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Exclusion of intragroup transactions with entities in third country from the CVA risk charge

May a transaction towards an entity of the group be excluded from the CVA own funds requirements under Article 382(4)(b) CRR, when such entity is established in a third country, and for that third country, an equivalence decision under Article 13(2) of Regulation (EU) No 648/2012 has been adopted by the Commission only in relation to certain part of respective requirements?

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

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

ID: 2022_6495 | Topic: Market risk | Date of submission: 23/06/2022 | Date of publication: 30/09/2022

CCF used for commitment performance bond

Which CCF must be applied to the undrawn/unissued amount if there is a commitment to a performance bond facility?

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

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

ID: 2021_6327 | Topic: Credit risk | Date of submission: 23/12/2021 | Date of publication: 30/09/2022

Other retail deposits subject to higher outflow rates: treatment of joint accounts

According to Article 25(2) (a) of Delegated Act 2015/61 “Retail deposits with total deposits balance, including all the client’s deposit accounts at that credit institution or group, exceeding € 500.000” are subject to higher outflows. How should this threshold be tested in case of joint accounts?

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_5322 | Topic: Liquidity risk | Date of submission: 18/06/2020 | Date of publication: 30/09/2022

LCR treatment of open maturity reverse repos which can be terminated at any point in time

What is the LCR treatment of reverse repos with open maturity which can be terminated at any point in time? Will they be considered as regular secured lending transactions pursuant to Article 32(3)(b) of Delegated Regulation (EU) 2015/61? Or are they to be excluded since any inflows arising from the termination of those transactions are contingent?

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: 2021_6163 | Topic: Liquidity risk | Date of submission: 03/09/2021 | Date of publication: 30/09/2022

Available stable funding factor (ASF) applicable to current tax liabilities in the NSFR

What should be the available stable funding factor applicable to current tax liabilities?

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

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

ID: 2021_6086 | Topic: Liquidity risk | Date of submission: 13/07/2021 | Date of publication: 30/09/2022

ASF applicable to payables (accruals) in the NSFR

What should be the available stable funding factor applicable to payables (accruals)?

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

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

ID: 2021_6085 | Topic: Liquidity risk | Date of submission: 13/07/2021 | Date of publication: 30/09/2022

Asset encumbrance in the NSFR

How to determine the residual maturity of the encumbrance in a cover pool if it derives from covered bonds with different maturity?

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

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

ID: 2021_6055 | Topic: Liquidity risk | Date of submission: 24/06/2021 | Date of publication: 30/09/2022

Scope of Article 208 CRR

Does Article 208(3)(a) CRR require institutions to monitor property values of all commercial properties on a yearly basis, regardless of whether they can qualify as eligible collateral for credit risk mitigation?

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

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

ID: 2020_5470 | Topic: Credit risk | Date of submission: 27/08/2020 | Date of publication: 30/09/2022

Outflows from deposits in insurance wrappers

Can cash deposits in insurance wrappers be treated like deposits by Personal Investment Companies (PIC) when computing outflows in the LCR?

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_5461 | Topic: Liquidity risk | Date of submission: 21/08/2020 | Date of publication: 30/09/2022

Assets requiring stable funding

Where a national competent authority has instructed an institution to hold a pillar 2 liquidity add-on, should the pillar add-on amount be treated as an encumbered asset for the purpose of NSFR reporting?

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

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

ID: 2020_5272 | Topic: Liquidity risk | Date of submission: 21/05/2020 | Date of publication: 30/09/2022

Multilateral Development Banks (MDBs) not listed in Article 117(2) CRR

Should the multilateral development banks (MDB) which are not included in Article 117(2) CRR be treated as institution? If the head office of that MDB is in a non-equivalent jurisdiction Article 107(3), should the exposure to MDB be treated as corporate?

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

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

ID: 2020_5164 | Topic: Credit risk | Date of submission: 05/03/2020 | Date of publication: 30/09/2022

Recognition of collateral substitution rights in secured funding transactions

Could credit institutions recognise substitution rights on secured funding trades and include any collateral that can be substituted as an unencumbered asset on the reporting 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: 2020_5148 | Topic: Liquidity risk | Date of submission: 03/03/2020 | Date of publication: 30/09/2022

Treatment of FX transactions settled via central settlement counterparties i.e. CLS (The Continuous Linked Settlement foreign exchange settlement system)

Can CLS (as a central settlement counterparty) be treated as a counterparty when netting FX transactions according to Article 21 of the Delegated Regulation (EU) 2015/61?

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_5134 | Topic: Liquidity risk | Date of submission: 17/02/2020 | Date of publication: 30/09/2022

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