List of Q&As

Treatment of covered deposits when determining the contribution base of Investment Firms

Can the liabilities that arise by virtue of holding clients' money with investment firms, and that are then deposited by investment firms with a credit institution, be considered as deposits that are deducted from the Contribution Base when determining the ex-ante contribution of those investment firms to a resolution financing arrangement?

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: 2017_3579 | Topic: Resolution financing arrangements | Date of submission: 01/11/2017 | Date of rejection: 11/02/2022 | Date of publication: 18/03/2022

Contributions to the financing arrangements from ceased banks

Do institutions that cease to exist or to be supervised in a given year prior to the determination or raising of the annual contributions still have to contribute to the financing arrangements?

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: 2016_2872 | Topic: Resolution financing arrangements | Date of submission: 16/08/2016 | Date of rejection: 11/02/2022 | Date of publication: 18/03/2022

Definition of "total liabilities"

Does the reference to ‘total liabilities’ in Article 3(11) of Commission Delegated Regulation (EU) 2015/63 mean liabilities and capital, or only liabilities?

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: 2016_2869 | Topic: Resolution financing arrangements | Date of submission: 12/08/2016 | Date of rejection: 11/02/2022 | Date of publication: 18/03/2022

Clarification on EBA Final Q&A 2015_2469 / Exemption from bail-in of liabilities to institutions in order to avoid risk of systemic contagion

The answer to Q&A 2015_2469 clarifies that the exception to bail-in in Article 44(2)(e) of Directive 2014/59/EU (BRRD) captures inter-bank unsecured liabilities with an original maturity of less than seven days. Does this exception apply to all inter-institutional unsecured liabilities with an original maturity of less than seven days? In other words, does this exception also capture the liabilities of investment firms that are defined as institutions in Article 2(1)(23) BRRD, alongside the liabilities of other banks or credit institutions?

Legal act: Directive 2014/59/EU (BRRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2016_2814 | Topic: Write-down and conversion of capital instruments | Date of submission: 04/07/2016 | Date of rejection: 11/02/2022 | Date of publication: 18/03/2022

Guarantee for the purpose of the waiver from internal MREL requirements

What amount of the “commitments” referred to in Articles 45f(3) and 45f(4), point (d), BRRD should be covered by the guarantee of the resolution entity or the parent undertaking?

Legal act: Directive 2014/59/EU (BRRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5644 | Topic: MREL | Date of submission: 07/12/2020 | Date of publication: 29/07/2022

Characteristics of the guarantee for the purposes of iMREL waiver

In Article 45f(3) of Directive 2014/59/EU (BRRD), do the "commitments " mentioned refer only to commitments of the subsidiary entered into with external creditors or do they also include intra-group commitments other than those entered into with the guarantor? Please also specify whether the shareholders should be excluded. Is there any other meaning to this term in the resolution framework? Is there a limit for the amount of the guarantee having in mind that the amount of the MREL target for which a waiver is requested would be limited. Is there a minimum duration for the term of the guarantee?

Legal act: Directive 2014/59/EU (BRRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5581 | Topic: MREL | Date of submission: 23/10/2020 | Date of publication: 29/07/2022

CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”

How should the vega intrabucket correlation for the FX risk class be computed giving that the delta intra bucket correlation ρ_kl^ is not defined?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5469 | Topic: Market risk | Date of submission: 26/08/2020 | Date of publication: 15/07/2022

Deduction of pledged own shares from Common Equity Tier 1 items

Should shares pledged to the issuing credit institution as collateral to secure a loan granted by the same credit institution to a customer be deducted from Common Equity Tier 1 items where, in case of default of the customer, the credit institution has the option to either appropriate the collateral or force its sale, bearing in mind that this does not affect the existence of a relationship between the value of the loan and the value of the shares?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5128 | Topic: Own funds | Date of submission: 17/02/2020 | Date of publication: 15/07/2022

Applicability of the SME supporting factor for financing private purposes

Where a natural person’s business activities meet the criteria for an SME, does the SME supporting factor according to Article 501 CRR also apply to exposures from financing private investments of this natural person not directly related to that business?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_6301 | Topic: Credit risk | Date of submission: 02/12/2021 | Date of publication: 15/07/2022

The size of all non-trading book positions that are subject to foreign exchange risk

According to article 325a, paragrhap 2, is the size of all non-trading book positions that are subject to foreign exchange risk equal to the higher between the total of the net short positions and the total of the net long positions computed according article 352 or is it the sum of absolute value of total of the net short positions and the total of the net long positions?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_6269 | Topic: Market risk | Date of submission: 09/11/2021 | Date of publication: 15/07/2022

Implementation of Article 72b(2)(j) of Regulation (EU) No 575/2013 (“CRR”) and whether the contractual provisions governing liabilities are required to refer to the permission regime in order for the liabilities to qualify as eligible liabilities instruments

