Application of CRR Article 272(12) to SFT population within CoRep Template C34.02

CRR2 Requirement Application of Article 272(12) to the SFT population under IMM and FCCM approaches in derivation of the current market value for the purpose of disclosure in Taxonomy 3.0 template 34.02 - ‘current market value’ or ‘CMV’ means the net market value of all the transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV. Reporting requirement The EBA ITS instructions state that the Current Market Value (CMV), positive should represent the Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR and the Current Market Value (CMV), Negative the sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. It has been noted that the article reference – 272(12) is specifically tied to the standardised method and therefore does not apply to other methodologies for CCR However the EBA have extended the application of said article under CRR2 to cover all calculation approaches. Neither the CRR2 text or the reporting requirements provide sufficient clarity on how the current market value should be derived for the SFTs – a concept that is not recognised as a capital measure in assessing the counterparty credit risk for security financing trades. For SA-CCR this would be a relevant parameter, but from a firm perspective we do not use SA-CCR for our repos, only IMM or FCCM (so either Article 220 or 223).

Interest expenses categories

Under which heading of interest expenses should be declared commissions paid on commitments received ?

State guarantee of newly issued liabilities

Should liabilities issued under Article 32(4)(d)(ii) of Directive 2014/59/EU (BRRD) meet the criteria of Additional Tier 1 or Tier 2 instruments?

Relation between precautionary recapitalisation and early intervention measures

What is the relation between precautionary recapitalisation and early intervention measures in case an institution would have to raise its capital base following the negative outcome of stress test?

References to “the group” in Articles 6 (2) and (5)

Why do Articles 6 (2) and (5) of Directive 2014/59/EU (BRRD) make reference to “the group” althugh the assessment of group recovery plans is covered under Article 8?

Purpose of the use of the power to write down and convert capital instruments and eligible liabilities

What is the purpose of the use of the power to write down and convert capital instruments and eligible liabilities in accordance with Article 59 of Directive 2014/59/EU (BRRD), in case of transfer of assets, right or liabilities to the bridge entity or the asset management vehicle or the use of the sale of business tool?

Principal amount in Articles 43-60

What does the term “principal amount” as referred to in Articles 43 to 63 of Directive 2014/59/EU (BRRD) refer to?

Transfer of assets to an asset management vehicle

Can a bridge institution transfer assets to an asset management vehicle of its own accord, without the interference of the resolution authorities? Or can assets be transferred from the bridge institution to an asset management vehicle only if the resolution authorities exercise their power to transfer assets, in accordance with Article 42(1) of Directive 2014/59/EU (BRRD)?

Use of resolution tools without issuing a formal decision

In light of Article 32(1) and Article 82 of Directive 2014/59/EU (BRRD), should the decision initiating resolution spell out which resolution tool/s, among those listed in Article 37(3) BRRD, will be applied, or is it possible to apply resolution tools without issuing a formal decision?