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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Treatment of purchase price discount or specific credit risk adjustment in the determination of the maximum risk weight for senior securitisation positions using the look through approach where the SEC-IRBA method is used to determine the risk weight of the securitisation position.

How should the purchase price discount or specific credit risk adjustment be taken into account to allow institutions to assign the senior securitisation position a maximum risk weight equal to the exposure weighted-average risk weight that would be applicable to the exposures as if the underlying exposures had not been securitised when an institution uses the SEC-IRBA method to risk weight the securitisation position (Article 267(1) and (2) as amended by Regulation (EU) 2017/2401).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4161
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

PD Calibration Sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a Through-the-Cycle (TTC) model, under which conditions it is mandatory to adopt the current portfolio or a multi-year snapshots as calibration sample? And consequently should the calibration testing in validation phase verify the alignment between the Central Tendency and the PD estimations on recent portfolio snapshot or multiyear sample?

  • 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: 2018_4159
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Purchased credit derivative protection against a counterparty credit exposure

Does a purchased credit derivative protection against a counterparty credit exposure is out of the scope of own funds requirements for CVA risks in application of article 382?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5011
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Non-CET1 Instruments absorbing losses at the same time as CET1 instruments

Article 28(1)(i) requires that "(i) compared to all the capital instruments issued by the institution, the instruments absorb the first and proportionately greatest share of losses as they occur, and each instrument absorbs losses to the same degree as all other Common Equity Tier 1 instruments;". Would it be permitted to have a non-CET1 instrument that absorbs losses at the same time as a proposed CET1 instrument, as long as they both absorbed losses (joint) first? And would it be permitted for a non-CET1 instrument to absorb losses to the same proportion as a proposed CET1 instrument, as long as they were both absorbing the same proportionate greatest share?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4145
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure treatment for trades with Specific Wrong-Way risk

In the Q&A 2016_2590, EBA indicates that "Article 291 CRR only applies to the internal model method (IMM) for CCR. It has to be noted that for these kind of trades, special exposure treatment is required according to Article 291(5)(b)-(f) CRR". However, last paragraph of article 273 of CRR indicate that "For the methods set out in Sections 3 to 6, institutions shall treat transactions where specific wrong way risk has been identified in accordance with Article 291(2), (4), (5) and (6) as appropriate". It seems, consequently, that article 291 of CRR (included article 291 (5) (b) - (f)) should also be applied to Mark-to market method (section 3), to Original exposure method (section 4) and to Standardized method (section 5). Could you please confirm ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4020
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

For trade finance transactions within 30 days to maturity the DA indicated a 100% inflow for financial customers, however we understand this was for all customers

Regulation (EU) No 575/2013 article 425 2 (b) indicates that monies due from trade finance transactions within 30 days are a taken account in full. However the Delegated Regulation (EU) 2015/61, article 32 2 (a) and its associated sub paragraph (ii) read as if this only relates to financial customers, therefore are trade finance trascations from non-financial customers less than 30 days to maturity to be taken into account in full as inflows?

  • 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: 2015_2030
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight of EU unrated central bank whose exposures are guaranteed by its EU government which is rated CQS1

What should be the risk weight of an EU unrated central bank whose exposures are fully guaranteed by its EU government which is rated CQS1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/05 - Guidelines on significant credit risk transfer
  • ID: 2019_4954
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Scope of application of the secured lending regime for liquidity coverage requirement - non-financial customers

(i) Are loans secured by collaterals such as debt securities, equities, mortgages or movable property to be considered as secured lending pursuant to Article 28, paragraph 3 and Article 32, paragraph 3 and 4 of Delegated Regulation (EU) 2015/61? Those articles only refer to “secured lending […] transactions as defined in points 2 […] of Article 192 of Regulation (EU) N°575/2013” which defines “secured lending transactions” as “any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily”. (ii) What is the applicable inflow rate to monies due from those transactions, when those are provided to non-financial customers and when the collaterals provided are not reusable except in case of default of the borrower? Is it 100% as for secured lending transactions pursuant to Article 32 para. 3 (b) of delegated Regulation (EU) 2015/61 or 50% as for monies due from non-financial customers pursuant to Article 32 para. 3 (a) of the same Regulation?

