Question ID
2025_7500
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
495d
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions
Article/Paragraph
2.4 Annex II, Part II, Credit Risk SA, Section 3.2.5
Type of submitter
Credit institution
Subject matter
Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)
Question

In the absence of specific guidance in the Annex, the scope of the new column c0195 Transitional arrangements for UCCs in C_07.00 and the expected reporting of such UCCs throughout the transition phase remains unclear.

For example, the Bank has a UCC with a nominal value of €100,000, all of which remains undrawn over the transition period 1 January 2025 to 31 December 2032. Please confirm that the exposure shall be consistently reported as €100,000 in c0195 throughout the transition period 1 January 2025 to 31 December 2032, as follows. 

Reference Period

Transitional Arrangement

Art 495d (1) Factor

Example: UCC with nominal value of €100,000

Exposure Value
   

c0195

c0200

2025-2029

0%

100,000

0

2030

25%

100,000

2,500

2031

50%

100,000

5,000

2032

75%

100,000

7,500

Whilst acknowledging the relevant validations v6364_m and v0307_m, the proposed rationale is based on the principle that the UCC is in its entirety subject to the transitional arrangements as from the reference period 2025. 

Effectively, this implies that c0195 shall consist of the fully adjusted exposure value prior to the application of both the CCF and the transitional factor laid down in Article 495d. Such reporting would also ensure alignment with c0150 and the preceding columns.

Background on the question

Our query stems from the fact that the proposed reporting of c0195 does not accurately present the effect of the transitional factors over the phasing period within the section “Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors”. Instead, we understand that the effects of the transition shall be evident in c0200 Exposure Value, where such column comprises the exposure value after both the application of the CCF and the factor prescribed in Article 495d. 

Submission date
Final publishing date
Final answer

Example is correct. The figures reported in column 0195 shall be the fully adjusted exposure values of off-balance sheet items, for which the transitional arrangements for UCCs are applied, before application of the conversion factor. In column 0200 the figures reported shall be the fully adjusted exposure values after application of the conversion factor. The effects of the application of the transitional arrangements for UCCs on RWEA are reported in column 0241, i. e. the difference between the RWEA calculated without applying the transitional provisions and the RWEA calculated applying the transitional provisions.  

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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