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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

Over collateralising on template 35 incorporation of present value of swaps (F35.00)

Template F35.00 is requesting fields to be populated for Row 020 in columns 080, 210, and 220-250. Although col 080 sits within the “Covered Bond Liabilities” section of the template, the caption itself (and definition) are specific to “cover pool derivative positions”. Accordingly, we assume this could potentially relate only to derivatives associated with the underlying mortgage assets which are included in the cover pool (i.e. as security for the covered bonds in issue) and would not include any derivative positions associated with the covered bond liabilities themselves. (If our assumption in #1 is correct), the definitions of row 20 and columns 080 and 210 further make reference to only those derivative positions that are determined in accordance with the relevant statutory covered bond regime’s rules to be included in the cover pool, are subject to the respective CB protective measures, and are included in determining sufficient coverage – please refer to full definitions below. Asset Specific Value (row 030), col’s 150, 220-250 are not included in the CB regime rules for asset coverage calculations. If this is the case, on the basis of the definitions included, does this mean that our “cover pool derivative positions” for purposes of reporting within this template are nil? If so, then there would be nothing for us to report here. Can the EBA please confirm the position?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1155
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Pro-rata of pool to work out encumbered and un-encumbered assets (F32.01, F32.03, F32.04, F33.00, F35.00, F36.01).

Can firms split what counts as encumbered or not encumbered by pro-rating the pool of assets by self-issuance retained and as a proportion of total issuance?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1154
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Short Positions in Asset Encumbrance

Should the short positions be reported in Asset Encumbrance? Taking into account that a short positions generated due to the sale of a received collateral is considered to be a liability for the reporting entity, seems plausible to include them in template F32.04, specifically in row 070 (collateralized deposits other than repurchase agreements). Nevertheless, this could imply that validations of this template with FINREP are not fulfilled; {F 32.04.a, r070,c010} <= sum({F 08.01.a, r050, (c010-035)}) - xsum({F 08.01.a, (r100, r150, r200, r250, r300, r350, c010-035)}). Notwithstanding, should be pointed out that FINREP's F1.2 Liabilities template has a specific row for short positions (row 030), this reinforces the belief that maybe short positions are not required in Asset Encumbrance reporting or that the F32.04 lacks a row for this category.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_946
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

F 36 - Reporting of rows "Matching liabilities".

In the tables F 36 of Asset Encumbrance - Advance data, it must be reported the cross between asset type and source of encumbrance type. For each crossing it must be reported the "encumbered assets" and the "matching liabilities". How must the amount of "matching liabilities" be shared out between the asset types (columns) if it has been collateralized by different type of assets?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_682
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/06/2021

Materiality threshold and calculation method for materiality ratio for the purpose of application of Article 150(1)(c) for types of exposures that are immaterial in terms of size and perceived risk profile

A) Can you please clarify whether the 10%/5% threshold to define materiality for “exposure classes” are valid also as for “types of exposures”? In case not, can you please specify which thresholds should be considered for the abovementioned purpose?B) As for the materiality ratio to be compared against the thresholds can you please clarify how it should be computed with reference to the following points:1. Should the numerator include only the exposures for which the application for PPU is being sought under Article 150 (1) (c) by excluding exposures for which PPU has already been granted pursuant other points of Art 150 (1) and exposures not to be included in the calculation of RWA for equity exposure pursuant to Art. 155 (1) (i.e. Equity exposures risk weighted at 250% in accordance with Art. 48 (4) of Reg. EU 575/2013 and those deducted from CET1 in accordance with Part Two of Reg. EU 575/2013)?2. Should the ratio be computed only at solo level or both at solo and consolidated level, in case an application is limited to only one Legal Entity (LE) of a Large Group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4489
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Maturity of instruments subject to a cash flow schedule

Should an institution that has received the permission of the competent authority to use own LGDs for exposures to corporates, apply the formula in Article 162(2)(a) CRR, for both fixed interest rate and variable interest rate loans, where no change of the cash flow timing is applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4410
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Calculation method for materiality ratio to be compared against the 10%/5% threshold for the purpose of application of Article 150(1)(c) for equity exposure class (Permanent Partial Use)

How should a credit institution - with the prior permission to apply the standardised approach permanent partial use (PPU) ex Article 150 CRR for equity exposures - calculate the  threshold as per Article 150(2) CRR?How is the materiality ratio computed? In particular:Should the numerator include only the exposures for which the application for PPU is being sought under Article 150(1)(c) CRR by excluding exposures for which PPU has already been granted pursuant other points of Article 150(1) and exposures not to be included in the calculation of RWA for equity exposure pursuant to Article 155(1) (i.e. Equity exposures risk weighted at 250% in accordance with Article 48(4) of Reg. EU 575/2013 and those deducted from CET1 in accordance with Part Two of Reg. EU 575/2013)?Should the ratio be computed only at solo level or both at solo and consolidated level, in case an application is limited to only one Legal Entity (LE) of a Large Group? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4390
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Classification of a commitment to make under certain conditions an indemnity payment for a customer

Does a commitment to make under certain conditions an indemnity payment on behalf of a customer constitute an “off-balance sheet item other than those mentioned in (Article 166) paragraphs 1 to 8” according to Article 166(10) CRR?If so, does it constitute a medium/ low risk item according to Article 166(10)(c) CRR, specifically as one of the “other items also carrying medium/low risk and as communicated to EBA” according to Annex I, No. 3(b)(ii) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3918
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Applicability of SCA to wallet solutions

Is a single Strong Customer Authentication (SCA) sufficient for transactions performed in staged wallet solutions? Does the funding transaction qualify as a transaction initiated by the payee only, which does not require SCA by the Account Servicing Payment Service Providers (ASPSP)?

