EBA E-mail alert November 15, 2024

Taxonomy 3.2: Is the validation rule v6576_s consistent for fair-value in short position reported in the cells C 32.02, rows 0010, 0020 and 0030, column 0220 ?

In "Annex XL - Instructions for disclosure of ESG risk", the denominator of column "Proportion of new assets funding taxonomy relevant sectors" in Template 8 - GAR (%) "shall be the gross carrying amount of new covered assets from those assets, as defined in the instructions corresponding to column ‘a’ of Template 7". But in the document "Annex I - KPIs for credit institutions (Article 8 Taxonomy)" from EBA advises the Commission on KPIs for transparency on institutions’ environmentally sustainable activities, including a green asset ratio | European Banking Authority (europa.eu), the column "Proportion of new assets funding taxonomy relevant sectors" (sheet "4. GAR KPIs flow") has formulas with a difference of stocks in the denominator. What should be considered in the denominator? The gross carrying amount of new covered assets or the difference between gross carrying amount in current disclosure period (t) and previous disclosure period (t-1)? If it is "new covered assets", what exactly does it mean? Are these the exposures considered in current disclosure period (t), but not in previous disclosure period (t-1)?

In accordance with Article 325e of Regulation (EU) No 575/2013 (CRR), all the positions of instruments with optionality (among others: calls, puts, caps, floors, swap options, barrier options and exotic options) shall be subject to the own funds requirements for:

a) delta risk

b) vega risk

c) curvature risk.

According to Q&A Q&A 2571 published on 11th November 2016, perfectly matching options should not be subject to own funds requirements for market risk.

Does this also apply to the sensitivities-based method for calculating the own funds requirement for market risk specified in CRR2/CRR3?

If yes, does it mean that perfectly matched back-to-back bought and sold options can be excluded from the calculation of the own funds requirement for market risk under sensitivities-based method (delta, vega and curvature risk)?

In the context of art 352 (2) the calculation of the net open position  or maximum net open position in the context of Structural FX framework should take into consideration items affecting the capital ratio but not directly related to assets, liabilities or off-balance items such Additional Value adjustment or minority interests denominated in FX currency? 

In the context of article 352, when an institution is following a strategy of hedging the consolidated CET1 ratio (as opposed to hedge at solo level) and has been granted the waiver in art 352.2 at a consolidated level but when the permission in article 325b is not granted:

Is it necessary to have the netting permission of Article 325b granted to take into account shorts open position in a subsidiary to calculate the structural FX position at consolidated level, for the waiver application purposes? 

In the context of article 352.2, in relation with the consolidated capital calculation for FX risk,  the historical cost at solo basis must be taking into account or not?

How should the overall own funds requirements be calculated in a consolidated situation for institutions or undertakings, for which Art. 325b(4)(b) CRR applies, i.e. if different institutions or undertakings of the group use different currencies other than the reporting currency of the group?