List of Q&As

Interplay between Articles 49(3) and 72e(5) of the CRR

Does the exemption from the requirement to deduct holdings of own funds instruments under Article 49(3) of the CRR also apply with regard to the deductions set out in Article 72e(5)?

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

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

ID: 2023_6763 | Topic: Own funds | Date of submission: 30/03/2023

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?

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

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

ID: 2023_6746 | Topic: Market risk | Date of submission: 12/03/2023

Back-to-Back in regulatory threshold

How should back-to-back trades that net off perfectly when calculating the size of their on- and off-balance-sheet business that is subject to market risk be accounted for? Should both positions be considered in absolute value, both the short and the long position, or should they not be included as the positions perfectly offset each other and do not generate capital requirements for market risk?

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

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

ID: 2023_6745 | Topic: Market risk | Date of submission: 12/03/2023

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?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2021/03 - Guidelines on major incident reporting under PSD2 - repealing EBA/GL/2017/10

ID: 2023_6744 | Topic: Major incidents reporting | Date of submission: 10/03/2023

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

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

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

ID: 2023_6716 | Topic: Credit risk | Date of submission: 13/02/2023

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?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

ID: 2023_6714 | Topic: Transparency and Pillar 3 | Date of submission: 09/02/2023

Recognition of minority interest of a subsidiary subject to own funds requirements on individual level

Can minority interests of a subsidiary be recognised, if the respective subsidiary is only subject to own funds requirements on individual level, but not on sub-consolidated level?

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

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

ID: 2023_6713 | Topic: Own funds | Date of submission: 09/02/2023

ESG P3 - Reg 2453/22 - Scope of application

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

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

ID: 2023_6708 | Topic: Transparency and Pillar 3 | Date of submission: 30/01/2023

COREP V3.2 C14.00 Detailed Information on Securisations / C14.01 Detailed information on Securisations by approach

Do the new columns below introduced with version COREP V3.2 need to be completed for securitisations SWAP transactions ? Column 0287 of template C14.00 : Synthetic excess spread Column 0362 of template C14.01 : Synthetic excess spread Template C14.00 Column 0076: TYPE OF EXCESS SPREAD Column 0077: AMORTISATION SYSTEM Column 0078: COLLATERALISATION OPTIONS Column 0254: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: AMOUNT Column 0255: OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS: OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT It does not seem relevant to us to supply these new columns for the scope of securitisation swaps, in particular when the latter are linked to the nominal loan pool.

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)

ID: 2023_6700 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/01/2023

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?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures

ID: 2023_6695 | Topic: Transparency and Pillar 3 | Date of submission: 17/01/2023

Period to be covered by statistics pursuant to Article 32(4) of Commission Delegated Regulation (EU) 2018/389

Which period should the statistics to be published by ASPSPs under Article 32(4) of Commission Delegated Regulation (EU) 2018/389 cover in total?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2023_6687 | Topic: Strong customer authentication and common and secure communication (incl. access) | Date of submission: 12/01/2023

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?

Legal act: Directive 2015/2366/EU (PSD2)

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

ID: 2023_6675 | Topic: Monetary amount of the professional indemnity insurance | Date of submission: 03/01/2023

SRT test in securitisations

When is necessary to make de SRT test in securitisations: at initial assessment only or ongoing monitoring?  

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

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

ID: 2022_6674 | Topic: Securitisation and Covered Bonds | Date of submission: 30/12/2022

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?

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

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

ID: 2022_6670 | Topic: Credit risk | Date of submission: 22/12/2022

Validation rule v7371_m and v7372_m

Paragraph 114 in Annex II to Regulation (EU) 2021/451 (ITS on Reporting) states that investors in securitisation positions should report among others columns 0310-0470 in C 14.01. Validation rule v7371_m and v7372_m expects column 0140 and 0230 to be filled in C 14.00 when column 0310 in C 14.01 is filled. We believe however that columns 0140 and 0230 in C 14.00 are only to be filled by originators/multi-sellers and not investors.

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: 2022_6648 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/12/2022

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?

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

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

ID: 2022_6633 | Topic: Credit Risk – Non performing exposures / loan origination | Date of submission: 11/11/2022

Exemption of exposures to public sector entities

In accordance with Article 429a (1) (j) (iii) of Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, exposures to public sector entities (PSE), treated in accordance with Art. 116 (4) CRR and arising from deposits that the institution is legally obliged to transfer to this PSE for the purpose of funding general interest investment, shall be excluded from the denominator calculation of the institution´s leverage ratio.  Is there any limitation in the type of deposit assets to apply for such exclusion, particularly as regards cash-assimilated instruments (Article 4 (1)(60) CRR), which include certain categories of bonds? What is meant by “legal obligation” and what creates such obligation? Would contractual or statutory obligation qualify as such? Is there furthermore an example for “general interest investment”?  

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

ID: 2022_6624 | Topic: Leverage ratio | Date of submission: 28/10/2022

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)?

Legal act: Directive (EU) 2015/849 (AMLD)

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

ID: 2022_6622 | Topic: Other topics | Date of submission: 27/10/2022

CRM substitution in case of equal risk weight

Should Credit Risk Mitigation with substitution effects on the exposure be applied (and presented in COREP) in case of an original exposure subject to unfunded credit protection (meeting all applicable eligibility requirements) where the risk weight/risk-weighted exposure amount remains equal after the substitution? Is there any difference depending on the approach? (SA/FIRB/AIRB)

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: 2022_6621 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/10/2022

Information provided to the payee on individual payment transaction

If a framework contract includes a condition on providing all required information to the payee at least once a month, is the payment service provider still obliged to provide the information to the payee after the execution of individual payment transaction? Or providing monthly information is enough and provision of information separately about each individual transaction is not required anymore?

Legal act: Directive 2015/2366/EU (PSD2)

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

ID: 2022_6612 | Topic: Other topics | Date of submission: 17/10/2022