt instruments and equities, both to the client and the CCP, do not have a capital requirement under Pillar 1, which seems to be the proposed treatment under Basel II (paragraph 89). 2. As for Article 390, 6, b do the exposures mentioned in question 1 fall outside large exposure calculations, regardless of being to the client or to the CCP? 3. Since the settlement of debt instruments and equities seams to falls out of the scope CRR’s own funds requirements for exposures to CCP’s, what is the corresponding treatment (for both own funds and large exposure calculations) for collateral posted and contributions to the default fund of a CCP for such instruments? 4. Should collateral posted as required by the CCP to the General Clearing Member but deriving from transactions with their non-clearing members be considered as an exposure to the clients? If so, the treatment would be such as in questions 1 and 2 for capital and large exposures calculation purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2532
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Distinction between Securitisation and Specialised Lending Exposures

How can specialised lending schemes used to finance physical assets (such as e.g. ships, aircrafts, projects or real estate) and involving direct payment obliga-tions of different seniority owed by an SPV, be distinguished from securitisations?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_786
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Deposits by Financial Customers

Do deposits from Financial Customers with a remaining maturity of more than 30 days qualify for a 100% outflow rate for LCR purposes or shall they be excluded from calculation? (e.g. a 3 months unsecured deposit from an investment firm).

  • 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: 2015_2529
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Outflows

Article 423 subparagraph 5(b) states that: 5. The institution shall add an additional outflow corresponding to: (b) collateral that is due to be returned to a counterparty; What is meant by “returned”? Is this intended to be “not yet posted”? Collateral which is due to be posted by the institution, but has not yet been, is not necessarily collateral which is being returned to a counterparty.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_782
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Can multiple exemptions be applied to an exposure at the same time?

This question relates to the application of multiple exemptions from article 400 (2) CRR in specific cases. As stated in article 400 (2) CRR „competent authorities may fully or partially exempt exposures“. Which exemption should be applied to an exposure if it falls under the incidence of more than one of the partial exemptions from article 400 (2) CRR? We would like to give an example related to this question. In Germany, a partial exemption of 75% may be applied according to article 400 (2) c) CRR for exposures, excluding participations or other kinds of holdings, incurred by an institution to its parent undertaking, to other subsidiaries of that parent undertaking or to its own subsidiaries, in so far as those undertakings are covered by the supervision on a consolidated basis to which the institution itself is subject, in accordance with this Regulation, Directive 2002/87/EC or with equivalent standards in force in a third country. Furthermore, according to article 400 (2) i) CRR an exemption of 50% may be applied to medium/low risk off-balance sheet undrawn credit facilities referred to in Annex I.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2506
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

EBA Q&A 2013_160

This is a follow up question to Q&A 2013_160.A matched (hedged) FX position will result in four cash flows; an inflow in currency 1 and an outflow in currency 2 with counterpart A and an opposite outflow in currency 1 and an inflow in currency 2 with counterpart B.At an all currency LCR level the inflow and outflow with counterpart A can be netted in line with 422(6) and the inflow and outflow of counterpart B can be netted in line with 422(6), giving rise to a net position with each couterpart which will be a very small FX translation difference; one will be a small inflow with one counterpart and one a small outflow with the other counterpart.However at a single currency level the off-setting cashflows are in the same currency, but are not with the same counterpart, and so strictly under LCR rulles they can not be netted. They will therefore be reported gross as an inflow with one counterpart and outflow with the other counterpart, but the inflows will be subject to the 75% cap of outflows in each currency LCR if the 75% cap on inflows apply to both the all currency and the single currency.This will give rise to the sum of the individual currency LCRs showing a worse position than the all currency combined and we question if this is the intended outcome.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_625
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Credit valuation adjustment, standardized method to calculate own funds requirement

"Maturity" definition referred to Art 384 para. 1 for the CVA standardized method calculate for non-IMM banks only refers to Art. 162(2)(b), i.e., derivatives covered by the master netting agreement. However, if derivatives are not included in a netting set and no collateral has been taken into account, how is maturity for the purpose of CVA standardized approach calculation determined?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_622
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Grandfathering of Tier 1 instruments w.r.t. Dividend Stoppers and Pushers

When considering the eligibility into Tier 2 for grandfathered Tier 1 instruments - lets use an example where a T1 bond (step or non-step) has a recurring call date only once every 5 years (therefore, from an original maturity perspective it should be eligible for Tier 2 capital as a 5 year bond) Does your comment re. dividend pusher/stopper language restrict the ability of such a bond (assuming it has a dividend pusher/stopper) exclude it from Tier 2 eligibility? If Yes, why are these being treated differently from regular Tier 2 instruments (which do not have dividend pushers/stoppers) that have must pay coupons i.e. an obligation to pay a coupon, which if not paid constitutes a default and thus has stronger implications than on stopping coupons on a T1 bond as mentioned above

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_537
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Secured central bank lending and liquidity buffer adjustment

Does the liquidity buffer have to be reduced by outflows from secured lending even if the lender is a central bank and the outflow is 0%-weighted?

  • 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: 2015_2495
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Relevance of Recital 50 with regard to the securitisation definition in accordance with Article 4(1) point (61)

The last sentence of Recital 50 of Regulation (EU) No 2013/575 declares: “An exposure that creates a direct payment obligation for a transaction or scheme used to finance or operate physical assets should not be considered an exposure to a securitisation, even if the transaction or scheme has payment obligations of different seniority.” Taking into account that the definition of a securitisation in Article 4(1) point (61) of Regulation (EU) 2013/575 does not permit an exemption for transactions or schemes used to finance or operate physical assets, which exposures are considered as creating a direct payment obligation in the meaning of the last sentence of Recital 50 of Regulation (EU) 2013/575?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_528
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Corporate Treasury Entities

How should a non-banking entity within a non-financial group set up to act as a central corporate treasury function be classified for the purposes of LCR?

  • 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: 2015_2426
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of 'continuity'

How should the term ‘continuity’ or ‘continuing issue of bonds’ be defined?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2337
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Non material losses

The definition of what is a non-material loss is not defined within Article 472 of Regulation (EU) No 575/2013 (CRR); is it possible to clarify what ‘material’ / 'non-material' is? Can you advise how- if applicable- such non-material losses are treated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_448
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022