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Eligibility of capital instruments for classification as Common Equity Tier 1 instruments when the instruments are supplemented by a contractual obligation of the majority-holder of those instruments to pay compensation to the minority shareholders even in loss years

Paragraph 1 (I) (ii) of Article 28 Regulation (EU) No. 575/2013 (CRR) states that “the instruments are not secured, or subject to a guarantee that enhances the seniority of the claim by the parent undertaking of the institution”. The question is, whether a contractual obligation of the majority shareholder of a credit institution to pay a compensation to the minority shareholders even in loss years (by reason that the majority shareholder and the credit institution have entered into a profit and loss transfer agreement) is permissible according to paragraph 1 (I) (ii) of Article 28 CRR? In more general terms, what is the meaning of the word “claim” in paragraph 1 (I) of Article 28 CRR (claim only to the substance/equity of the credit institution, or also to a dividend or to a compensation payment or all)?

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

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

ID: 2013_543 | Topic: Own funds | Date of submission: 19/11/2013 | Date of publication: 04/07/2014

Exemption from deduction of Equity Holdings in an insurance company from CET1

Pursuant to Article 471(1)(d) of Regulation (EU) No 575/2013 (CRR), in order not to deduct the equity investment in an insurance company, should “the amount of the equity holding which is “not deducted” not exceed (i) the “amount of shares” (13% share of the insurance company’s capital) or (ii) the “book value” (EUR 2 billion), held in the Common Equity Tier 1 instruments in the Insurance company as of December 31, 2012?

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

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

ID: 2013_502 | Topic: Own funds | Date of submission: 04/11/2013 | Date of publication: 04/07/2014

Minimum reserve requirement

What is the requirement to maintain the minimum reserve requirement within the LCR period, i.e. does the LCR have to be met for each of the 30 days in the stress horizon?

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

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

ID: 2013_293 | Topic: Liquidity risk | Date of submission: 30/09/2013 | Date of publication: 04/07/2014

Collateral Swaps Scope

C54 of the LCR covers the collateral swaps. Should this template should only include transactions undertaken by the liquidity management function that are reported in the assets template.

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 (as amended)

ID: 2014_717 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 08/01/2014 | Date of publication: 27/06/2014

Reporting on own funds and own funds requirements - Exposure value calculation

What is the correct calculation of the exposure value of non-trading book, non-derivative and non- repostyle exposures for the purposes of STA (Art 111) and large exposures (Art 389)? More specifically, are Additional Value Adjustments (AVA) according to Art 34 deducted?

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 (as amended)

ID: 2013_694 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/12/2013 | Date of publication: 27/06/2014

Netting of DTAs and DTLs

1. For the purposes of netting DTAs and DTLs, Art. 38 (5) Regulation (EU) No 575/2013 (CRR) requires a pro rata allocation of DTLs between DTAs which are below the 10%-threshold mentioned in Art. 48 (1) (a) CRR and all other DTAs, which rely on future profitability. With this requirement, it seems that institutions are not permitted to net DTAs and DTLs before they enter into the threshold treatment (as the pro rata relation for the allocation of DTLs has to be fixed already based on those which are below the threshold), which seems to be different from the rules as set out in the Basel III framework. Could the EBA or the EU Commission confirm that Art. 38 (5) CRR indeed requires a different procedure for allocating DTLs to DTAs which rely on future profitability than the one set out in the Basel III text? 2. If the above understanding of the CRR text is confirmed, could the EBA or the EU Commission clarify whether the 10% basket mentioned in Art. 48 (1) CRR may only be filled with gross DTAs or whether an iterative calculation is permissible under the CRR? 3. If the suggested iterative calculation is permissible, we also seek clarification on how and at which point the proportion between the DTLs that may be allocated to DTAs related to temporary differences and those that may be allocated to other DTAs relying on future profitability is established. 3. If the suggested iterative calculation is permissi-ble, we also seek clarification on how and at which point the proportion between the DTLs that may be allocated to DTAs related to temporary differences and those that may be allocated to other DTAs relying on future profitability is established.

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

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

ID: 2014_980 | Topic: Own funds | Date of submission: 21/03/2014 | Date of publication: 27/06/2014

Allocation of loans and advances secured by more than one type of collateral in F 05.00 Breakdown of loans and advances by product

In FINREP table F5. “Breakdown of loans and advances by product” the carrying amount of mortgage loans and other collateralized loans shall be reported in row 090 and row 100. If loans and advances are simultaneously secured by more than one type of collateral, for example secured by immovable property and other collateral, then how they shall be reported?

