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List of Q&A's

recognision of own funds

Can the Common Equity Tier 1 items, namely „capital instruments, provided that the conditions laid down in Article 28 or, where applicable, Article 29 are met“(CRR Art 26 (1) (a)) and „other reserves“ (CRR Art 26 (1) (e)) be recognised as CET1 capital if there are features preventing its funds from use?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7029
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Non-applicability of the CRR (Capital Requirements Regulation) regarding OCCPs

According to Article 111 CRR, OCCPs must be included in the calculation of the Total Capital Ratio (TCR) under Pillar I, even though their economic risk is fully mitigated by the DvP mechanism. Eurex Clearing AG only includes OCCPs in their balance sheet, as per accounting standards. While the risk of OCCPs is covered in the CCP risk management framework through margins and other lines of defense, they cannot be mitigated through collateralization or netting under the CRR framework.    Regarding the information in section 1 and 2, ECAG would like to inquire whether the OCCPs can be exempted from the application of Article 111 CRR.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7028
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 01/05/2024

Reporting of the collateral and guarantees by loans and advances

Article 174 from Annex V mentions that where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality. There are no details regarding the expectation of reporting for different types of collaterals used at the same time to cover different types of loan and advances if the amount of the collaterals is smaller than the total exposure covered (n:m relationships). It is not clear how the collateral should be split between the loans (if a particular order should be followed or an optimization model should be used) and if for immovable properties the prior liens are deducted from the property value before the maximum amount is calculated.  Example for F 13.01: Residential immovable property = 100.000 Prior lien on the property = 20.000 Financial guarantee received = 10.000 Loan 1 to a non-financial corporation = 70.000 Loan 2 to other financial corporation = 60.000 Both loans are covered by the immovable property and the financial guarantee. Position 0010/0010 F 13.01: 100.000 or 80.000 (after the prior lien is deducted) Position 0010/0050 F 13.01: 10.000 Which amounts are expected in rows 0010, 0020 and 0030, columns 0010/0050 from F 13.01?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7026
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Calculation of the LTV ratio in FinRep

Article 239x from Annex V mentions that the LTV ratio should be calculated in accordance with the method for the calculation of the ‘current loan-to-value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. According to Annex IV, Art 2.3 (b) of the ESRB Recommendation, VC is adjusted for changes in the prior liens on the property. The version from 2016 of the Recommendation also contained an additional passage which was deleted in the 2019 update: (d) Is adjusted by the total amount of the outstanding RRE loan, disbursed or not, that is secured through ‘prior’ liens on the property. In the case of more senior liens on the property, the full amount of the debt secured by these more senior liens needs to be deducted. In the case of ‘equal ranking liens’, an appropriate proportional adjustment should be made. In the current version of the Recommendation or in Annex V it is not clear how VC is adjusted regarding the prior liens on the property (e.g. they are deducted from the full value of the property, proportional adjustments are performed).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7024
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 08/05/2024

Disclosures in case of lack of label in EPCs

What shall be reported in columns h-n in case local EPCs do not present labels in the form of letters (A-G), but only level of energy efficiency? Shall these columns be left blank or “0” can be disclosed? Is it acceptable that the banks remove these columns from the template and do not disclose them at all? In addition, what shall be reported in this case in columns o and p? Column “o” is named as “Without EPC label of collateral” and it may indicate that the values to be disclosed in this column refer to the information in columns h-n.  

  • 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: 2024_7013
  • Topic: Transparency and Pillar 3
  • Date of submission:

Meaning of “without automatic rollover” in the definition of trade finance

The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. Does a financial product meet the aforementioned maturity condition that has a maturity not exceeding one year (i.e. typically less than one year or a maximum of one year) and that is repeatedly extended by another 365 days but where the bank has the contractual right to unilaterally terminate the product prior to any extension? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7012
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Fulfilment of “fixed short-term maturity, […], without automatic rollover” for trade finance product bank guarantees (“Guarantee”) in case of a contractually agreed clause between the issuing bank and its client instructing the issuing bank to issue the Guarantee (“Instructing Party”) that allows the issuing bank to effectively exit the risk position within a contractually agreed fixed timeframe

