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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

Calculation of absolute value that should be considered according to Article 47c CRR as amended by Regulation UE 2019/630- Deduction for non-performing exposure

How to calculate the absolute value attributable to each non-performing exposure “where the absolute value attributable to each non-performing exposure is determined by multiplying the amounts deducted pursuant to point (d) of Article 36(1) by the contribution of the expected loss amount for the non-performing exposure to total expected loss amounts for defaulted or non- defaulted exposures, as applicable" as indicated in the Article 47c 1(b) (iv)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5038
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Counterparty of deposits taken from a fiduciary bank

Do fiduciary deposits that are taken from a fiduciary bank for risk and reward of an underlying retail client qualify as retail deposits as defined in article 3 of the Delegated Regulation 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: 2018_4412
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Fair value adjustments that arise as a result of applying fair value hedge accounting

Should fair value adjustments which arise as a result of applying fair value hedge accounting to mitigate interest rate risk be treated under the CRR credit risk framework or under a different risk framework? And if under a different risk framework, which risk framework should that be?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4406
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure amount for unfunded default fund contribution (UDFC)

How should the exposure value of UDFC from an own fund requirement and from a leverage ratio perspective be calculated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4364
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of sponsor under Regulation (EU) No 2017/2402 (the Securitisation Regulation)

Does the definition of “sponsor” in the Securitisation Regulation include investment firms that are not located or established in the European Union?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4311
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

RWA calculation and the applicable amount of insufficient coverage for non-performing exposures deducted from CET1 items

Under Article 151(1) CRR, can non-performing exposures, or parts thereof, belonging to one of the exposure classes referred to in points (a) to (e) and (g) of Article 147(2) CRR, be exempted from being risk-weighted to the extent that the related applicable amounts of insufficient coverage for those non-performing exposures have been deducted from Common Equity Tier 1 items, in accordance with Article 36(1) (m) CRR2? Can the applicable amounts of insufficient coverage for non-performing exposures belonging to one of the exposure classes referred to in points (a) to (e) and (g) of 147(2) that have been deducted from CET1 items, in accordance with Article36(1)(m) CRR, qualify as 'exposures deducted from own funds' or 'exposures deducted from Common Equity Tier 1 items, Additional Tier 1 items or Tier 2 items, for the purpose of Article151(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5031
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight for new asset class of non-preferred senior debt

What risk weight should be applied to non-preferred senior (NPS) debt, under the standardised approach for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4306
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Interpretation of articles 36 (1) f and 42 of CRR regarding equity-settled share-based payments.

How should be treated shares that are bought and specifically affected to hedge equity-settled share-based payments (payments in equity instruments) ?

  • 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: 2019_5022
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of credit institution

Is the definition of credit institution as stipulated by the CRR fulfilled, if a company operates in the area of credit granting while its holding company issues corporate bonds ultimately listed to the open market? More precisely, does the issuance of bonds by a holding company, first as a private placement but ultimately listed in the open market, whose subsidiary operates in the area of credit granting  qualify  as “continuing issuing repayable funds”, or is this activity are exempted from the scope, e.g. based on the CRD IV, recital 14?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4279
  • Topic: Other issues
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Treatment of purchase price discount or specific credit risk adjustment in the determination of the maximum risk weight for senior securitisation positions using the look through approach where the SEC-IRBA method is used to determine the risk weight of the securitisation position.

How should the purchase price discount or specific credit risk adjustment be taken into account to allow institutions to assign the senior securitisation position a maximum risk weight equal to the exposure weighted-average risk weight that would be applicable to the exposures as if the underlying exposures had not been securitised when an institution uses the SEC-IRBA method to risk weight the securitisation position (Article 267(1) and (2) as amended by Regulation (EU) 2017/2401).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4161
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

PD Calibration Sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a Through-the-Cycle (TTC) model, under which conditions it is mandatory to adopt the current portfolio or a multi-year snapshots as calibration sample? And consequently should the calibration testing in validation phase verify the alignment between the Central Tendency and the PD estimations on recent portfolio snapshot or multiyear sample?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2018_4159
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Purchased credit derivative protection against a counterparty credit exposure

Does a purchased credit derivative protection against a counterparty credit exposure is out of the scope of own funds requirements for CVA risks in application of article 382?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5011
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Non-CET1 Instruments absorbing losses at the same time as CET1 instruments

Article 28(1)(i) requires that "(i) compared to all the capital instruments issued by the institution, the instruments absorb the first and proportionately greatest share of losses as they occur, and each instrument absorbs losses to the same degree as all other Common Equity Tier 1 instruments;". Would it be permitted to have a non-CET1 instrument that absorbs losses at the same time as a proposed CET1 instrument, as long as they both absorbed losses (joint) first? And would it be permitted for a non-CET1 instrument to absorb losses to the same proportion as a proposed CET1 instrument, as long as they were both absorbing the same proportionate greatest share?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4145
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure treatment for trades with Specific Wrong-Way risk

In the Q&A 2016_2590, EBA indicates that "Article 291 CRR only applies to the internal model method (IMM) for CCR. It has to be noted that for these kind of trades, special exposure treatment is required according to Article 291(5)(b)-(f) CRR". However, last paragraph of article 273 of CRR indicate that "For the methods set out in Sections 3 to 6, institutions shall treat transactions where specific wrong way risk has been identified in accordance with Article 291(2), (4), (5) and (6) as appropriate". It seems, consequently, that article 291 of CRR (included article 291 (5) (b) - (f)) should also be applied to Mark-to market method (section 3), to Original exposure method (section 4) and to Standardized method (section 5). Could you please confirm ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4020
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

For trade finance transactions within 30 days to maturity the DA indicated a 100% inflow for financial customers, however we understand this was for all customers

Regulation (EU) No 575/2013 article 425 2 (b) indicates that monies due from trade finance transactions within 30 days are a taken account in full. However the Delegated Regulation (EU) 2015/61, article 32 2 (a) and its associated sub paragraph (ii) read as if this only relates to financial customers, therefore are trade finance trascations from non-financial customers less than 30 days to maturity to be taken into account in full as inflows?

  • 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_2030
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight of EU unrated central bank whose exposures are guaranteed by its EU government which is rated CQS1

What should be the risk weight of an EU unrated central bank whose exposures are fully guaranteed by its EU government which is rated CQS1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/05 - Guidelines on significant credit risk transfer
  • ID: 2019_4954
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Scope of application of the secured lending regime for liquidity coverage requirement - non-financial customers

(i) Are loans secured by collaterals such as debt securities, equities, mortgages or movable property to be considered as secured lending pursuant to Article 28, paragraph 3 and Article 32, paragraph 3 and 4 of Delegated Regulation (EU) 2015/61? Those articles only refer to “secured lending […] transactions as defined in points 2 […] of Article 192 of Regulation (EU) N°575/2013” which defines “secured lending transactions” as “any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily”. (ii) What is the applicable inflow rate to monies due from those transactions, when those are provided to non-financial customers and when the collaterals provided are not reusable except in case of default of the borrower? Is it 100% as for secured lending transactions pursuant to Article 32 para. 3 (b) of delegated Regulation (EU) 2015/61 or 50% as for monies due from non-financial customers pursuant to Article 32 para. 3 (a) of the same Regulation?

  • 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: 2018_3959
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022