Correlation parameter for Intra-bucket correlations for credit spread risk for non-securitisations

In the first subparagraph of Article 325c it is stated that institutions apply a risk factor per issuer and per maturity, irrespective of whether these credit spread rates of the issuer derive from debt instruments or credit default swaps. However, the correlation factor linked to the basis risk is present in article 325ai. Must this value always be equal to 1 since there is no longer a division between the two types of curve as regards risk factors or does this basis risk refer to another type of risk? In this second case to which?

Service Downtime

The question refers to the case that an incident with a duration of two hours that disrupts transaction processing occurs around the daily cut off time of same-day transactions processing. Thus, the incident may be of a short duration, but as a result, transactions are booked one day later. Considering this example, what service downtime should the payment service provider (PSP) indicate in the PSD2 notification? Just the net time of the failure or the total time any payment service users are affected by delayed transactions, i.e. one day?

ESG P3 - Template 2 and 5 - Gross carrying amount for loans collateralized by RRE/CRE and multiple collaterals

Question 1: For loans collateralised by CRE and/or RRE, to be reported in template 2 & 5, does the regulation allow to have their gross carrying amount not matching the gross carrying amount of the same loans reported in FINREP? Question 2: Does Q&A 6517 apply for both template 2 and 5 or only for template 5?

ESG P3 - Reg 2453/22 - Scope of application

What is the scope of application of Regulation (EU) 2022/2453? 

ESG P3 - Templates 6, 7 and 8 - Scope of application as of 31.12.2023 and institutions’ exemption from EU taxonomy reporting until mandatory CSRD reporting as of 31.12.2024

Is the institution obliged to disclose Pillar III ESG templates 6, 7 and 8 as of 31.12.2023 despite its current exemption from EU taxonomy reporting until mandatory CSRD reporting as of 31.12.2024?

Consideration of own funds requirements as a comparable guarantee to the PII

Would it be acceptable to consider, has a possible comparable guarantee, an increase of own funds’ requirements, in an amount corresponding to the minimum monetary amount calculated in accordance with the EBA’s tool, while ensuring that this amount would be fulfilled with highly liquid assets?

The risk-weighted exposure amount of the CIU’s exposures in mandate based approach

Could the institution use the information from the CIU management company about the notional amount of derivative positions of CIU to assess the value of those derivatives in  calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) of CRR? In particular, is the institution allowed to use the information from the CIU management company, that CIU doesn’t have derivatives in their portfolio and assess the value of those derivatives as zero in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) of CRR?

Minimum loss coverage for non-performing exposures under Article 469a

In case of a default occurred in 2020, for a loan originated before 26 April 2019, if the bank grants the defaulted obligor a forbearance measure in the form of a new loan to cover past due payments on the original loan and thus effectively increasing the banks’ total exposure towards the obligor, will the original loan, which has not been increased, cease to be subject to the derogation provided for in Article 469a(1) CRR?

Approach to determining indirect ownership control powers under the legal definition of a beneficial owner.

What approach to determining the indirect ownership control power under the legal definition of a beneficial owner (“UBO”) as set out in Article 3(6)(a)(i) of Directive (EU) 2015/849 of the European Parliament and of the Council of 20 May 2015 on the prevention of the use of the financial system for the purposes of money laundering or terrorist financing, as amended by Directive (EU) 2018/843 of the European Parliament and of the Council of 30 May 2018 amending Directive (EU) 2015/849 on the prevention of the use of the financial system for the purposes of money laundering or terrorist financing should be applied: (a) Determining the ‘share’ of indirect control of a UBO by multiplying the shares at each level of control and checking whether the result of this multiplication is more than 25% (multiplication test); (b) Examining the chain of control whenever a particular link in the ownership chain exceeds the 25% threshold which may, ultimately, lead to a natural person holding more than 25% of the shares or votes in a given indirect parent entity (rolling test); or (c) Verifying whether there is an entity or person who “controls” the entity having more than 25% of the shares or votes in an entity being evaluated, i.e. holds more than 50% of shares or votes in such entity (dominancy test)?