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 (as amended)

ID: 2013_685 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 20/12/2013 | Date of publication: 27/06/2014

Template 5 - Missing Validation Rule

German Question (Deutsche Frage): Während die nun verbal formulierte Zuordnung der “balances receivable on demand classified as cash balances at central banks“ zu Tabelle 5 (alt 9) in den alten Validation Rules ausdrücklich als Formelbezug angegeben war (F 09.00, r010, c010 = F 01.01, r030, c010), ist diese Verbindung in den aktuellen Validation Rules nicht mehr angegeben. Wie ist dies zu interpretieren? English Question: Whereas the now verbally formulated assignment of the ‘balances receivable on demand classified as cash balances at central banks’ to table 5 (prev. 9) was given expressly as a formula in the old validation rules (F 09.00, r010, c010 = F 01.01, r030, c010), this connection is no longer given in the current validation rules. How should this be interpreted?

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 (as amended)

ID: 2013_607 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 02/12/2013 | Date of publication: 27/06/2014

Supervisory Reporting (FINREP templates), 40.1 Group structure: “entity-by-entity”

There are two columns Accounting treatment (Accounting Group) and Accounting treatment (CRR Group) with three possibilities to note something. Accounting Group (full consolidation, proportional consolidation, equity method); CRR Group (full integration, proportional integration, equity method). How should institutions deal with the situation that the respective entity is not in both scopes of consolidation => What should note in this case?

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 (as amended)

ID: 2013_574 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 27/11/2013 | Date of publication: 27/06/2014

COREP CR IRB - Calculation of column 10 - obligor PD with or without CRM technique

When calculating the weighted average PD on column 010, should we consider the PD assigned to the obligor only, or should we take into account the change in PD related to CRM technique (PD substitution on covered exposure)?

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 (as amended)

ID: 2013_564 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 26/11/2013 | Date of publication: 27/06/2014

Calculation of retail exposures under Article 123(c) of Regulation (EU) No 575/2013 (CRR)

Does expression from Article 123 point (c) of the first subparagraph of Article 123 of Regulation (EU) 575/2013 (CRR)CRR “the total amount owed to the institution and parent undertakings and its subsidiaries” refer to exposure value as of Article 111 1. net exposure value (after deduction specific credit risk adjustments and additional adjustments) of an asset and of an off-balance sheet? Should the exposure value (the sum of current replacement cost and potential future credit exposure) of derivative instruments be included in calculation of total amount owed to the institution, laid down in point (c) of Article 123? Should the total amount owed to the institution and parent undertakings and its subsidiaries as of Article 123 (c) include: - An off-balance sheet item = 50 000 EUR? - Credit risk adjustments = -10 000 EUR? - Value of derivative instrument? If so, should both current replacement cost and potential future credit exposure be included?

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

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

ID: 2014_707 | Topic: Credit risk | Date of submission: 03/01/2014 | Date of publication: 27/06/2014

Retail exposure class and risk weight for exposure value of derivative instruments

Should the credit risk exposures and counterparty credit risk exposures for the same customer be classified as retail exposures if the criteria from Article 123 points (a) to (c) of Regulation (EU) No 575/2013 (CRR) are met and they are classified neither as exposures in default nor as exposures secured by mortgages on immovable property? Are there any restrictions in assigning derivative instrument to the retail exposures class and to use one of the preferential risk weights of 75% except criteria from Article 123?

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

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

ID: 2014_704 | Topic: Credit risk | Date of submission: 03/01/2014 | Date of publication: 27/06/2014

Outflows from credit and liquidity facilities

Please confirm the interpretation that a general working capital facility made available to a client meets the condition detailed in Article 424(3)(c) of Regulation (EU) No 575/2013 (CRR) if the client can use the facility in situations where the client is unable to obtain its funding requirements in the financial markets provided that the facility has not been expressly and solely provided for this purpose.

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

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

ID: 2013_563 | Topic: Liquidity risk | Date of submission: 26/11/2013 | Date of publication: 27/06/2014

Supervisory Reporting requirements of branches in host countries

What supervisory reporting requirements apply for branches of credit institutions authorised in another member state or a third country in their host country? (for example a branch of a German bank in Austria).

