List of Q&As

Maturity reporting for Pillar 3 ESG risks disclosure, Template 1 and 5

How should we treat products without stated maturity (such as on demand, equity, perpetual loans) in the maturity buckets and in the average weighted maturity computation? E.g. perpetual loans will probably end up in the >20 years bucket, but which year should we use for the computation of the average weighted maturity? Or Equity holdings are mentioned in the instructions, but it's not clear in which maturity bucket we should report them and which year to use for the computation of the average weighted maturity.  

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

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

ID: 2022_6515 | Topic: Transparency and Pillar 3 | Date of submission: 13/07/2022 | Date of publication: 25/11/2022

Template 10: other climate change mitigating actions - Columns d and e

Could you specify which kind of answers are expected under 'type of risk mitigated' (column d and e)?

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

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

ID: 2022_6533 | Topic: Transparency and Pillar 3 | Date of submission: 28/07/2022 | Date of publication: 25/11/2022

Template 5: Banking book - Climate change physical risk: Exposures subject to physical risks

What is the relation between row 1-9 and 10-12? Are rows 10-12 based on the sectors mentioned in 1-9 only, or based on all sectors (including the ones not mentioned in 1-9)?

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

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

ID: 2022_6541 | Topic: Transparency and Pillar 3 | Date of submission: 01/08/2022 | Date of publication: 25/11/2022

Clarification on summing columns in Template 10 "Other climate change mitigating actions that are not covered in the EU Taxonomy"

We ask for clarification whether 'columns d' and 'e' in Template 10 (respectively 'Type of risk mitigated (Climate change transition risk) ' and 'Type of risk mitigated (Climate change physical risk) ') should add up to 'column c' ('Gross carrying amount (million EUR) ')?

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

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

ID: 2022_6564 | Topic: Transparency and Pillar 3 | Date of submission: 17/08/2022 | Date of publication: 25/11/2022

Template 5 - Definition of time horizons

With regards to the Final draft implementing technical standards (ITS) on prudential disclosures on ESG risks in accordance with Article 449a CRR, specifically regarding Template 5 of related Annex XXXIX, could you specify 'time horizon'?

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

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

ID: 2022_6537 | Topic: Transparency and Pillar 3 | Date of submission: 28/07/2022 | Date of publication: 25/11/2022

Template 2 - Row 5 subset

Template 2 of Annex XXXIX to the Final draft implementing technical standards on prudential disclosures on ESG risks in accordance with 449a CRR – Is row 5 a sub-set of rows 2/3/4?  

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

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

ID: 2022_6532 | Topic: Transparency and Pillar 3 | Date of submission: 28/07/2022 | Date of publication: 25/11/2022

Template 10: Other climate change mitigating actions - Scope of Bonds and Loans

Could you clarify which types of 'bonds and loans' are in scope?

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

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

ID: 2022_6531 | Topic: Transparency and Pillar 3 | Date of submission: 28/07/2022 | Date of publication: 25/11/2022

Use of Turnover taxonomy eligibility/alignment or Capex taxonomy eligibility/alignment for Pillar 3 Risks ESG disclosures

Question 1: We interpret that the wording "general purpose lending part" excludes “specialised lending” and it leaves the door open to derive that Capex may be used for specialised lending and/or when the use of proceeds is known. Could you please indicate if for some of the Pillar 3 reports the Capex taxonomy eligibility/alignment should be used instead of the turnover taxonomy eligibility/alignment. If yes, may you please precise under which conditions Capex taxonomy eligibility/alignment should be used and to which report it applies and potentially to which columns/rows if relevant. Question 2: Is there any intentional distinction between the wording “use of proceeds is known” versus the wording “specialised lending”? If yes, could you explain the difference?

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

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

ID: 2022_6521 | Topic: Transparency and Pillar 3 | Date of submission: 21/07/2022 | Date of publication: 25/11/2022

Multiple collaterals reporting for Pillar 3 ESG risks disclosure, Template 2 and 5

In case a loan has multiple collaterals (of which immovable property and also other collateral types) should the entire gross carrying amount be reported as collateralised by the immovable property or should the amount be pro-rated?

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

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

ID: 2022_6517 | Topic: Transparency and Pillar 3 | Date of submission: 13/07/2022 | Date of publication: 25/11/2022

Template 10: Other climate change mitigating actions - Repurchases double counting

How do we avoid double counting if we invest in our own covered bonds? Both the loan and the covered bond will be in Template 10.