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4133
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Prudential filter on unrealised gains and losses on governmental exposures and interaction with the IFRS 9 transitional arrangements

What amount of unrealised gains/losses under the “a” of Article 468 needs to be considered to be filtered by factor f for a sovereign exposure measured at FVOCI?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5346
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Compliance of the securitisation of residual values through expectancy rights (“Anwartschaftsrechte”) with the STS criteria for non-ABCP securitisation and for ABCP securitisation

Does a securitisation of residual values through expectancy rights qualify for STS in general in relation to non-ABCP securitisation and ABCP Securitisation (subject to compliance with all other STS criteria)?

  • Legal act: Regulation (EU) No 2017/2402 (SecReg)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5016
  • Topic: Simple Transparent and Standardised securitisation
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Meaning of “portfolio” within “sufficiently diversified portfolios” in Article 155(2)

How should the term “portfolio” be understood in the context of the 190% risk weight for private equity exposures in “sufficiently diversified portfolios” in Article 155(2) of the CRR? Does it refer to the whole institution’s portfolio of private equity? Or to any of the “portfolios” that an institution has identified for internal risk management purposes instead?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4472
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Unfunded credit risk mitigation for specialised lending exposures

How should RWA be calculated for unfunded credit risk mitigation when the protected exposure is a specialised lending exposure in respect of which an institution is not able to estimate PDs and used the risk weights in Article 153(5) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3295
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Prudential treatment of leasing asset and liabilities (in relation to IFRS 16)

What is the prudential treatment of the right of use leased assets and liabilities and is netting allowed?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4689
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Classification of a vertical security in a traditional securitisation

Is a vertical security as defined below in a traditional securitisation which refers to x% of the cash flows of the securitised exposures a securitisation position?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4987
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Mark-to-Market Method: remaining maturity for early-termination clauses (ETC)

For the purpose of determining the percentage applicable under the Mark-to-Market Method according to Article 274(2) or (3) CRR, how should the residual maturity be determined for contracts with an early-termination clause?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4329
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Leverage Ratio treatment of intragroup exposures

Can an institution that uses the IRB approach for determining the risk weights for its exposures within the risk based framework apply for the exemption embedded in Article 429(7) CRR - as amended by Regulation 2015/62 - for the relevant intragroup exposures which are risk weighted under the IRB approach?

  • 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_4917
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/05/2021

CCP related transactions

Do bilateral exposures vis-à-vis a clearing member qualify as trade exposures, and therefore fall under the exemption of Article 400(1)(j)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4915
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 07/05/2021

Requirements for the usability of an ECAI within the framework of the Internal Assessment Approach pursuant to Article 259(3) of Regulation (EU) No 575/2013 – before amendments introduced by Regulation (EU) No. 2017/2401 - and Article 265 Regulation (EU) No 575/2013 as amended by Regulation (EU) No 2017/2401. - Anforderungen an die Verwendbarkeit einer ECAI im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 der Verordnung (EU) Nr. 575/2013 – in der Fassung vor den durch die Verordnung (EU) 2017/2401 eingeführten Änderungen – und Artikel 265 der Verordnung (EU) Nr. 575/2013 in der durch die Verordnung (EU) 2017/2401 geänderten Fassung

Is it possible to use published ECAI methods within the framework of the Internal Assessment Approach pursuant to Article 259(3) CRR and Article 265 CRR – as amended by Regulation (EU) No 2017/2401-, in consideration that neither in Implementing Regulation (EU) No 2016/1801 nor in Q&A 4274 there is a reconciliation requirement specifically applicable to securitisation positions from rating grades to credit quality steps pursuant to Article 261 CRR (as not amended) and Articles 263 and 264 CRR (as amended by Regulation (EU) No 2017/2401)? Ist es möglich, im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 CRR und Artikel 265 CRR – in der durch die Verordnung (EU) 2017/2401 geänderten Fassung – von ECAI veröffentlichte Methoden zu verwenden, im Hinblick darauf, dass weder die Durchführungsverordnung (EU) 2016/1801 noch die Q&A 4274 ein spezifisch auf Verbriefungspositionen anwendbares Erfordernis der Abstimmung von Ratingklassen auf Bonitätsstufen gemäß Artikel 261 CRR (in der nicht geänderten Fassung) sowie Artikel 263 und 264 CRR (in der durch die Verordnung (EU) 2017/2401 geänderten Fassung) enthalten?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4500
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as final Q&A: 07/05/2021