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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

Risk retention and credit risk mitigation

If the Originator retains a vertical slice of a securitisation capital structure the most senior tranche of which is guaranteed - as part of the original securitisation structure - by a third party guarantor, would that be in contrast with the requirement as set out in paragraph 1 of Article 405 of CRR, providing that the net economic interest shall not be subject to any credit risk mitigation or any short positions or any other hedge and shall not be sold.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2960
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of "originator"

Should an entity purchase third party's exposures without acting for its own account (e.g. a special purpose vehicle issuing limited recourse notes collateralised by the aforementioned exposures), such entity does not qualify as the "originator" for CRR purposes and, therefore, will NOT be able to act as retainer of the net economic interest in the subsequent securitisation of the exposures. Can, however, the person(s) for the account of which the exposures were acquired in the first place (i.e., in the example above, the investors in the notes issued by the special purpose vehicle), be deemed to have, in turn, "indirectly" acquired the exposures for their own account (through the special purpose vehicle) and, therefore, qualify as "originator(s)" and retainer(s) of the net economic interest for CRR purposes at the time of the subsequent securitisation of the exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2927
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

SA securitisation framework – calculation of the concentration ratio

Should the concentration ratio defined in Article 253(2) CRR be adjusted as securitisation tranches amortise or are written off over time?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2895
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Standardised approach risk weighting

In the scenario below, if the repayment of a retail depends on the client's business (and not the performance of the property), could a loan secured by immovable commercial property have a higher RW than a similar loan which is unsecured?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2891
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Is a tied agent of the investment firm a financial institution and should it be included in prudential consolidation

1. Should a company acting as a tied agent of the investment firm be included in prudential consolidation according to Art. 18 of CRR, if the tied agent is controlled by the same holding company as the investment firm (or by the investment firm itself)? 2. Should the company acting as a tied agent be included in the prudential consolidation a) because it is an ancillary services undertaking in accordance with Art. 4(1) point 18 of CRR, b) because it is a financial institution in accordance with Art. 4 (1) point 26 of CRR, or c) because of some other justification to require the consolidation, or d) should it not be consolidated at all in accordance with Art. 18(1) nor (8) of CRR.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2875
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Rating of subsidiaries

Is “separately rated” in Article 172(1)(d) to be interpreted as “rated on individual information” or as ”having own rating based on a separate rating process”? Alternatively put: How is “separately rated” in Article 172(1)(d) to be interpreted?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2864
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Determination of proxy spreads for the calculation of CVA risk under the advanced method

1. Does Article383 (1) CRR in connection with regulation 526/2014 (RTS) in principle allow to waive one or more of the attributes of rating, industry and region when determining a proxy credit spread for the advanced method for the determination of own funds requirements for credit valuation adjustment (CVA) risk? 2. What is the minimum granularity (number of categories) that a credit spread proxy must reflect to be appropriate with respect to the attributes of rating, industry and region of the counterparty?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 526/2014 - RTS on proxy spread and limited smaller portfolios for CVA risk
  • ID: 2016_2856
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Items associated with particular high risk

Does the term "investments" in letters (a) investments in venture capital firms, (b) investments in AIFs (...) and (c) investments in private equity include only exposures in the form of shares or units in (equity of) venture capital firms, AIFs, and private equity, or it is related to all forms of exposures (e.g. debt and equity instruments, units and shares in CIUs, etc.)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2845
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Clarification is sought on the treatment of defined benefit pension funds for the purposes of determining market risk RWA

Article 41(1) or Regulation (EU) No 575/2013 (CRR) and EBA Q&A 2014_1567 clarify that with respect to credit risk RWA, only the assets according to Article 41(1)(b), i.e. the assets for which the institution has an unrestricted ability to use and that have been use to reduce the CET1 deduction amount, must be captured for credit risk RWA purposes. We would like to reconfirm that the same treatment applies for market risk RWA, e.g. with respect to FX risk.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2841
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Max amount of cash leverage in the mandate of an AIF in order to NOT be considered as a high risk exposure

What is the maximum permitted “cash leverage” allowed in the mandate of the alternative investment fund (AIF) in order not be considered high risk?In the event the AIF is NOT considered to be high risk, should then Article 132 CRR be taken as reference?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2838
  • Topic: Leverage ratio
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Treatment of irrevocable payment commitments according to Article 103(3) BRRD

How should payment commitments pursuant to Article 103(3) BRRD (Directive 2014/59/EU) be treated in the capital requirements for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2831
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Delta equivalent amount of cash-or-nothing digital (binary) options

Should the delta equivalent amount of cash-or-nothing digital (binary) options be limited to the maximum possible payment at expiry?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach
  • ID: 2016_2813
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Assignment of exposures to exposure class of Public Sector Entities

Can only the entities having legal forms of non-profit associations and foundations qualify as PSE-s and be assigned to exposure class of PSEs, or could PSEs also include legal forms of either public or private limited liability companies, which are either owned by or set up and sponsored by central governments, regional governments or local authorities and are under public supervision?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2811
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Clarification on "explicit guarantee arrangements"

The CRR definition of "“public sector entity" lists "has explicit guarantee arrangements" as one of the requirements, without further explaining or limiting this requirement. Does CRR require that all or the greater part of the entities liabilities feature an explicit guarantee by its owners or sponsor which the entity's creditors can call on? Or is "explicit guarantee arrangements" to be understood to also cover other explicit support arrangements like e.g. a guarantee on the entity's lendings for the benefit of the entity or a commitment by the owners/sponsors to guarantee the entity's ability to fulfil its obligations on its liabilities?

  • 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: 2016_2794
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

AT1 distribution and full year loss

Except what is provided under Article 141 of the CRD, is there any restriction imposed on distribution for an institution posting a full year (FY) Net Loss ? (assuming th entity in question runs with excess capital vs. regulatory requirements, so it's not under MDA restrictions)

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2687
  • Topic: Supervisory review and evaluation (SREP) and Pillar 2
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Capital requirement regard to own debt instruments.

Should institutions encounter own debt instruments in calculating own funds requirements for position risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2648
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight for exposures to central-government-risk PSEs with an original maturity of 3 months or less, which are denominated in foreign currency

May exposures to PSEs established in a Member State, whose level of risk in the opinion of the competent authority of the Member State in question does not differ from the level of risk of the central government, be assigned a risk weight of 20% in accordance with Article 116(3) CRR if they are denominated in foreign currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2646
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Relevant competent authority to determine the same risk weight treatment as the central government

Who is the relevant competent authority to determine if the same treatment of regional government exposure and central government exposure can be applied? The national supervisor, the European Commission or the ECB?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2637
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure Value under the Equity method of accounting

What exposure value should be used for Large Exposure purposes in situations where there is a difference between the accounting value used for IFRS accounting purposes and the value used for FinRep regulatory purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2612
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Expected outflows from derivatives

Could a designated/purpose-specific transaction structure consisting of two Total Return Swaps (“TRS”) on the same underlying basket of non-HQLA eligible equities with the same non-bank market counterparty where one physically settled TRS delivers the performance of the equity basket to the counterparty until the point in time when the bank elects to early terminate the transaction and the other cash settled TRS delivers the performance of the equity basket to the bank until maturity be treated as a net derivative inflow for the bank, within the LCR according to Article 32(5) of 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: 2016_2595
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022