  • 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: 2018_3959
  • Topic: Liquidity risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Look-through approach resulting in a credit risk position of own institution

When applying the look-through approach of Article 132(4) CRR, what risk weight shall an institution apply to a position that is based against its own institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3949
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Goodwill included in the valuation of significant investments

1. For the purposes of Article 37(b) CRR, are the significant investments of the institution limited to the significant investments in financial sector entities (FSE) or should they include all significant investments (i.e. also significant investments in entities that are not financial sector entities)? 2. Should Article 37(b) CRR be applied only when the significant investments outside the prudential perimeter are valued for prudential purposes using the equity method or should it be applied also when the significant investments are valued for prudential purposes at historical cost? 3. Should the amount to be deducted pursuant to Article 37(b) CRR be limited to goodwill or should it include also the other intangible assets included in the valuation of the significant investments of the institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3929
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Notification to Competent Authority for the use of the adjustment referred to in Article 500 (1) CRR

Does an Institution that wants to apply the adjustment on its LGD estimates by partly or fully offsetting the effect of massive disposals of defaulted exposures on realised LGDs in line with Article 500 CRR have to notify the respective competent authority in accordance with Article 143 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4948
  • Topic: Model validation
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Application of a currency volatility adjustment in the case of a Significant Credit Risk Transfer securitisation

Should a currency volatility adjustment – as referenced to in CRR art 264 and defined in CRR art 223 - be applied in the case in which an originator synthetically securitises a partly non-EUR FX-denominated portfolio through the issuance of a EUR denominated fully funded Credit Linked Note?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/05 - Guidelines on significant credit risk transfer
  • ID: 2018_3849
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Use of short-term issuer credit assessments with Article 131

May short-term issuer ratings be used to assign risk weights in the context of article 131?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4941
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Applicable treatment of fair value changes for the identification of the applicable RW to exposures in default under the Standardised Approach

In the application of Article 127 CRR, should the credit risk adjustments embedded in the fair value be considered in the calculation of the percentage of the unsecured part of the exposure value represented by credit risk adjustments?

  • 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: 2018_3785
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Interpretation of the term ‘ancillary services undertaking’ as defined in point (18) of Article 4 (1) CRR with a view to ‘intermediary undertakings’

Does the term ‘ancillary services undertaking’ as defined in point (18) of Article 4 (1) CRR include undertakings that act as an intermediary of business activities (‘intermediary undertakings’ or ‘brokers’), where those business activities themselves would lead to the qualification as an ‘institution’ as referred to in point (3) or a ‘financial institution’ as referred to in point (26) of Article 4 (1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3769
  • Topic: Other topics
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Prudential backstop (Regulation 2019/630) and interaction with RWA calculation

Is the prudential backstop deficit under Article 151(1) taken into consideration for the calculation of risk-weighted assets on exposures treated under the advanced IRB approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4938
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Fair value changes due to changes in cross-currency basis spread eligible for CET1 capital (cost of hedging)

Are fair value changes due to changes in cross-currency basis spreads recognized in ‘other comprehensive income’, as referred to under IFRS 9 as the ‘cost of hedging’, eligible for CET1 capital under the CRR regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3715
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of 'explicit guarantee arrangements' for the purpose of classification of non-commercial undertakings as public sector entities

What conditions should be met by a given agreement in order to qualify as an 'explicit guarantee arrangement'?Shall the ‘explicit guarantee arrangements’ for the purpose of definition of public sector entities also be ‘guarantees’ eligible as unfunded credit protection or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3694
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

IFRS 9 transitional arrangements – calculation of the static component in case of afterwards permission for the IRB approach

If an institution gets the permission to use the IRB approach only after 1 January 2018 or the date of initial application of IFRS 9, as applicable, how should the institution calculate the amounts for the transitional arrangements permitted by Article 473a CRR and, in particular, the static component according to paragraph 2 of Article 473a CRR for those IRB exposures to which the standardised approach applied on the 31 December 2017 or the day before the date of initial application of IFRS 9, as applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4928
  • Topic: Accounting and auditing
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022