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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.

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List of Q&A's

Embedded Derivatives under Art 24 (1) CRR versus Art 104 (3)

Can an institution be compliant with Art 24 (1) CRR, if embedded derivate and its host contract treated independently pursuant to Art 104 (3) Second Subparagraph of Proposal for amending CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6459
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Early redemption options

Would an early redemption option exercisable by the holder of the instrument cause such instrument to be ineligible altogether or would it merely result in its maturity being deemed shortened in accordance with Article 72c(2)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6456
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Query – Article 262 of CRR

With respect to Article 262 of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401, we would like to ask whether an institution which calculates risk-weighted exposure amounts under the Standardised Approach (SEC-SA) of Article 261, should apply p=0.5 in all securitisation positions (junior, mezzanine and senior) or such p value should only be applied in the senior securitisation position.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6448
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Calculation of goodwill included in the valuation of significant investments in insurance undertakings

A. For the purposes of a deduction under Article 36(1)(b) CRR as per Article 37(b), should the goodwill (Article 4(1) no. 113 and 115 CRR) included in the valuation of significant investments calculated excluding goodwill booked under an insurance subsidiary given that this goodwill is not included in the valuation of a significant investment of the bank (i.e. goodwill not included in the prudential consolidation as per Articles 1, 11, 18 and 24 of CRR and EBA RTS on the methods of prudential consolidation)?  B. Can you confirm that the goodwill booked under an insurance subsidiary (which is excluded from the valuation of significant investments as per prudential consolidation) should be treated as part of the equity exposure of the bank to the insurance subsidiary and this be risk weighted as per Article 49(1) and Articles 133 or 155 (depending on Standardized or Advanced IRB method)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6431
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Business line mapping of ancillary activities

For the purposes of assigning banking business activities to a determined business line, in the case that an institution carries out an activity that supports its retail business of deposits acceptance, considering that the institution has neither a separate organizational unit nor a specific profit and loss account for this supportive activity, should it be allocated to the “retail banking” business line? On the other hand, if such activity is carried out by the institution in a separate organizational unit as regards its internal management accounting statements (not necessarily included in a different legal entity), should it be considered as an activity consisting on the placing of financial instruments (as it is calculated from the management profit and loss account) , and thus be mapped into the “retail brokerage” business line?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6427
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Calculation of goodwill included in the valuation of significant investments in insurance undertakings

A. For the purposes of a deduction under Article 36(1)(b) CRR as per Article 37(b), should the goodwill (Article 4(1) no. 113 and 115 CRR) included in the valuation of significant investments calculated excluding goodwill booked under an insurance subsidiary given that this goodwill is not included in the valuation of a significant investment of the bank (i.e. goodwill not included in the prudential consolidation as per Articles 1, 11, 18 and 24 of CRR and EBA RTS on the methods of prudential consolidation)?  B. Can you confirm that the goodwill booked under an insurance subsidiary (which is excluded from the valuation of significant investments as per prudential consolidation) should be treated as part of the equity exposure of the bank to the insurance subsidiary and this be risk weighted as per Article 49(1) and Articles 133 or 155 (depending on Standardized or Advanced IRB method)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6419
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Upcoming deals in Liquiity risk reporting

Our institution currently reports the LCR including only deals wth value date prior or equal to the reporting date. We would like to include cashflows from contractual upcoming deals, from their trade date and before the actual value date. To raise funding, the bank issues debt securities and makes money market borrowing. As these deals are contractual, between the trade date and the value date we expect an inflow for the cash to be received as funding. Are we authorized to account these upcoming cashflows as inflows in the LCR? (between trade date and value date) And as soon as the value date occurs, the deal is booked as liabilities and it would become an outflow. The bank  makes money market lending. To be fair with the above approach, as these deals are contractual, between the trade date and the value date we expect an outflow for the cash to be delivered as a loan. Shall we  account these upcoming cashflows as outflows in the LCR? (between trade date and value date) And as soon as the value date occurs, the deal is booked as asset and it would become an inflow. If the above approach is approved by EBA, are we authorized to apply it only for Money market deals and issued securities? or shall we apply it for all deals? Our last concern is about the other reporting: If we apply this approach, shall we apply it as well to C66, NSFR? As it would make a deviation from the balance sheet in value date and especially the FINREP. Would it lead to EBA validation rules issues between the different reporting? Thank you,  

  • 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: 2022_6415
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Calculation of goodwill included in the valuation of significant investments in insurance undertakings

A. For the purposes of a deduction under Article 36(1)(b) CRR as per Article 37(b), should the goodwill (Article 4(1) no. 113 and 115 CRR) included in the valuation of significant investments calculated excluding goodwill booked under an insurance subsidiary given that this goodwill is not included in the valuation of a significant investment of the bank (i.e. goodwill not included in the prudential consolidation as per Articles 1, 11, 18 and 24 of CRR and EBA RTS on the methods of prudential consolidation)?  B. Can you confirm that the goodwill booked under an insurance subsidiary (which is excluded from the valuation of significant investments as per prudential consolidation) should be treated as part of the equity exposure of the bank to the insurance subsidiary and this be risk weighted as per Article 49(1) and Articles 133 or 155 (depending on Standardized or Advanced IRB method)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6408
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Own credit risk

Should own credit risk be considered in the Alternative Standardised Approach of the FRTB?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6406
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

SACCR - MPOR for derivatives between a clearing member and a CCP

Which is the MPOR that should be considered for derivatives between a clearing member and a CCP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6382
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Standardised Approach for Counterparty Credit Risk (SA-CCR) exposure value for a netting set subject to a margin agreement

For the calculation of the SA-CCR EAD according to the CRR2, does one need to calculate the EAD according to the CRR2 Art 275, 278 (that results into an EAD of €41m in the example), or does one need to apply the BCBS CRE 52 guidance (that results into an EAD of €378m in the example)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6354
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Instruments contemplated by Article 104(2)(i)

Pursuant to Art 104(2)(i) CRR, what is meant by 'options, or other derivatives, embedded in the own liabilities of the institution or from other instruments in the non-trading book that relate to credit or equity risk'. Does that mean capital instruments with embedded optionality like hybrids?   Kindest, Scott

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6347
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Control of high-quality liquid assets

Does Article 8(3) LCR DR allow for a setup where certain liquidity management services such as the monetisation of high-quality liquid assets are outsourced to an external party, i.e., outside the reporting credit institution?

  • 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: 2020_5523
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Floors in calculation of RWA- and RWA --

For the purpose of Template C103 institutions shall report RWA- and RWA--. according to the corresponding instructions (Annex IV), RWA- and RWA-- result from the application of PD- and PD-- (instead of the institution’s PD values). For this purpose, shall regulatory PD-floors as defined in Art. 160 (1) and 163 (1) CRR be applied?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
  • ID: 2022_6434
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Reduction, distribution and reclassification of share premium accounts related to own funds instruments

May an institution announce to the holders of own funds instruments the reduction, distribution or reclassification of related share premium accounts before that institution has obtained the prior permission of the competent authority foreseen under Article 77(1)(b) CRR?

  • 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: 2021_6031
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

AVC

Is AVC intended to apply to Multilateral Development Banks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

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

Credit faclity level

Is it possible to assign default according to the purpose of the loan (e.g only the exposure that was granted for renovation) and treat it as at facility level or not? In case of one agreement for 2 purposes and 2 amounts granted, from the regulatory perspective can we treat such approach as default assignment at facility level or not?

  • 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: 2020_5447
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022