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Range of application of the LGD regulatory floor for the calculation of own funds requirements at individual and consolidated levels
Shall the LGD regulatory floor be applied at the territory level of the Member state to exposures secured by property located in the territory of that Member state (Article 164(7) CRR) for the calculation of own funds requirements at any level, i.e. individual and/or consolidated level?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_4859 |
Topic: Credit risk |
Date of submission: 07/08/2019 |
Date of publication: 18/02/2022
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Pending credit offers
Can pending credit offers (e.g. offers to provide credit to retail clients that have not been accepted yet) qualify as committed credit facilities for the purpose of Article 424 CRR (e.g. Article 424(2) CRR in case of credit offers to retail clients) and Article 31 LCR DA (e.g. Article 31(3) LCR DA in case of credit offers to retail clients), if such pending credit offers would be irrevocable, binding on the creditor and considered "commitments qualifying for the creditor as agreements to lend" for the purpose of the credit risk framework (in particular Annex I of the CRR), in accordance with EBA Q&A 2017_3376?
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: 2019_4985 |
Topic: Liquidity risk |
Date of submission: 05/11/2019 |
Date of publication: 11/02/2022
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Weighting of EVE gains of domestic currency by a factor of 50% when calculating the aggregate EVE change for each interest rate shock scenario
When calculating the aggregate EVE change for each interest rate shock scenario, should EVE gains of the domestic currency (i.e. EUR in most cases) be weighted by a factor of 50% or should such gains be weighted by a factor of 100%?
Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/08 - Guidelines on the management of interest rate risk arising from non-trading activities
ID: 2020_5419 |
Topic: Supervisory review and evaluation (SREP) and Pillar 2 |
Date of submission: 07/08/2020 |
Date of publication: 11/02/2022
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Applicability of fix amount dividend policy to mutuals, cooperative societies, saving institutions and similar institutions
Is Q&A 4731 applicable to mutuals, cooperative institutions, savings institutions and similar institutions?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
ID: 2021_5787 |
Topic: Own funds |
Date of submission: 19/03/2021 |
Date of publication: 11/02/2022
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Gamma correlations regarding curvature risk in low and high scenario
To calculate the gamma correlation to be used for the curvature risk in the low and high scenarios, should institutions at first square the gamma correlation used for the delta risk and then apply the formulas provided for in Article 325h CRR or vice versa?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6122 |
Topic: Market risk |
Date of submission: 29/07/2021 |
Date of publication: 11/02/2022
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Simultaneous applicability of non-deduction exemptions under Articles 48 and 49 CRR regarding equity exposures on insurance holdings where an institution has a significant investment
For an institution that has received permission to apply Article 49(1) CRR, has a significant investment below or equal to the threshold indicated in Article 48(1) and 48(2) (exempted from being deducted from Common Equity Tier 1 according to Article 49(1), are the amounts of holdings in insurance undertakings, to be risk-weighted at 250% according to Article 48(4) and the amounts of such holdings that are above this threshold risk-weighted in line with Article 49(4)?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5664 |
Topic: Own funds |
Date of submission: 17/12/2020 |
Date of publication: 11/02/2022
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Treatment of Repo and Reverse repo with bilateral early termination option
A supervised institution has entered a reverse repo with a financial counterparty which features an early termination option exercisable at the supervised institution’s discretion. In order to be able to map the reverse repo on the option date for the purpose of NSFR - RSF calculation, how are the supervised institution and the competent authorities supposed to assess the reputational factors that may limit the institution’s ability to exercise the option? [ref. Article 428q 3.]
