Question ID
2013_51
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Own funds
Article
467, 468
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Accounting firm
Subject matter
Unrealised Gains and Losses
Question

Under to Article 467 and 468 of Regulation (EU) No 575/2013 (CRR), what is the appropriate level of aggregation with respect to unrealised gains or losses at which the percentages have to be applied respectively? Please indicate the appropriate level of application.

Background on the question

According to Article 467 and 468 of CRR, during the period from 1 January 2014 to 31 December 2018 institutions shall include in the calculation of their CET1 items only the applicable percentages of unrealised gains and losses related to assets or liabilities measured at fair value, and reported on the balance sheet. During 2014, the applicable percentage of unrealised losses to be included is between 20% and 100%. The applicable percentage of gains is 0% (equals removing 100% of unrealised gains according to Article 468 of Regulation 575/2013). Consequently, there are two positions to be considered in COREP: {CA5.1;r120;c060} and {CA5.1;r130;c060}.

Submission date
Final answer

The level of application of unrealised gains and losses - i.e. whether to apply the percentages of unrealised gains and losses under Articles 467 (2) and 468 (2) and determined by competent authorities according to Articles 467 (3) and 468 (3) on a portfolio basis (for instance distinguishing between categories of assets or liabilities) or on an item by item basis- is not specified as part of Regulation (EU) No 575/2013 (CRR).

For the transitional arrangements the level of application is expected to follow current national practices applied for prudential filters (based on the Guidelines on Prudential Filters for Regulatory Capital established by the former Committee of European Banking Supervisors in 2004).

Reporting of unrealised losses and unrealised gains in CA1 and CA5.1: In CA1, all capital items and deductions shall be reported without effects of transitional provisions. The adjustment effects of the transitional provisions are shown only in the nine rows in aggregated terms (see instructions for CA templates, ANNEX II of instructions on own funds, part II, 1.1, explanation in paragraph 13). The adjustments to be made according to the transitional provisions shall be reported in CA5.1.

The EBA will look more closely into this issue as part of its mandate to provide by 1 January 2014 a technical advice to the European Commission on unrealised gains in accordance with article 80 (4).

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has not yet been reviewed by the EBA in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).

Update 28.10.2021: This Q&A has been archived as the issue it deals with has been clarified in Articles 467 and 468 to Regulation (EU) No 575/2013 (CRR), applicable from 27.06.2020.