In question 2013_544, the EBA stated that for Tier 2 instruments, Article 63(j) CRR, in conjunction with Article 77 of the CRR, stipulates that an institution must not effect the call, redemption, repayment or repurchase prior to the date of an instrument's contractual maturity without the prior permission of the competent authority, and that such instruments should therefore contain an explicit reference to these regulatory conditions in their terms. Article 72b(2)(j) CRR states that liabilities may only be called, redeemed, repaid or repurchased early where the conditions set out in Articles 77 and 78a are met. As there is no explicit positive obligation in the legislation to include a reference to the need for resolution authority approval, should eligible liabilities instruments contain an explicit reference to these regulatory conditions in their terms?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_6203 | Topic: Own funds | Date of submission: 10/09/2021 | Date of publication: 15/07/2022

Inclusion of undertakings other than institutions, financial institutions or ancillary undertakings in prudential consolidation

Are undertakings other than institutions, financial institutions or ancillary services undertakings unconditionally included in prudential consolidation by effect of Article 18(7) of Regulation (EU) No 575/2013 (CRR) and its requirement to apply the equity method, without being subject to conditions as is the case for full or proportional consolidation according to Article 18(8), or to the thresholds laid down in Article 19(1)?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_6189 | Topic: Other issues | Date of submission: 07/09/2021 | Date of publication: 15/07/2022

Cut-off date for the implementation of the adjustment for massive disposals

The last part of the first subparagraph of Article 500 states that "The adjustment referred to in the first subparagraph [(i.e. Adjustment for massive disposals)] may only be carried out until 28 June 2022 and its effects may last for as long as the corresponding exposures are included in the institution's own LGD estimates".  How is 28 June 2022 to be interpreted? Is it a repetition of point (b) of subparagraph 1 (i.e. "the dates of the disposals of defaulted exposures are after 23 November 2016 but not later than 28 June 2022") or it represents the cut-off date by which the adjustment can be estimated?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_6174 | Topic: Credit risk | Date of submission: 06/09/2021 | Date of publication: 15/07/2022

Scope of ASA definition under IFR

Should all of the assets for which an investment firm provides depositary services (under 2011/61/EU Directive) be included in the definition of assets safeguarded and administered (ASA)?

Legal act: Regulation (EU) 2019/2033 (IFR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_5864 | Topic: K-factor requirements | Date of submission: 20/05/2021 | Date of publication: 15/07/2022

Early repayment upon a common agreement between the issuer and the subscriber

Is a clause in provisions governing the capital instruments allowing that the parties (issuer and the investor) may mutually agree to have the issuer repay, at any time, but not before five years after the date of issuance, totally or partially, the principal amount of the capital instrument compliant with the eligibility criteria for own funds instruments?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2021_5720 | Topic: Own funds | Date of submission: 05/02/2021 | Date of publication: 15/07/2022

Definition of the parameter ρ_kl (option maturity)

How is the parameter “ρ_kl (option maturity)” concretely determined? Does the calculation take place at the level of a single option or at the level of weighted net sensitivity, which may consist of several options?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5645 | Topic: Market risk | Date of submission: 07/12/2020 | Date of publication: 15/07/2022

Conditions for the usage of the net present value when calculating open positions in each currency and in gold

According to Article 352(3) CRR, which requirements have to be met in order to consider the approach as applied consistently?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5631 | Topic: Market risk | Date of submission: 25/11/2020 | Date of publication: 15/07/2022

Treatment of non-performing exposures underlying a CIU

Could you clarify if non-performing exposures underlying a CIU should be subject to deductions in accordance with point (m) of Article 36(1) of CRR when using the look-through approach in accordance with Article 132a(1) of CRR or the mandate based approach in accordance with Article 132a(2) of CRR?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2020_5629 | Topic: Credit risk | Date of submission: 19/11/2020 | Date of publication: 15/07/2022

Leverage Exposure Exclusion for guaranteed parts of Export Credit

Can a qualifying guarantee which meets the conditions of Article 429a(1)(f) only be used to reduce the Exposure of On Balance sheet Export related Credit (i.e. drawn amounts)? or can it also be applied to the Off Balance Sheet exposures related to Export Credits, such as the undrawn portion of an Export related facility?

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: 2020_5627 | Topic: Leverage ratio | Date of submission: 18/11/2020 | Date of publication: 15/07/2022

Weighted Average Life calculation for Credit Card Receivables without fixed repayment scheme

Can you provide guidance on how to determine the weighted average life and the residual maturity, of credit card exposures where instalments can vary every month from a minimal amount, mainly covering interest, to the full outstanding balance, fully depending on the preferences of the obligor?

Legal act: Regulation (EU) 2017/2402 (SecReg)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2018/08 - Guidelines on the STS criteria for ABCP securitisation

ID: 2020_5532 | Topic: Simple Transparent and Standardised securitisation | Date of submission: 05/10/2020 | Date of publication: 15/07/2022