  The definition of trade finance refers to “financial products of fixed short-term maturity, generally of less than one year, without automatic rollover”. We would like to confirm that an open-ended Guarantee, i.e. a guarantee that does not provide for a fixed maturity date, meets the aforementioned definition of trade finance, in case the issuing bank and the Instructing Party agree on contractual provisions that allow the issuing bank to effectively exit the risk position incurred via the Guarantee. In this specific case the issuing bank conducts a regular bank internal review regarding the Guarantee and may – in case it deems this appropriate on the basis of its review – on the basis of a contractual arrangement between the bank and the Instructing Party, at its full discretion, require the Instructing Party to provide the issuing bank within a contractually agreed fixed time period with either a counter-guarantee from another bank in favour of the issuing bank, cash cover collateral or a substitution of the Guarantee by ensuring that another bank issues a Guarantee replacing the issuing bank’s Guarantee. 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7011
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 15/04/2024

Template C90 at consolidated level

Should the threshold template for market risk at the consolidated level, C90, be filled out netting intra-group positions even if one does not have the permission required by Article 325b? Or should it be compiled as the sum of the individual templates in this case?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7008
  • Topic: Market risk
  • Date of submission:

Vega and curvature risk requirements for positions in instruments without exercisable optionality that are sensitive to vega risk factors

Should only instruments that are options be subject vega and curvature own funds requirements, or they may apply also to instruments that lack an exercisable optionality?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7006
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 03/05/2024

F 46 EBA_v1226

Where to recognise foreign exchange differences in template F46 for 0010 (Capital) and c0020 (Share Premium)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2024_7005
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:

Template 9.1 – Mitigating actions: Assets for the calculation of BTAR

Should institutions check the compliance of ‘do no significant harm’ and ‘minimum safeguards’ requirements for BTAR exposures?

  • 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: 2024_7004
  • Topic: Transparency and Pillar 3
  • Date of submission:

Unweighted delta sensitivities in template C91

In the C90 template on market risks - Alternative Standardised Approach Summary - the first two columns must show the unweighted sensitivities broken down by positive and negative aggregated by risk factor.Should positive and negative sensitivities be aggregated from net risk factor sensitivities or risk factor sensitivities for individual positions? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_7001
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Treatment of inflows from credit facilities in LCR

Is a credit institution entitled to consider inflows from a credit facility in LCR, if the credit facility contractually expires within 30 calendar days and the client has no contractual option to prolong it beyond its current expiry date?

  • 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: 2024_7000
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024

Calculation of K-COH

Should the transactions relating to managing the delegated investment funds’ portfolios be included into COH of the investment firms?

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6999
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 26/04/2024

Eligibility of funded credit protection received from third parties

Can cash collateral received from third parties via funded credit protection arrangements (i.e. funded guarantees or credit derivatives) qualify as collateral for the purposes of K-TCD and K-CON? 

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6994
  • Topic: K-factor requirements
  • Date of submission:

Consideration of CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA

It is possible to consider the CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA without including the perimeter exceptions specified in aticle 382.4?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2024_6993
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2024

Applying adjustments and deductions in Article 36 in full

In Article 48(2)(a) of Regulation (EU) No 575/2013 (CRR) it states: 'the residual amount of Common Equity Tier 1 items after applying the adjustments and deductions in Articles 32 to 36 in full and without applying the threshold exemptions specified in this Article;' Question: When applying the adjustments and deductions in Articles 32 to 36 in full should be deducted the value of deferred tax assets and significant investments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_6990
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 05/03/2024

Criteria for selecting the operations to be included in the calculation of fraud rates for the transaction risk analysis (TRA) exemption

Which of the following would be the correct temporal criterion for selecting the unauthorized transactions to be included in the numerator of the fraud rates calculated for the transactions risk analysis (TRA) exemption? a) the transaction date, i.e., the date on which the transaction was executed regardless of the date on which it is classified as unauthorized or fraudulent b) the registration date, i.e., the date on which the transaction is registered as unauthorized or fraudulent regardless of the date on which it was carried out 

  • Legal act: Directive 2015/2366/EU (PSD2)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
  • ID: 2024_6989
  • Topic: Strong customer authentication and common and secure communication (incl. access)
  • Date of submission:

Template 2: Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral

The formula linked to the following rule IDs: v16049_m; v16078_m; v16080_m; v16082_m; v16084_m; v16086_m; v16088_m; v16090_m and v16092_m appears to be incorrect.

  • 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: 2024_6987
  • Topic: Transparency and Pillar 3
  • Date of submission:
  • Published as Rejected Q&A: 09/04/2024