List of Q&As

ASF factors for Additional Tier 1 items as wells as Tier 2 items and other capital instruments maturing between 6 month and 1 year.

For the purpose of calculating the NSFR, which appropriate available stable funding factor shall institutions apply for Additional Tier 1 items as well as Tier 2 items and other capital instruments maturing between 6 month and 1 year?

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_6017 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 26/05/2021 | Date of publication: 04/02/2022

C_81.00 ASF from capital items and instruments

In C_81.00, ASF from capital items and instruments shall be reported before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR [CET 1], Articles 56 and 79 CRR [AT1], and Articles 66 and 79 CRR [Tier 2]. However, the CRR, ITS, and supporting annexes do not indicate the applicable treatment of other types of Own Funds deductions or adjustments which originate from Articles other than the ones specified above. For example, in NSFR, should the reported amount for ‘ASF from capital items and instruments’ be reported gross or net of the deductions permitted in COREP C_01.00 rows 524, 529, 744, 748, 974 and 978? In general, clarity is being sought on two points: Whether the reported amount of CET1 in C_81.00 row 0030 is to be reported prior to all own funds deductions and adjustments, even those that emanate from provisions other than the ones explicitly stipulated in Article 428o paragraphs (a) to (c). For instance, whether the CET1 amount in C_81.00 row 0030 shall be reported gross or net of the deduction relating to the depositor compensation scheme reserve, which deduction emanates from Article 26(1) CRR. The mentioned depositor compensation scheme reserve is not an asset but an equity reserve, thus falling out of scope of RSF row 1030 “other assets”, in line with Article 428ah(1)(b) [items deducted from own funds]. Thus, clarity is being sought as to whether equity reserves are to be treated in one of the following methods: In scope of ASF row 0430 “other liabilities” by virtue of Article 428k(3)(d); In scope of ASF row 0060 “other capital instruments” pursuant to Article 428o(d); or Out of scope of ASF.

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_6016 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 26/05/2021 | Date of publication: 04/02/2022

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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