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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.

List of Q&A's

Net long and short position in Column 30 and 40

What is the exact meaning of net long and net short position for the purpose of columns 030 and 040 ( 18net positions long / short 19) in template C 21.00 (MKR SA EQU)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Validation rules v1906_h and v1907_h

Do validation rules v1906_h and v1907_h have to be modified?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Validation Rules v4047_m to v4055_m for CR SEC SA

The validation rules v4047_m to v4055_m check on the plausibility of the percentages given in column 300 of CR SEC SA. To this end the rules refer to columns 300 and 290 of CR SEC SA of various rows. We believe these rules should use column 280 instead of column 290.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Number of counterparties in template CVA

The guidance for template C25.00 (CVA) states that "Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party." This requirement could be interpreted in a number of ways e.g. Option A: using the ultimate parent undertaking Option B: at subsidiary level Option B would report more counterparties than Option A i.e. where there are CVA exposures to two subsidiaries with the same ultimate parent, option A would disclose 1 counterparty; option B would disclose 2 counterparties

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Missing Entity code

What should be reported in column 020 in table F 40.01 Annex III , if entity code is missing for an entity? Should the cell be left empty, if an LEI code is existing for the entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Procedury monitorowania ochrony kredytowej / EN: Credit protection monitoring procedures

Czy aby w procesie szacowania wymogu kapitałowego możliwe było uwzględnienie instrumentu ograniczania ryzyka kredytowego w postaci zabezpieczenia na nieruchomości mieszkalnej konieczne jest zapewnienie przez Instytucję, iż na dzień wyliczenia posiada ona aktualne ubezpieczenie tejże nieruchomości zabezpieczające przez ryzykiem powstania szkody? Czy może w myśl zapisów artykułu 208 paragraf 5 (literalnie czytając) wystarczy, iż Instytucja udowodni, iż posiada procedury i skuteczne mechanizmy monitorowania aktualności/ważności posiadanej polisy ubezpieczeniowej?EN translation:In order for the calculation of capital requirement to take into account collateral of residential property as a credit risk mitigation instrument, is it necessary for the Institution to ensure that, as at the calculation date, it holds up-to-date insurance for such real estate, protecting it against the risk of damage? Or perhaps, in accordance with the provisions of Article 208(5) CRR  (read literally), it would suffice if the Institution could prove that it has procedures and effective monitoring mechanisms in place to ensure that the existing insurance policies are valid and up-to-date?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Classification of exposures for which an IRB bank uses the standardised approach, into IRB exposure classes (Article 147 CRR)

Is there any regulation stipulating that for exposures where an IRB bank uses the standardised approach, these "standardised" exposures have to be classified into exposure classes valid for the standardised approach (Article 112 Regulation (EU) No 575/2013 (CRR)).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Classification of a performance bonds according to annex 1.

Does a performance bonds which guarantee satisfactory completion of a project by a contractor with an original maturity of more than one year qualify as Medium/low risk according to CRR, annex I, item 3(a)(ii) ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Reporting currency as closely correlated currency

Is a position in a currency that is closely correlated to an institution’s reporting currency eligible for the treatment as a position in a closely correlated currency according to Article 354 (1), (4) to (6) CRR under the standardised approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Determination of the exposure at defaul in case of unfunded credit protection

Under the advanced approach, the IRB Approach, as permitted by the Title II - Chapter 3, does not specify the order of application of the Credit Conversion Factor (CCF) and of the credit protection when an off-balance sheet exposure is covered by an unfunded credit protection (e.g. a CDS, Credit Default Swap). Does CRR prevent from applying the credit protection on the Exposure At Default (i.e.: after application of the CCF for an off-balance sheet exposure)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Inclusion of loans that have been pre-positioned with central banks but are not encumbered in the numerator of the LCR

Since loans that have been pre-positioned with Central Banks and are not encumbered can be used to raise liquidity from the Central Bank, could they be considered as 2B level assets even though no commitment fee has to be paid?

  • 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

Cap on inflows

Does a credit institution benefit from a cap on inflows of 90% when the sum of its activities as referred to in Article 33(3) and its activities as referred to in Article 33(4) exceeds 80% of the total balance sheet?

  • 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

Liquidity – treatment of payment commitments according to Article 2 (13) DGSD

How should payment commitments pursuant to Article 2(13) DGSD (Directive 2014/49/EU) be treated in the outflow-section of 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

Level 1 assets and Large Exposures exemptions

Please can you confirm that debt securities with a 0% risk weight under Part Three, Title II, Chapter 2 that are reported as level 1 assets in accordance with Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR should also be exempted from the Large Exposure Limits defined in Article 395(1) of Regulation (EU) No 575/2013 under the exemptions in Article 400 point 2(d)(e)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Consideration of securitisation positions and securitised exposures, for the purpose of significant risk transfer.

If the originator institution of a synthetic securitisation retains a vertical slice of securitised exposures, as well as some of the tranches, should this vertical slice be treated as a securitisation position as defined in Article 4(1)(62) of Regulation (EU) No 575/2013 (CRR)?If yes, should this position be taken into account to assess whether significant credit risk has been transferred to third parties in accordance with Article 245 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 20179/2401?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures

Certificate of Deposits (CDs)

How should we treat CDs (Certificate of Deposits) that we have issued? Could we treat them as deposit or should they be treated the same why as an issued senior bond?

  • 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

Treatment of Eligible CRM CDS for Leverage Ratio

Should credit derivatives subject to the CRR Article 273(3) which have zero exposure value for counterparty credit risk purposes also be treated as having zero value for the Leverage ratio exposure measure under CRR Article 429c(1)?

  • 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

Providing IGFS pursuant to Article 19(3)

It is our understanding that the support which is provided without the existence of prior Intra Group Financial Support (IGFS) agreement still must meet all other conditions set by the Chapter III of Title II of Directive 2014/59/EU (BRRD) (i.e. the chapter which regulates Intra Group Financial Support). Providing IGFS pursuant to Article 19(3) is only possible if, inter alia: 22 conditions set by Article 23 BRRD are met (including the link to article 19, i.e. that each party must be acting in its own best interest); and 22 providing of such financing is notified to the supervisory authority and approved by that authority as required by Article 25. Can this be clarified? Providing IGFS without the prior IGFS agreement could mean that Articles 20, 21 and 22 BRRD would be circumvented and therefore e.g. shareholders (including minority shareholders) would lose entirely the safeguard which is embedded in Article 21 BRRD. Can it be also clarified if it is therefore necessary to apply Articles 20, 21 and 22 to the contract which would be concluded between the IGFS provider and IGFS receiver pursuant to Article 19(3).

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

CVA for Exposures in structures with underlying assets

In case the bank invests in a structure with underlying assets (e.g. UCITS) that consist also of derivatives. Should the CVA also be calculated for these exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Exclusion of Intragroup Liabilities -Treatment of cases when one institution pays annual contribution according to Article 10 of DA (lump sum) and the other according to standard risk-weight reflecting approach

How to apply requirement of Article 5 (1) (a) to exclude intragroup liabilities arising from transactions between institutions where one party to the transaction qualifies for lump-sum contribution in line with Article 10 of DA?

  • 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