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Scope of COREP template C34.08 only CCP exposure?
When compiling template 34.08 should Article 300(1) CRR be interpreted in the broader sense and extended also to non-Central Counterparties exposures? For example, should Initial Margin exchanged on segregated basis under bilateral agreements (EMIR) also be reported under Segregated columns? Or should the Segregated columns be used exclusively for margin exchanged with CCPs?
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: 2021_5852 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 14/05/2021 |
Date of publication: 04/02/2022
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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).
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: 2021_5843 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 11/05/2021 |
Date of publication: 04/02/2022
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Adjustments to RWA for DTA related to timing differences due to IFRS 9 transitional arrangements in template C5.01.
In template C05.01 validation rule v3689_s states that row010 column 040 cannot be negative.
In our opinion, this is not true for RWA on DTA related to timing differences.
EBA Q&A 2018_4189 does not include underpinning why the impact of IFRS9 transitional measures for RWA on DTA related to timing differences cannot be positive.
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: 2021_5820 |
Topic: Supervisory reporting - COREP (incl. IP Losses) |
Date of submission: 21/04/2021 |
Date of publication: 04/02/2022
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Interest expenses categories
Under which heading of interest expenses should be declared commissions paid on commitments received ?
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: 2021_5778 |
Topic: Supervisory reporting - FINREP (incl. FB&NPE) |
Date of submission: 11/03/2021 |
Date of publication: 04/02/2022
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Reporting the income or expense resulting from the recalculation of the carrying amount of the financial asset or financial liability as prescribed by IFRS 9.B5.4.6.
Our question is where (under what item) should be presented in the template F 02.00 “Statement of profit or loss” the income or expense resulting from the recalculation of the carrying amount of the financial asset or financial liability as prescribed by IFRS 9.B5.4.6. Furthermore, it would be helpful for us to have your confirmation that the respective adjustment is deducted when presenting the gross carrying amount of the financial asset.
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: 2014_1441 |
Topic: Supervisory reporting - FINREP (incl. FB&NPE) |
Date of submission: 22/08/2014 |
Date of publication: 04/02/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2622 |
Topic: Resolution objectives and triggers |
Date of submission: 12/02/2016 |
Date of publication: 28/01/2022
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Recovery plans for subsidiaries that are not institutions
Can the requirement to draw up and submit an individual recovery plan under Article 7(2) of Directive 2014/59/EU (BRRD) be imposed upon subsidiaries that are not institutions (e.g. financial institution, financial holding company)?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2562 |
Topic: Recovery plans |
Date of submission: 13/01/2016 |
Date of publication: 28/01/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2516 |
Topic: Early intervention |
Date of submission: 11/12/2015 |
Date of publication: 28/01/2022
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Notification requirements in the context of financial support
What does is the scope of the obligations imposed by Articles 25 (1) and 25 (6) of Directive 2014/59/EU (BRRD)?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2515 |
Topic: Intra-group financial support |
Date of submission: 11/12/2015 |
Date of publication: 28/01/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2514 |
Topic: Recovery plans |
Date of submission: 11/12/2015 |
Date of publication: 28/01/2022
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Changes to financial support agreements
What is the correct course of action in case of changes to financial support agreements in situations where the competent authority has already authorised a group financial support agreement and transmitted it to resolution authorities in accordance with Article 22 Directive 2014/59/EU (BRRD)?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2104 |
Topic: Intra-group financial support |
Date of submission: 06/07/2015 |
Date of publication: 28/01/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3117 |
Topic: Resolution tools and powers |
Date of submission: 20/01/2017 |
Date of publication: 21/01/2022
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Conversion of eligible liabilities to equity
If it is not possible to convert bail-inable liabilities into equity, since, under the applicable national law, the institution may not have shareholders, would it be possible to recapitalize the institution only by writing-down relevant capital instruments and bail-inable liabilities, without converting any liabilities into equity?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3116 |
Topic: Resolution tools and powers |
Date of submission: 20/01/2017 |
Date of publication: 21/01/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3115 |
Topic: Resolution tools and powers |
Date of submission: 20/01/2017 |
Date of publication: 21/01/2022
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AST in combination with other resolution tools
What is the rationale for using the Asset Separation Tool in combination with other resolution tools?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3113 |
Topic: Resolution tools and powers |
Date of submission: 20/01/2017 |
Date of publication: 21/01/2022
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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)?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3112 |
Topic: Resolution tools and powers |
Date of submission: 20/01/2017 |
Date of publication: 21/01/2022
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Interaction between Articles 37(2) and 59(3)
Articles 37(2) and 59(3) of Directive 2014/59/EU (BRRD) appear to be incompatible. Article 37(2) suggests that creditors bearing losses is an additional condition for the write-down in Article 59. Without this condition being met (for instance when resolution involves the sale of the whole bank to a third party), should the capital instruments be written down? However, Article 59(3) requires the write-down of relevant capital instruments in all cases where a resolution tool is used. Does the Commission consider that the mandatory requirement in Article 59 should be subject to the condition in 37(2) or not? Should the mandatory requirement in Article 59 BRRD be subject to the condition in 37(2) BRRD?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2720 |
Topic: Resolution tools and powers |
Date of submission: 21/04/2016 |
Date of publication: 21/01/2022
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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?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2621 |
Topic: Resolution objectives and triggers |
Date of submission: 12/02/2016 |
Date of publication: 21/01/2022
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Exception to the scope of the bail-in tool (Article 44(2)(g)(iii))
Is the exception to the scope of the bail-in tool provided for in Article 44(2)(g)(iii) of Directive 2014/59/EU (BRRD) restricted to social security contributions, or does it also extend to deposits and reserves of a social security authority?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_3041 |
Topic: Resolution tools and powers |
Date of submission: 08/12/2016 |
Date of publication: 21/01/2022
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Direct fiscal impact and systemic implication in Article 3(6)
How can the terms “direct fiscal impact” and “systemic implication” in Article 3(6) be transposed in a way that removes ambiguity?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2016_2620 |
Topic: Other topics |
Date of submission: 12/02/2016 |
Date of publication: 21/01/2022
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