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Treatment of feature of tranching for mortgage backed securities

Under the US NPR,  the Fed has indicated that because the credit risk is to the agency and not the pool, the tranching doesn't count for CSR purposes, and thus the proper risk class to calculate is CSR_NS (not CSR_SNC). Banks in the US subject to FRTB have been following this convention as part of the Fed's Hypothetical Portfolio Exercise. Does the EU expect to follow this interpretation as well?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements

C 02.00 OWN FUNDS REQUIREMENTS CA2 - Row 0585

Hello,   As a bank reporting software company, we would like more information about FRTB.   In the Reporting framework 4.0, for Corep, for the template : C 02.00           OWN FUNDS REQUIREMENTS   CA2 We have a question about the row “0585- 1.3.4 Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach (AIMA) or a combination of AIMA and ASA” There is a mention “See MKR AIMA SUM” in the “2.2 Annex II - Part II - Capital adequacy”   But the template “C 95.00     Alternative internal model approach: Summary of own funds requirements            MKR AIMA SUM” is postponed to 2026.   Can we conclude that this row is empty for 2025 ?   Thanks in advance,   Regards

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

Inclusion of Interim profits in CET1 ratio at half year

At the half year, where an institution has accrued for an interim cash dividend in line with its approved dividend policy and the policy also allows for the distribution of excess capital at the discretion of its Board, is the institution also required to deduct for a potential full year share buyback in its half year CET1 ratio where:  (i) its Board has not made any decision on an interim or full year share buyback and its distribution policy does not formally commit the institution to an interim / full year share buyback;  (ii) no share buyback application has been made to the ECB;  (iii) no explicit guidance on the quantum of a share buyback has been given to the market (at either the HY or FY), and therefore undistributed capital is fully available for use in H2 to cover unexpected risk or losses should they occur

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

Counting of days past due in factoring arrangements.

As for non-recourse factoring, is it correct to start the counting of days past due based on the payment schedule defined or implied in the contractual terms with the client (i.e., the party from which the factor purchases the receivables)?

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

The OFR calculation are performed in local currency (reporting currency in the jurisdiction for the subsidiary) and then converted to EUR (group reporting currency) for consolidation

Under current (No FRTB) Own Funds Requirements (OFR) framework for Market Risk. A bank composed by a parent entity in Europe and a subsidiary in a third country.  With approved use of Internal Model Approach for all risk factors where no offsetting of positions is allowed between both entities (parent and subsidiary) and not permission described in article 325 of CRR granted. Some residual risks calculated under Standardized Approach. So, according with the IMA permission and TRIM guides, the OFR calculation for market risk at consolidated level is the addition of 4 elements: OFR under IMA for parent + OFR under IMA for subsidiary + OFR under SA for parent + OFR under SA for subsidiary. For the subsidiary, the OFR calculation are performed in local currency (reporting currency in that jurisdiction) and then converted to EUR (group reporting currency) for consolidation. The required Banking Book positions (i.e. FX and commodities) are capitalized for market risk under this schema. Is this calculation compliant with CRR (current version of OFR, not FRTB reporting and future OFR)?

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

Meaning of ‘pure industrial holding company’ in the definition of financial institution.

How should the term ‘pure industrial holding company’ be understood in the context of the definition of ‘financial institution’ in accordance with article 4(1)(26) CRR? Would a holding company, the investments of which are exclusively outside of the financial sector, qualify as ‘purely industrial’ for the purposes of that definition?

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

Article 161(8) CRD

Has the EBA received a mandate from the Commission to explore whether Islamic financial sector entities are adequately covered by the CRD and the CRR? If so, has the EBA completed the report and provided a legislative proposal to the European Parliament and to the Council? If not, does the EBA have the authority to produce a report without a mandate from the Commission?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Treatment of repos and reverse repos with the same counterparty

How the unidentifiable collateral received and provided should be reported at LCR C74 and LCR C73 respectively? 

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

Excess of cash as part of reverse repo transaction

How should excess of cash as part of reverse repo transaction be reported in LCR C74 template?

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

Calculation of the capital requirements for structural FX risk

In the context of article 352.2, when there is an investment in a subsidiary denominated in foreign currency and this subsidiary has invested in other subsidiary denominated in the same foreign currency must this exposure be always exempted from capital requirements calculation? 

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

Retail deposit - an established relationship criteria

For the purpose of article 24 paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:  (a) has an active contractual relationship with the credit institution of at least 12 months duration;(b) has a borrowing relationship with the credit institution for residential loans or other long term loans;(c) has at least one other active product, other than a loan, with the credit institution.   Could you give an example what is considered to be 'one other active product, other than loan'?  Would it be correct to consider these products as 'one other active product, other than loan' to fulfill the crieteria c): credit card debt; hire purchase; financial lease ?

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

Simultaniously use of the SME and infrastructure factor

Please see the existing question, which was not answered yet: 2020_5551

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

application of credit conversion factor in accordance with article 235

How shall institution calculate risk-weighted exposure amounts for off-balance-sheet exposures with unfunded credit protection, to which those institutions apply the standardized approach? How shall credit conversion factor be applied to the formula specified in article 235 before the application of risk weight?

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

Outflow of liquidity facilities provided to an SSPE

Based on article 31 (6) of the Delegated Regulation 2015/61 including amendments should the bank apply 10% outflow to an undrawn committed liquidity facility that has been provided to an SSPE for the purpose of enabling that SSPE to purchase mortgages from a financial customer?

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

LCR treatment of a committed facility provided to multiple borrowers

What is the LCR treatment of a committed credit facility provided to multiple borrowers where:each individual borrower might draw the full (undrawn) amount of the committed credit facility;all borrowers belong to the same overarching group which, from group perspective, would qualify as a non-financial corporate; whileone or more of the individual borrowers might qualify as a financial customer under Article 411(1) CRR on a stand-alone basis.

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

Internal hedges in the market risk thresholds computation

Should internal hedges be included in calculation of the size of institution's on- and off-balance-sheet business that is subject to market risk?

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

Application of large exposure rules towards companies designated as financial holding companies

Should exposures of a financial holding company (Company A) to a company that is not an institution or a financial institution and is not covered by prudential consolidation ("Company B") be included in the statement of large exposures on a prudential consolidated basis at the level of Company A, taking into account Company A is not an institution within the meaning of Art. 4, Para. 3 of Regulation 575/2013?

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

Retained collateralized issuances

Should assets used as collateral for retained issuances be treated as encumbered assets?

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

Definition of "Communication Standards" under Article 30.3

a) Is ISO 20022 considered the communication standard referenced in Article 30(3) of the Regulatory Technical Standards (RTS), Commission Delegated Regulation (EU) 2018/389? b) How should NCAs ensure that ASPSPs comply with these standards, in accordance with Article 30.6 of the RTS?

Legal act: Directive 2015/2366/EU (PSD2)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

Clarification needed in dedicated Interfaces supervision

We seek clarification and insights into how competent authorities shall fulfill their responsibilities in line with Recital 23 and Article 32.2 of the Commission Delegated Regulation (EU) 2018/389, specifically regarding the supervision of payment initiation service's dedicated interfaces to ensure effective oversight and monitoring.

Legal act: Directive 2015/2366/EU (PSD2)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

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