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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

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

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

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

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

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

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

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

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

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

Residential Reverse mortgages RWA

Could you clarify the regulatory RWA treatment for residential reverse mortgages exposure? Are those exposures subject to the standardised approach for RWA calculation?Is the regulatory treatment linked to the level of loan to value (LTV) the same as residential mortgages?

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

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

ID: 2019_4934 | Topic: Credit risk | Date of submission: 04/10/2019 | Date of publication: 11/02/2022

Calculation of the number of obligors

In EBA/GL/2017/16 paragraph 73 it is explained that in the calculation of the one-year default rates the number of obligors is used. Is it always mandatory to count one legal entity as one obligor, or can a group of legal entities for which there is no difference in risk due to an appropriate guarantee (i.e. those will default together) be counted as one obligor?

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_4599 | Topic: Credit risk | Date of submission: 07/03/2019 | Date of publication: 11/02/2022

Unutilised Limits of Guarantess

Are the unutilised limits of guarantees to be included in LCR {C73,r870,c010}?

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_4872 | Topic: Liquidity risk | Date of submission: 14/08/2019 | Date of publication: 11/02/2022

Interim profits attributable to minority shareholders

Is the prior permission of the competent authority needed at individual level of a subsidiary to include in the consolidated CET1 items the interim profits of that subsidiary attributable to minority shareholders?

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

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

ID: 2019_4734 | Topic: Own funds | Date of submission: 20/05/2019 | Date of publication: 11/02/2022

Eligibility Criteria for Tier 2 Capital in light of the replacement of LIBOR/EURIBOR

1. If the replacement reference rate proposed in the context of a change to a different benchmark rate, such as in the context of LIBOR transition, could result in a greater credit spread on an own funds instrument, whether as a consequence of a one-off adjustment to the credit spread at the time the replacement reference rate is implemented or as a consequence of an agreement to reset the credit spread at any future date or dates (whether or not in the context of any call option dates), would this potential outcome be considered to be a feature that provides an incentive to redeem for the purposes of Article 63(h) CRR? 2. If the replacement interest rate proposed by an issuer for its LIBOR-linked floating rate Tier 2 own funds instruments is a rate which is based on the credit standing of the issuer or its parent undertaking (or any intermediate parent undertaking), for example through the credit spread incorporated within a coupon derived from an overnight, or averaged overnight, risk-free rate, would that replacement rate of interest result in those instruments failing to satisfy the criterion specified in Article 63(m) CRR?

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

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

ID: 2019_4568 | Topic: Own funds | Date of submission: 22/02/2019 | Date of publication: 11/02/2022

C34.08 report - define the collaterals considering the both legs of the securities financing transactions (SFTs)

Column 0130 and column 0180 from C34.08 report Composition of collaterals for CCR exposures highlights the information related to the SFT security. In accordance with the requirements provided in Annex II Reporting on own funds and own funds requirements, the institution shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). In this context, considering that the SFTs involve two legs for each transaction and taking into account also the ITS requirements applied for the C34.08 report Composition of collaterals for CCR exposures, how the reporting institutions should treat the cash leg of the transaction? In which column the reporting institutions should populate the cash leg of the transaction?

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: 2021_6121 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 28/07/2021 | Date of publication: 04/02/2022

Reporting of items deducted from T1 in RWA columns in C43 (Breakdown of LR Measure)

It is not clear from the instructions whether items deducted from T1 should be included in the columns dedicated to RWAs in C43.

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: 2021_6106 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 21/07/2021 | Date of publication: 04/02/2022

Calculation of past due days

a. Shoud materiality threshold be used in a Template 7.01? b. If in a Template 7.01 materiality threshold shouldn't be used, can we have for same exposure differently reported past due time buckets in templates 7.01 and 18.00?

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: 2021_6050 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 23/06/2021 | Date of publication: 04/02/2022

Template F 12.1a

F12.1a – Movements in allowance and provisions for credit losses The EBA has introduced a new section for ‘Allowances for purchased or originated credit-impaired financial assets’ (row references r600-r750) with granular sub-sections for ‘Debt Securities’ and ‘Loans and Advances’, broken down by industry classification. This new section has the existing column for ‘Increases due to origination and acquisition’ (column reference c020) greyed out: This greying out of column c020 means that no data can go into the column for the Purchased / Originated Credit Impaired Assets. We believe this is an error in the design of the template as a bank, if we were to procure credit impaired financial assets from an outside third party or to write credit impaired facilities to potential new / existing customers, we would expect to report these balances against column c020 ‘Increases due to origination and acquisition’. Can you please share your thoughts in terms of the rationale behind blocking c020 for the POCI rows r600-r750 and advise how we should proceed in the event we have to report these balances in future submissions?  

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: 2021_6043 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 21/06/2021 | Date of publication: 04/02/2022

Template F 22.02: Assets involved in the services provided

Third party investment products distributed by an institution should be reported under “Assets Management” (F 22.02, r0010, c0010), “Custody Assets” (F 22.02, r0060, c0010) or “Customer resources distributed but not managed” (F 22.02, r0130, c0010)?

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: 2021_6036 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 15/06/2021 | Date of publication: 04/02/2022