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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

Clarification on summing columns in Template 10 "Other climate change mitigating actions that are not covered in the EU Taxonomy"

We ask for clarification whether 'columns d' and 'e' in Template 10 (respectively 'Type of risk mitigated (Climate change transition risk) ' and 'Type of risk mitigated (Climate change physical risk) ') should add up to 'column c' ('Gross carrying amount (million EUR) ')?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6564
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 5 - Definition of time horizons

With regards to the Final draft implementing technical standards (ITS) on prudential disclosures on ESG risks in accordance with Article 449a CRR, specifically regarding Template 5 of related Annex XXXIX, could you specify 'time horizon'?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6537
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 2 - Row 5 subset

Template 2 of Annex XXXIX to the Final draft implementing technical standards on prudential disclosures on ESG risks in accordance with 449a CRR – Is row 5 a sub-set of rows 2/3/4?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6532
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Use of Turnover taxonomy eligibility/alignment or Capex taxonomy eligibility/alignment for Pillar 3 Risks ESG disclosures

Question 1: We interpret that the wording "general purpose lending part" excludes “specialised lending” and it leaves the door open to derive that Capex may be used for specialised lending and/or when the use of proceeds is known. Could you please indicate if for some of the Pillar 3 reports the Capex taxonomy eligibility/alignment should be used instead of the turnover taxonomy eligibility/alignment. If yes, may you please precise under which conditions Capex taxonomy eligibility/alignment should be used and to which report it applies and potentially to which columns/rows if relevant. Question 2: Is there any intentional distinction between the wording “use of proceeds is known” versus the wording “specialised lending”? If yes, could you explain the difference?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6521
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Multiple collaterals reporting for Pillar 3 ESG risks disclosure, Template 2 and 5

In case a loan has multiple collaterals (of which immovable property and also other collateral types) should the entire gross carrying amount be reported as collateralised by the immovable property or should the amount be pro-rated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6517
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 10: Other climate change mitigating actions - Repurchases double counting

How do we avoid double counting if we invest in our own covered bonds? Both the loan and the covered bond will be in Template 10.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6509
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Template 10: Other climate change mitigating actions - Covered bonds

Is it correct that a covered bond will be classified as a bond with a credit institution (financial corporation) as counterparty?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2022_6508
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as final Q&A: 25/11/2022

Maturity floor in Standard Method for CVA

Shall a floor equal to 1 - according to Article 162(2)(b)CRR- be applied also for derivatives that are not subject to a master netting agreement? For example, if you have an exposure to a counterparty consisting of a single derivative not subject to a master netting agreement and expiring in 6 months, is the effective maturity to be entered equal to 0.5 or 1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6529
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Valuation of ASA: financial instruments with a negative fair value

What should be the treatment of the financial instruments with a negative fair value for the purposes of the measurement of client financial instruments safeguarded and administered (ASA)?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6449
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Preferential risk weight for exposures to central governments and central banks under Article 114(4) of CRR

Does Article 114(4) of CRR apply to both on-balance sheet and off-balance sheet liabilities (including the forward leg of an FX swap) in the same domestic currency and at least the same amount as the exposure to the central government or central bank (on- or off- balance sheet exposures)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6439
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Application of Articles 52 and 54 of Regulation No. 575/2013 (CRR) at consolidated level

How should the consolidated level of AT1 instruments where the issuer is a 100% fully owned subsidiary of an EU institution where the subsidiary is established in a third country and has not been designated in accordance with Article 12 of Directive 2014/59/EU (BRRD) as part of a resolution group the resolution entity of which is established in the Union be treated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6436
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Definition and scope of Asset Under Management

Are assets for which the investment firm provides account aggregation services (outside of the MiFID authorisation scope) to be included in the AUM calculation?  

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6418
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Definition of private equity exposures in articles 155(2) and 155(3)

Do “private equity exposures in sufficiently diversified portfolios” eligible to a Risk Weight (RW) of 190% in simple risk weight approach in Article 155(2) and a PD of 65% in the PD/LGD approach in article 155(3) refer to any non-listed equity instrument and/or shares in a CIU or units in a CIU for which the underlying exposures are non-listed equity instruments, provided that they are part of a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6369
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Scope of COH definition under IFR

Are pure intermediation transactions processed in name give-up taken into account in the K-COH calculations?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6316
  • Topic: K-factor requirements
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Nature and treatment of off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date)

Should off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date) be considered as a “credit line” and hence fall into Article 166.8(d) of the CRR or as an “undrawn credit facility” and hence fall into Article 166.10?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6239
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Delta calculation internal models

Is an institution required to obtain competent authority’s permission for delta calculation internal model in the situation when the position in option is being closed back-to-back (additional adjustments of closing position due to daily change of the position being closed) on a weekly basis?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6217
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Risk weights for exposures towards Member States’ central governments and central banks denominated and funded in the domestic currency of that central government and central bank.

Shall exposures towards Member States’ central governments and central banks denominated in the domestic currency of that central government and central bank be given a 0% risk weight if they are funded by equity denominated in the same currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6160
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Treatment of an institution’s investments into EU AIF managed by a non-EU AIFM and into closed-ended CIUs

Should not the investment of an institution into a closed-ended CIU which has been marketed in accordance with Article 42 of AIFMD, but is not marketed anymore due to the end of its marketing phase, remain eligible to apply the look-through to the underlying exposures of the CIU, provided the other relevant conditions for looking-through continue to be met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6057
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Reduction of own funds according to Article 78(1)(a) CRR

May an institution that intends to reclassify part of its share capital as related share premium apply for the prior permission pursuant to letter (a) of Article 78(1) CRR or should letter (b) be used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6039
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 11/11/2022