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 (as amended)

ID: 2013_484 | Topic: Supervisory reporting - Other | Date of submission: 01/11/2013 | Date of publication: 27/06/2014

Liquidity-sub group

In Article 8 (1) of Regulation (EU) No. 575/2013 (CRR), it is stated, that institutions may fulfill the liquidity requirements on a liquidity-sub-group level, if the subsidiaries are located in the Union resp. Article 8 (3) deals with liquidity sub-Groups in several member states. Is it also possible to build-up a liquidity sub-group, if one of the subsidiaries is not located in the Union, but the country is member of the EWR (esp. EFTA member like Liechtenstein, Iceland and Norway)?

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

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

ID: 2013_437 | Topic: Liquidity risk | Date of submission: 28/10/2013 | Date of publication: 27/06/2014

Bestimmung der Forderungsklasse für börslich gehandelte Optionen, Warrants und Futures / Determination of the exposure class for exchange-traded options, warrants and futures

Warrants, wie auch Options und Futures beinhalten sowohl ein Adress-Ausfallsrisiko, als auch ein ein individuelles Risiko (über die Entwicklung des Basiswertes bzw. dessen Emittenten). Nach welchen Kriterien soll CRR zufolge die Bestimmung der Forderungsklasse erfolgen? EN TRANSLATION: Warrants, like options and futures, entail both a counterparty credit risk and an individual risk (through the development of the underlying and its issuer). On the basis of what criteria, according to CRR, is the exposure class to be determined?

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

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

ID: 2013_546 | Topic: Credit risk | Date of submission: 21/11/2013 | Date of publication: 20/06/2014

Definition of liquidity facility

Would it be acceptable from a regulatory point of view to use only the swingline portion of a facility (i.e. a loan to an entity to cover possible shortfalls from other debt commitments) as "liquidity facility"?

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

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

ID: 2013_506 | Topic: Liquidity risk | Date of submission: 05/11/2013 | Date of publication: 20/06/2014

Calculation of outstanding Tier 2 capital, following pre-payment of amounts that have been amortised or phased-out

This question, background information and proposed answer are posed on behalf of an institution we supervise. In accordance with Regulation (EU) No 575/2013 (CRR), subordinated debt with defined maturity is gradually deducted from Tier 2 in each of the last five years. Amortization shall occur on the basis of the number of days that have passed in the last five years (Article 64). The institution considers the possibility to repay subordinated debt in the portion corresponding to the amortized amount, assuming that this will have no impact on the basis for the calculation on the amount classified as Tier 2. Is this interpretation correct?

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

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

ID: 2013_314 | Topic: Own funds | Date of submission: 01/10/2013 | Date of publication: 20/06/2014

Capital instruments that were issued with an incentive to redeem but no longer contain one

In EBA Q&A Question: 2013_15 you state "The fact that the instrument is not called does not mean that the instrument may be reclassified as an instrument without an incentive to redeem". Was this meant specifically within the context of grandfathering or more broadly. For example, a T1 instrument with its first call prior to 31 December 2011 and therefore can be subject to grandfathering but also on a forward looking basis no longer contains an incentive to redeem, if this instrument has call resets every 5 years will this instrument be eligible for T2 qualification under CRR when it falls out of grandfathering. More specifically does the fact a bond was ISSUED with an incentive to redeem in the past specifically preclude it from being eligible for T2 treatment, even if following the call date and on a forward looking basis this incentive to redeem no longer exists?

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

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

ID: 2013_50 | Topic: Own funds | Date of submission: 09/07/2013 | Date of publication: 20/06/2014

First time application of country-by-country reporting – interaction between Article 89 paragraphs (1) and (2)

How should the provisions of Article 89 of Directive 2013/36/EU (CRD), and in particular paragraphs (1) and (2) be applied. In addition, what are the implications for institutions whose financial year is not aligned with the calendar year? How do the provisions in paragraphs (1) and (2) interact with the requirement in paragraph (4) according to which the published information shall be audited in accordance with Directive 2006/43/EC.

Legal act: Directive 2013/36/EU (CRD)

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

ID: 2014_1250 | Topic: Other issues | Date of submission: 28/05/2014 | Date of publication: 06/06/2014