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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.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

List of Q&A's

Contributions to Resolution Financing Arrangements - clarification regarding the use of the risk indicator of "Own funds and eligible liabilities held by institution in excess of MREL" in calculation of the contributions to resolution financing arrangements

How to determine the risk indicator "Own funds and eligible liabilities held by the institution in excess of MREL" referred to in Article 6 (2)(a) of the Commission delegated regulation (EU) 2015/63 within the calculation of the ex-ante annual contributions to resolution financing arrangements.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements

MREL determination and resolution plan updating in a group where parent entity is on simplified obligations while the subsidiary does not

In case of a group where the parent  entity applies simplified obligations (according to which the resolution plan is updated every 2 years) while the subsidiary does not apply simplified obligations, how is the joint decision (on the resolution plan and also on MREL) taken?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2016/1075 - DR on the content of recovery and resolution plans, financial support, independent valuers, contractual recognition of write down and conversion powers, notices of suspension and resolution colleges

EBA VR Taxo v3.2.1, Validation rule v11909_m to v11961_m; and v7820_m; v7821_m

Why there is still some validation rules which control if Financial Garantee and Collateral are less than the Gross Carrying Amount in FINREP 18?

  • 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

Structural FX: considering tax effect when calculating maximum open position that can be waived from FX charge

May tax effect be considered when computing the maximum open position that can be waived in the context of the structural FX provision referred to in Article 352(2) of Regulation( EU) No 575/2013?

  • 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

Boundary between the banking book and the trading book

A bond issued that has an automatic early redemption option linked to an equity index can be treated as follows: - the market value net of the embedded option related to early redemption is included in the banking book; - the option related to early redemption is unbundled and placed in the trading book so that all risks participate in the market risk requirement? In the case of not being able to unbundle the option related to early redemption and thus placing the equity risk in the trading book, should the institution move the entire bond within the trading book? Or does the bond remain in the banking book and can the early redemption risk from the equity index be managed in the banking book?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Assessing the level of concentration, measures and indicators

What is EBA's opinion regarding the inclusion or not in the determination of the Herfindahl-Hirschman Index (used for determining additional capital in case of credit risk concentration) of the exposures for which the RWA is zero (zero capital allocation) ?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2022/03 - Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing under Directive 2013/36/EU

EBA mapping tool deviation CR7-A column "Total exposures"

Following EBA ITS 2020/04, the instruction to fullfill CR7-A first column - Total exposures- recommands to disclosure :  "Exposure value (post conversion factors) in accordance with Articles 166 to 167 CRR Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee."  => According to our understanding, we select EAD post conversion factor before credit risk mitigation (CRM) and not after CRM

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Reporting of deposit facility (overnight deposits with the central bank) in template C_66.01

It is not clear in which row of template C_66.01 the overnight deposits in central banks such as the deposit facility shall be reported.

  • 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

Definition of residential property

I am bringing a point to your notice where in article 4(75) the residential property is defined as a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden. This has led to quite some confusion in my organisation as to what definition applies in other Nordic countries. Given that we have a presence in all Nordic countries, we expect a generic definition which can be consistently applied for the correct treatment of collateral types. These further also impact how the customer segments (rating systems) are defined as according to the regulation the exposure secured by RRE must be excluded when defining thresholds for retail vs non-retail customers. Therefore, I request you to either 1) modify the definition so that it is clearer if the same definition can be applied in all countries, or 2) Remove the specific country name "Sweden" from the definition, or 3) the institutions can follow local FSAs for such definitions, or 4) They can have their own guidelines for such definitions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Opinion to Question 2020_5551, whether an institution is allowed to apply the supporting factor for SMEs and the supporting factor for infrastructure projects simultaneously.

A pending Question 2020_5551 asks an opinion whether an institution is allowed to apply the supporting factor for SMEs (Art 501) and the supporting factor for infrastructure projects (Art 501a) simultaneously. I share here my opinion to help the answer, as it would be important to our institution, and I think the answer is simplier than thought suggested on that question. The pending question I am referring to is under the link https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2020_5551

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Collateral swaps where the borrowed and lent collaterals are in different currencies

For a collateral swap where borrowed and lent securities are subject to the separate reporting  as referred to in Article 415(2) of Regulation (EU) 575/2013, we wonder how the transaction must be reported in the c75 , or eventually in 2 different transactions in c73 and c74 but in this case we don't know in which cells and with which weight.  For example, for a settled collateral swap where level 2B USD – market value of 150m is lent and level 2A EUR – market value of 120m is borrowed.  The amounts are already converted into the reporting currency. And we raise the same question if the transaction is forward starting in the LCR window and maturing outside.  

  • 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

One Percent threshold to report an institution in the TOP 10

Should the institution report the section 1 of C67.00 based of 1% of total liabilities or based of 1% of total liabilities reported in section 1? In other words, based on Q&A 2018_4209 which has been published after the release of DPM 3.00 will you updated AMM ITS?

  • 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

Transitional provisions under the IFR (Regulation 2019/2033)

How should the “twice the relevant own funds requirement pursuant to Chapter 1 of Title I of Part Three of Regulation (EU) No 575/2013”, referred to in article 57(3)(a) of Regulation 2019/2033 be understood?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Fixed overheads - deduction of expenses related to exchange rate differences for money belonging to clients and for which investment firms provide custody services according to MIFID

Can expenses related to exchange rate differences, only for the money (with amounts in foreign currency) belonging to the clients and for which the investment firm provides custody services according to MiFID, also be deducted from the total expenses even though they are included under total expenses in accordance with the relevant accounting framework?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of trading book according to new IFD/IFR

Should the proprietary positions of the investment firm in the financial instrument in order to invest own funds of the investment firn which are held until maturity (for long-term) be recorded in the non-trading book and thus for such cases the investment firm would not need to have licence for dealing on own account?     

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Definition of NPL Ratio for EBA Dashboard and Disclosure

Please clarify, whether or not this inconsistency between NPL ratio definitions in a) EBA Dashboard and b) Disclosure is intended, and which definition is used by EBA for classifying an institute as a “High NPL Bank” (5% threshold).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Regular buy and sell activity between ALM/Treasury departments and internal market making desks (Trading Book)

Are transactions between ALM/Treasury (identified as Banking Book) and an internal market making desk (Trading Book) in the scope of Article 104a (Re-classification of a position) Regulation (EU) No 575/2013 of the European Parliament and of the Council (CRR), even when such transactions fulfill the following conditions: They are conducted on an arm’s length basis (the market making desk in the Trading Book is considered as any other client, identical to external counterparties); The purpose of such transactions is to pursue prudential objectives (such as market testing of the HQLA buffer, inter alia).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Clarification on use of prearranged and highly reliable funding arrangements

If a CSD-banking service provider has routine credit at a central bank of issue in the EU, are the requirements in Article 11, paragraph 1, subparagraphs (b) and (d) simultaneously met?

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)

Clarification on the need for a prearranged and highly reliable funding arrangement to liquidate collateral referred to in Article 11, paragraph 2

What type of arrangement is required under Article 11, paragraph 2, subparagraph (c), point (i)?

  • Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)

Reporting outflows from covered bonds and asset-backed securities in COREP template C 73.00

In which row of template C 73.00 should institutions report the outflows from debt securities such as covered bonds or asset-backed securities issued by the reporting institution?

  • 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