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5588 |
Topic: Liquidity risk |
Date of submission: 29/10/2020 |
Date of publication: 11/02/2022
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Calculation of NPV loss in case of (internal) refinancing
Which NPV loss should be taken in order to calculate the NPV loss if the 1% threshold is breached and the forborne loan contract should be placed in default?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
ID: 2021_6045 |
Topic: Credit risk |
Date of submission: 21/06/2021 |
Date of publication: 11/02/2022
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Assignment to grades or pools
Do the requirements in Article 171(2) CRR refer to the Estimation of Risk Parameters or to the Application of Risk Parameters?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_5761 |
Topic: Model validation |
Date of submission: 03/03/2021 |
Date of publication: 11/02/2022
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Application of Required Stable Funding on the basis of Guarantees Received
Where a loan is made to a non-financial corporate, and the loan is guaranteed by a financial counterparty such that the credit exposure on the loan is viewed by the firm as an exposure to the guarantor (financial counterparty), can the 10% RSF applicable under CRR Article 428v be applied to such a transaction?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5574 |
Topic: Liquidity risk |
Date of submission: 21/10/2020 |
Date of publication: 11/02/2022
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Aggregation of separate client exposures for a transaction with underlying credit risk exposure
Is it necessary to group and aggregate all separate client exposures from a single transaction with underlying credit risk to one exposure and, as such, treat this aggregated separate client as a single client exposure?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
ID: 2021_5746 |
Topic: Credit risk |
Date of submission: 17/02/2021 |
Date of publication: 11/02/2022
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Use of UTP triggers when default definition is on facility level
If an obligor has a mortgage loan and other loans (like credit card, private loan, business loans etc.) where definition of default is on the facility level, and the institution has certain obligor level triggers (bankruptcy, death, divorce etc.) and the obligor defaults on his mortgage (due to an obligor level trigger), should there be an automatic cross default on the other loans as well. If the opposite happens, i.e. the obligor defaults on one of the other loans (also due to an obligor level trigger) should the mortgage be defaulted as well?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
ID: 2020_5592 |
Topic: Credit risk |
Date of submission: 02/11/2020 |
Date of publication: 11/02/2022
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LCR treatment of maturing securities issued by the reporting credit institution
What is the LCR treatment of maturing securities issued by the reporting credit institution where these securities are treated as deposits for the purpose of accounting?
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: 2020_5518 |
Topic: Liquidity risk |
Date of submission: 25/09/2020 |
Date of publication: 11/02/2022
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Excess collateral held by credit institution that can be contractually called at any times by the counterparty
Do we need to consider all future derivatives inflows or only the future derivatives inflows within the 30-day LCR bucket for the calculation of excess collateral?
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: 2020_5544 |
Topic: Liquidity risk |
Date of submission: 09/10/2020 |
Date of publication: 11/02/2022
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Original maturity for off-balance sheet items
How is the „original maturity” identified for items in CRR Annex 1 (2)(b)(ii)?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5297 |
Topic: Credit risk |
Date of submission: 10/06/2020 |
Date of publication: 11/02/2022
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Issues related to para (89) of the EBA/GL/2017/16 with regards to the calibration procedure of the PD models to be conducted “after taking into account any overrides applied in the assignment of obligors to grades or pools”
With regards to the interpretation of the requirement reported in paragraph (89) of the Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16), is it correct that if a ranking method or overrides policy has changed over time, the institutions cannot “conduct the calibration after taking into account any overrides applied in the assignment of obligors to grades or pools”, because the relevant data is not available (e.g. in case of a model change the rating produced by the new PD model cannot include the override process)?
With regards to the interpretation of the requirement reported in par. 89 of the GLs, is it correct that if a ranking method or overrides policy has changed over time, the institutions should “analyse the effects of these changes on the frequency and scope of overrides and take them into account appropriately” in the annual review of estimates framework, once the relevant data becomes available, meaning that the new rating attribution process has been fully deployed and used by the analysts of the Supervised Entity?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
ID: 2019_5029 |
Topic: Credit risk |
Date of submission: 21/10/2019 |
Date of publication: 11/02/2022
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Callable deposits from financial institutions to be included in LCR with the entire outstanding
Are deposits from financial institutions considered callable and should therefore they be included in LCR for their entire outstanding amount, regardless their maturity?
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: 2020_5287 |
Topic: Liquidity risk |
Date of submission: 03/06/2020 |
Date of publication: 11/02/2022
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Definition of retail deposits which meet conditions from Article 25(2)(d) LCR Amending Act
Which maturity shall be taken into account at assessing if deposit meets the conditions from Article 25(2) (d) of the LCR amending Act, the original maturity of the originally placed fixed-term deposit or the residual maturity of the present fixed–term deposit? What is the meaning of term "originally placed"?
Can the deposit meet conditions from this Article if it wasn't originally placed as fixed-term deposit but was later prolonged as fixed-term deposit and will mature in next 30 calendar days?
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: 2020_5107 |
Topic: Liquidity risk |
Date of submission: 04/02/2020 |
Date of publication: 11/02/2022
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Consolidated supervision
At how many levels should consolidation according to Article 11 CRR be done by a single institution?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_4957 |
Topic: Other issues |
Date of submission: 24/10/2019 |
Date of publication: 11/02/2022
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Risk weight attribution to loans guaranteed by third counterparties in NSFR
If a credit institution has granted loans to customers (Retail, SME or Corporate counterparties) where the customer has a guarantor for the loan (personal guarantees), which is a Sovereign/PSEs or a third financial institution, what risk weight should be attributed to those loans for purposes of NSFR?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_4951 |
Topic: Liquidity risk |
Date of submission: 17/10/2019 |
Date of publication: 11/02/2022
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