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

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

ID: 2022_6509 | Topic: Transparency and Pillar 3 | Date of submission: 01/07/2022 | Date of publication: 25/11/2022

Template 10: Other climate change mitigating actions - Covered bonds

Is it correct that a covered bond will be classified as a bond with a credit institution (financial corporation) as counterparty?

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

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

ID: 2022_6508 | Topic: Transparency and Pillar 3 | Date of submission: 01/07/2022 | Date of publication: 25/11/2022

Maturity floor in Standard Method for CVA

Shall a floor equal to 1 - according to Article 162(2)(b)CRR- be applied also for derivatives that are not subject to a master netting agreement? For example, if you have an exposure to a counterparty consisting of a single derivative not subject to a master netting agreement and expiring in 6 months, is the effective maturity to be entered equal to 0.5 or 1?

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

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

ID: 2022_6529 | Topic: Market risk | Date of submission: 27/07/2022 | Date of publication: 11/11/2022

Valuation of ASA: financial instruments with a negative fair value

What should be the treatment of the financial instruments with a negative fair value for the purposes of the measurement of client financial instruments safeguarded and administered (ASA)?

Legal act: Regulation (EU) 2019/2033 (IFR)

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

ID: 2022_6449 | Topic: K-factor requirements | Date of submission: 16/05/2022 | Date of publication: 11/11/2022

Preferential risk weight for exposures to central governments and central banks under Article 114(4) of CRR

Does Article 114(4) of CRR apply to both on-balance sheet and off-balance sheet liabilities (including the forward leg of an FX swap) in the same domestic currency and at least the same amount as the exposure to the central government or central bank (on- or off- balance sheet exposures)?

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

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

ID: 2022_6439 | Topic: Credit risk | Date of submission: 06/05/2022 | Date of publication: 11/11/2022

Application of Articles 52 and 54 of Regulation No. 575/2013 (CRR) at consolidated level

How should the consolidated level of AT1 instruments where the issuer is a 100% fully owned subsidiary of an EU institution where the subsidiary is established in a third country and has not been designated in accordance with Article 12 of Directive 2014/59/EU (BRRD) as part of a resolution group the resolution entity of which is established in the Union be treated?

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

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

ID: 2022_6436 | Topic: Other issues | Date of submission: 29/04/2022 | Date of publication: 11/11/2022

Definition and scope of Asset Under Management

Are assets for which the investment firm provides account aggregation services (outside of the MiFID authorisation scope) to be included in the AUM calculation?  

Legal act: Regulation (EU) 2019/2033 (IFR)

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

ID: 2022_6418 | Topic: K-factor requirements | Date of submission: 31/03/2022 | Date of publication: 11/11/2022

Definition of private equity exposures in articles 155(2) and 155(3)

Do “private equity exposures in sufficiently diversified portfolios” eligible to a Risk Weight (RW) of 190% in simple risk weight approach in Article 155(2) and a PD of 65% in the PD/LGD approach in article 155(3) refer to any non-listed equity instrument and/or shares in a CIU or units in a CIU for which the underlying exposures are non-listed equity instruments, provided that they are part of a sufficiently diversified portfolio?

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

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

ID: 2022_6369 | Topic: Credit risk | Date of submission: 11/02/2022 | Date of publication: 11/11/2022

Scope of COH definition under IFR

Are pure intermediation transactions processed in name give-up taken into account in the K-COH calculations?

Legal act: Regulation (EU) 2019/2033 (IFR)

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

ID: 2021_6316 | Topic: K-factor requirements | Date of submission: 16/12/2021 | Date of publication: 11/11/2022

Nature and treatment of off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date)

Should off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date) be considered as a “credit line” and hence fall into Article 166.8(d) of the CRR or as an “undrawn credit facility” and hence fall into Article 166.10?

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

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

ID: 2021_6239 | Topic: Credit risk | Date of submission: 18/10/2021 | Date of publication: 11/11/2022

Delta calculation internal models

Is an institution required to obtain competent authority’s permission for delta calculation internal model in the situation when the position in option is being closed back-to-back (additional adjustments of closing position due to daily change of the position being closed) on a weekly basis?

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

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

ID: 2021_6217 | Topic: Market risk | Date of submission: 21/09/2021 | Date of publication: 11/11/2022