Reporting of repos and reverse repos with underlying liquid asset collateral

Clarification on the reporting of repos and reverse repos with underlying collateral which is eligible for inclusion in the liquid asset buffer is needed. In particular, CRR Article 416 allows for unencumbered assets obtained through reverse repo transactions to be included within the pool of liquid assets and greater clarity is needed therefore on how these should be reported on C51.00 and C53.00.

Template C18.00 - Market Risk: Standardised Approach for Position Risks in Traded Debt Instruments (MKR SA TDI)

COREP: With regards to MKR SA TDI: All Positions, the instructions state that columns c010 [Long] and c020 [Short] should exclude underwritten positions subscribed or sub-underwritten by third parties. Can the EBA confirm whether this exclusion applies across the whole template?

Accumulated Changes in Fair Value due to Credit Risk

Tables 4.1, 4.2, 6, 8, 20.4, 20.7 and 45.1 all require information pertaining to accumulated changes in fair value due to credit risk, and point the respondent to Annex V.46 and IFRS 7.9 as technical references. Annex V.46 requires that “accumulated changes in fair value due to credit risk” figures shall be reported for financial assets at fair value through profit or loss”. The related IFRS guidance (IFRS 7.9) under the heading “Financial assets or financial liabilities at fair value through profit or loss” requires that if the entity has designated as measured at fair value a financial asset (or group of financial assets) that would otherwise be measured at amortised cost, it shall disclose . . . the amount of change, during the period and cumulatively in the fair value of the financial asset (or group of financial assets) that is attributable to changes in the credit risk of the financial asset”. Could the EBA confirm that this request relates only to financial assets that would otherwise be measured at amortised cost, and that it does not relate to trading assets?

Validations

There are several validations that do not appear to work given the contents of the cells referenced. Can you please advise as to the appropriate treatment for these items? 1. v1074_m This validation requires the sum of the counterparty split of mortgage loans [Loans collateralized by immovable property] on Table 5 to equal the sum of Row 10 columns 10 and 20 on Table 13, which represents residential and commercial Mortgage loans [Loans collateralized by immovable property]. sum({F 13.01, r010, (c010-020)}) = sum({F 05.00, r090, (c020-060)}) However, the instructions to Table 5 indicate that the loan balances should be reported in this table. In Template 13.1, the “maximum amount of the collateral or guarantee that can be considered” shall be reported. The sum of the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan. Therefore, the validation does not seem to be appropriate given the loan balance may not be equal to the amount of the guarantee/collateral. 2. v1235_m This validation requires that the opening balance of Profit/loss Attributable to owners of the parent equal the closing balance from the prior year. {F 46.00, r010, c100} = {F 46.00, r210, c100} t-1 However, as this is a p&l column, the opening balance should always be 0 as the p&l is rolled into retained earnings every year. 3. v1350_m This validation formula references Table 2 row 320, however this row does not exist. sum({F 20.03, r120, (c010-020)}) = {F 02.00, r320,c010} 4. v1324_m This validation states the opening balance of Profit/loss Attributable to owners of the parent per the Statement of Changes in Equity should equal Profit/loss Attributable to owners of the parent on the balance sheet from the prior period. The FAQ's released by the EBA in March stated "Templates referring to a period shall be reported cumulatively from the first day of the accounting year to the reference date." {F 46.00, r010, c100} = {F 01.03, r250, c010} t-1. We do not understand the reference to IAS 27.28. The validation v0786_m states that Profit/loss Attributable to owners of the parent is an income statement measure as it validates to the Statement of Profit or Loss. As a p&l measure would get closed out into retained earnings at the end of each year, this validation does not appear to work. Is the EBA intending Table 1.3 row 250 to represent p&l for the year? The reference to IAS1.83(a)(ii) is invalid as it has been removed from the standard. Is the EBA intending Table 1.3 row 250 to represent p&l for the year? The reference to IAS1.83(a)(ii) is invalid as it has been removed from the standard. 5. v1236_m This validation requires that the opening balance of Interim Dividends equal the closing balance from the prior year {F 46.00, r010, c110} = {F 46.00, r210, c110} t-1 Is this supposed to represent the balance sheet value of accrued but not paid dividends? 6. v1325_m This validation states the opening balance of Interim Dividends per the Statement of Changes in Equity should equal Interim Dividends on the balance sheet from the prior year. Is this supposed to represent cumulative distributions or distributions for the year? If the latter, the validation does not work. {F 46.00, r010, c110} = {F 01.03, r260, c010} t-1

Format of NACE code to be reported (Annex IX, 5. LE1 template identification of the counterparty, instruction to column 060 NACE code)

Shall we report only the NACE code (e.g. F) or shall we report the NACE code together with the description (e.g. F - Construction)?

Reporting of derivatives

In the Asset Encumbrance template derivatives with a negative market value should be reported. Have the value of the derivatives be reported after netting?

Original Exposure pre-conversion Factors

The draft ITS on Supervisory reporting state that the Exposure value (for on-balance sheet exposures) equals to the exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques. However, article 111(1) states that "The exposure value of an asset item shall be its accounting value remaining after specific credit risk adjustments". Additionally, the accounting value of an exposure is net of certain value adjustments e.g. non-recoverable income, etc. If for example, we have a customer loan with the following data: A. Balance: 100 B. Non-recoverable income -10 (usually from non-accrual status) C. Gross Accounting value (A+B) 90 D. Provisions -20 E. Net Exposure (C+D) 70 What is the Original Exposure pre-conversion Factors, A or C?

Reporting LE in accordance with Art 392, 20 largest exposures according to last sentence of Art 394(1), 10 largest exposures to institutions and 10 largest to UFE according to Art 394(2)

Do we have to report 4 separate lists? i.e. List 1: LE1, LE2 and LE3 for large exposures defined in accordance with Art 392 (ref. Art 394(1)), including LE exempted from the application of Art 395(1) List 2: LE1, LE2 and LE3 for 20 largest exposures according to the last senctence of Art 394(1), excluding those exempted from the application of Art 395(1) List 3: LE1, LE2, LE3, LE4 and LE5 for 10 largest exposures to institutions according to Art 394(2), including LE exempted from the application of Art 395(1) List 4: LE1, LE2, LE3, LE4 and LE5 for 10 largest exposures to unregulated financial entities according to Art 394(2), including LE exempted from Art 395(1) In which case a particular group of connected clients may show up in several lists (e.g. group XXX shows up in list 1 and in list 2) OR do we have to provide one instance of LE1, LE2, L3, LE4, LE5 such that a particular group of connected clients shows up only once in LE1, LE2 etc.?

Reporting of liquid assets as per annex III CRR

Should items under lines 3.1, 3.2, 3.9 and 3.10 in section 3 of the C51.00 template be reported up to their amount, as items under 1.1, 1.2, 1.5 and 1.6 lines, or at their market value as specified in the template?