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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

Ready access to bonds giving natural hedging to the banking book

Can HQLA assets whose sale would result in a breach of internal limits for IRRBB be considered as free and readily accessible under Article 8 of Commission Delegated Regulation (EU) 2015/61?

  • 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: 2019_4596
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Provisions as part of the own funds

Can provisions that are made against loss events in the past (i.e. previous accounting periods) be used as a capital substitute to cover future losses? Are these provisions available with a high degree of certainty?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4583
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Countercyclical capital buffer (CCB) relevant exposures

Should sovereign and institutions exposures in default (under Article 112.j of Regulation (EU) No 575/2013) and exposures to institutions with a short-term credit assessment (under Article 112.n of Regulation (EU) No 575/2013) be excluded from the relevant exposures required for CCB purposes?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2117
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Market Risk Swap as credit derivative (i.e. Total Return Swap) applied for reducing market risk capital requirements

Can the financial contract described below (“Market Risk Swap”, MRS) be regarded a credit derivative (i.e. Total Return Swap, TRS) and be applied for reducing market risk capital requirements?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4572
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Speculative immovable property financing definition with respect to debt-for-asset swaps

In the case described below, in individual level of reporting, should exposures to the SPVs be treated as "Speculative Immovable Property Financing" and be risk weighted at 150% under Article 128 of the CRR, or should they be RW at 100% which reflects the RW of the property included in the Consolidated level of reporting (intercompany balances are eliminated and the asset remaining in the consolidated balance sheet is the property held for sale)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4559
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Treatment of exposure for unsettled repurchase and reverse repurchase agreements

For leverage ratio calculation purposes, it is asked to clarify the exposures to be recognized for both repurchase and reverse repurchase agreements, with specific reference to unsettled transactions.

  • 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: 2019_4499
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Use of the last available data for risk quantification sample and out-of-time validation sample

Given the requirements of articles 175(4)(b) and 179(1)(a) , in case of a model development, should the last available one-year snapshot be used for risk quantification purposes (i.e. for the computation of the Long-run average default rate) or be set aside for validation tests?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4495
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of exposure in non-significant business units and relating “significance” test

A) Can you please clarify how exposures in non-significant business units in Art. 150(1) (c) should be intended? B) Can you please clarify which are the criteria for such a “significant” test.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4490
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Barrier options

Should barrier options also be seen as call and put options to which the standard supervisory delta formula as expressed in article 279c(1a) should be applied ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2019_5064
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Original maturity of credit lines until-further notice

For risk classification as off-balance sheet item according to Annex I CRR, is the original maturity longer than one year where non-retail credit lines until further notice (i.e. no fixed maturity) may be cancelled with 3 months advance notification period and even immediately in case the borrower becoming delinquent or declaring bankruptcy?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4486
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Applicable methodology for unfunded reserves and liquidity reserves

How should the risk-weight of reserves for which the computation of D and A is not required be determined?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4466
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Implementation of the Article 12e(4) of Regulation EU 2019/876 (“CRR”) for subsidiaries that do not belong to the same resolution group as the EU parent institution.

Is it possible to adopt a reading of Article 12a and 92a CRR that would allow the application of the provision to subsidiaries established in third countries that are not included in a resolution group of the parent institution in line with point (83b)(iii) of Article 2(1) of Directive 2014/59/EU (“BRRD”)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5057
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Allocations to the funds for general banking risk

Can banks allocate items to their funds for general banking risk without waiting for the annual accounts? If yes, is Art. 26 (2) CRR applicable for allocations during the financial year?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4453
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

To which exposure class the fair value changes of the hedged items in portfolio hedge of interest rate risk should be assigned

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned. The recorded exposure relates to a bottom layer macro fair value hedge of mortgage loans. Due to the application of the bottom layer macro fair value hedge approach there is no individual allocation of the exposure value of the hedged item to the individual mortgage loans. Should this exposure be treated as an 'exposure secured by mortgages on immovable property' or as 'other items', and subsequently, which risk weight should be applied to this exposure.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4441
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Short-term Exposures

What does short-term in this context mean? 90 days of remaining maturity or original maturity of 1 year?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5053
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

SA or IRB treatment of CCPs for AIRB banks

Does article 306(1)(b) of the CRR imply (or not) that trade exposure and default fund contributions to non-qualifying CCPs should be considered as exposures designated to the SA even in case an IRB authorization exists?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4437
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Operational Risk business line mapping

When an entity carries out an activity for retail customers in a supportive manner to lending and taking deposits from customers in such a way that the entity has neither a separate organisational unit nor a specific internal P/L account for this activity, should it be allocated to the retail banking business line? On the other hand, if the said activity is carried out by the entity in a separate organisational unit with its internal management accounting statements (not necessarily a different legal entity), should its relevant indicator (calculated from the management P/L account) be mapped into the business line established by Article 317 CRR (as an example, in the case of placement of financial products, to retail brokerage)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4433
  • Topic: Operational risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022