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List of Q&A's

Treatment of equity, equity index and commodity futures/forward contracts under Part three, Title IV of Regulation (EU) No 575/2013 (CRR)

Shall equity, equity index and commodity futures/forward contracts be treated as exposure in an underlying instrument or should they be treated as combination of long and short position (holding of the underlying and borrowing maturing on the delivery date of the futures/forward contract)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1812
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 20/11/2015

Directorships

What is the correct interpretation of Article 91 (4) b) ii) of CRD IV setting the rules for quantifying executive and non-executive directorships within undertakings in which the significant institution holds a qualifying holding? i. An individual holding directorships in four undertakings in which the significant institution holds a qualifying holding will be treated as one single directorship with the directorship held within the significant institution being treated as a separate directorship. ii. An individual holding directorships in four undertakings in which the significant institution holds a qualifying holding with the directorship held within the significant institution not being treated as a separate directorship.

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1595
  • Topic: Internal governance
  • Date of submission:
  • Published as final Q&A: 13/11/2015

Credit risk - standardised approach

Can cash equivalents be assigned a Risk weight of 0%? What is the definition of an equivalent cash item?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2001
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 13/11/2015

Own funds – Share premium accounts

There is an agreement for transfer of profit and coverage of losses (i.e. Profit and Loss Transfer Agreement, PLTA)  between the credit institution in question and its mother credit institution, therefore the shares of the credit institution are in the future no longer eligible as a CET1 items (confer Question ID 408/2013 – now archived). In conjunction with the out-phasing of these shares pursuant to the transitional provisions in Article 484 ff CRR, the questions arises if the share premium accounts also have to be out-phased or if they are still eligible as CET 1 instruments according to the provisions laid down in Article 485 para. 2 CRR.Are the conditions set out in Article 28 para. 1 letter (i) CRR met, if a credit institution has also (in addition to CET 1 instruments) T2 instruments which may be repaid before liquidation only with a proportional deduction of the net losses incurred during its lifetime?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1895
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 06/11/2015

Specific credit risk adjustments

Which item in the CA1 report should be used for reporting "immediate reduction in Common Equity Tier 1 capital" as described under Article 1 paragraph 1 second subparagraph of the Commission Delegated Regulation (EU) No 183/2014, in order to reduce the amount of exposure for specific credit risk adjustments for the purposes of calculation of risk-weighted assets?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2014_1087
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 06/11/2015

Intragroup liabilities elimination with joint venture company

CSOB owns 55% in the joint venture company. In the paragraph 9 is written that "For the purpose of calculating the basic annual contribution of a group entity, the total liabilities to be considered should not include the liabilities arisen from any contract which that group entity concluded with any other entity which is part of the same group. However, such exclusion should only be possible where each group entity is established in the Union, is included in the same consolidation on a full basis, is subject to an appropriate centralized risk evaluation, measurement and control procedures, and if there are no current or foreseen material practical or legal impediments to the prompt repayment of the relevant liabilities when due. This should prevent liabilities from being excluded from the basis of calculation of the contributions if there are no guarantees that intragroup lending exposures would be covered where the financial health of the group deteriorates. " CSOB for the joint venture company uses proportional method of consolidation, also eliminating the 55% of intragroup liabilities for the regulatory purposes and prudential reporting. The question is if for the basic resolution contribution puproses also elimitate the 55% of those intragoup liabilies or not (not full method of consolidation applied).

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2015_2029
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Exclusion of Intragroup Liabilities -Treatment of intra-group derivative contracts

How to apply requirement of Article 5 (4) to substitute any accounting value of liabilities arising from derivative contracts by a corresponding value determined in line with Article 5 (3) and possibility to exclude specific intra-group liabilities according to Article 5 (1) a)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2015_1924
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Application of MREL to entities defined in Article 1(1)

Do entities referred to in Article 1(1), points (b), (c) or (d) also have to comply with the requirement for own funds and eligible liabilities (MREL)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2438
  • Topic: MREL
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Exclusion of liabilities from the bail-in tool

Can the ability referred to in Article 44 (3) of Directive 2014/59/EU (BRRD) be exercised towards bail-inable liabilities or also to relevant capital instruments?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2433
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Exclusions of liabilities matched by promotional loans

According to Article 5 (1) (f) of Commission Delegated Regulation (EU) 2015/63, can exclusions of liabilities matched by promotional loans be greater than the sum of promotional loans themselves?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2015_2414
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Concentration risk - type of counterparty

We understand that the purpose of column 70 in table C27 is to identify institutions/unregulated financial sector entities We understand (EBA 2013-395) that if the parent co of a group of connected clients qualifies as institution (or unregulated financial sector entity), all the clients of the family should be reported be institutions or not, be unregulated financial sector entity or not. --> should all the clients of a group of connected being institutions bear the same type of counterparty in C27 column 70? --> should we fill in the type of conterparty only when the group of connected client institutions/unregulated financial institutions is part of the 10 largest exposures on institutions and/or unregulated financial sector entities

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_1058
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 30/10/2015

Maturity used in IRB RWA calculations

Is there an error in this paragraph? It currently says "....shall calculate M for each of these exposures as set out in points (a) to (e)....."; should this read "as set out in points (a) to (f)" in order to be consistent with the previous version of the legislation. Based on the current wording the effect of this is to exclude the possibility of banks using a residual maturity ".....M shall be the maximum remaining time (in years) that the obligor is permitted to take to fully discharge its contractual obligations,......"

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_762
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015

Financial Customer Definition - application to captive finance companies within non-financial corporate groups

Article 411(1) stipulates that “'financial customer' means a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business”. We are seeking clarity as to whether captive finance companies (“captives”) are captured by this section of the financial customer definition where they are part of a wider non-financial corporate group.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_364
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015

Definition of retail deposits.

Can the EBA confirm that retail bonds (both retail and small business) can be treated as retail deposits?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_288
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015

CIUs

Where an institution consists of a parent bank and two subsidiaries does the EUR 500 million cap on CIUs apply to consolidated group or can it apply to each of the legal entities? In the latter case this would imply the consolidated group could count up to EUR 1500 million CIU.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_292
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015

Inconsistency between validation rule v0620_m from Annex XV (Validation Formulae) and the hierarchy definition for TR1 in template C 21.00

According to the Validation formulae (Annexe XV) v0620_m for COREP report C 21.00 – Market risk: Standardised Approach for position risk in equities, {r010, c060} is the total of own funds requirements for General Risk, Specific risk, Particular Approach for position risk in CIUs and Other non-delta risks for options. For ‘Type of risk’ dimension categorization in {r080,c060} - Particular Approach for position risk in CIUs, the member is ‘Market not look-through CIUs risk’. But, according to TR1 hierarchy, this member is not included in the hierarchy for ‘Equity risk’ member. This results in inconsistency between the hierarchy definition and the validation formulae specified. The numbers do not add up naturally as expected in the validation rule.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2014_788
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 23/10/2015

Limitation of a transfer to a certain period of time

Is it possible to limit a transfer under Article 38 (6) of Directive 2014/59/EU (BRRD) to a certain period of time following the initial transfer?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2358
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 16/10/2015

Expenses in the context of Article 37 (7)

What kind of costs does the term "expenses" in Article 37 (7) of Directive 2014/59/EU (BRRD) refer to?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2356
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 16/10/2015

Appointment of management body of a bridge institution

Can the resolution authority appoint the first management body of the bridge institution at the time of its creation? Should the resolution authority appoint a temporary management body until the shareholders can meet and decide on the institution’s management body?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2314
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 16/10/2015

Authorisation of the bridge institution

Could the bridge institution also be a simple holding company instead of an authorised institution (authorised in accordance with Directive 2013/36/EU or Directive 2014/65/EU, as applicable)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2315
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 02/10/2015