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Choice of method for commodities risk when an entity has 2 different business lines

Is it possible for an entity to chose 2 different methods of calculating requirement for commodities risk whereby the entity has 2 individual business lines that are seperated from each other. 1 being Futures, Options and OTC derivatives and the other being a pure Stock Financing book?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_940 | Topic: Credit risk | Date of submission: 13/03/2014 | Date of publication: 12/09/2014

Non Credit Obligation Assets

Paragraph 5 of article 148 of CRR, states "An institution that is permitted to use the IRB Approach for any exposure class shall use the IRB Approach for the equity exposure class laid down in point (e) of Article 147(2), except where that institution is permitted to apply the Standardised Approach for equity exposures pursuant to Article 150 and for the other non credit-obligation assets exposure class laid down in point (g) of Article 147(2)." It is not clear whether an institution with an IRB Approach permission should treat "non customer assets" e.g. fixed assets, cash etc under the IRB approach (reported as Non Credit Obligation) or under the standardised approach (reported as Other Assets)

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_810 | Topic: Credit risk | Date of submission: 04/02/2014 | Date of publication: 12/09/2014

Calculation of foreign exchange position for non-FX derivatives denominated in foreign currency

Should non-FX derivatives denominated in foreign currency be treated as cash position or net forward position? Should it be treated in market value (as showed in balance sheet) or like FX swaps in principal amount (as showed in off-balance sheet)?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1171 | Topic: Market risk | Date of submission: 09/05/2014 | Date of publication: 12/09/2014

Risks other than Delta for non-linear products

The EBA RTS 2013/13 on non-delta risk of options in the standardised market risk approach under Articles 329(3), 352(6) and 358(4) of Regulation (EU) No 575/2013 (CRR) proposes a scenario approach for non-delta risks. Interest rate spread options do not readily fit into the proposed scenario approach as the underlying interest rate applies to two date and the relative performance of each. How should the distinct underlying be constructed for this type of product?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach

ID: 2014_1008 | Topic: Market risk | Date of submission: 26/03/2014 | Date of publication: 12/09/2014

What value should be used by a CCP as the reduced potential future credit exposure for securities financing transactions to calculate the concentration factor (β)?

What value should be used as the reduced potential future credit exposure for securities financing transactions to calculate the concentration factor (β) for the purpose of Article 50d(c) of Regulation (EU) No 648/2012 (introduced by Article 520 of Regulation (EU) No 575/2013 (CRR))?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_662 | Topic: Market infrastructures | Date of submission: 16/12/2013 | Date of publication: 12/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 300

Field 300 - Legal Final Maturity Date. Where multiple tranches of the same securitisation are held and these have different Legal Final Maturity dates, what should be reported here?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_914 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/03/2014 | Date of publication: 05/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 210

Field 210 - (-) Value Adjustments and Provisions. Do the value adjustments and provisions reported here related to the securitised exposures or the securitised positions? Guidelines are contradictory.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_906 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/03/2014 | Date of publication: 05/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 100

Field 100 - Compliance with the Retention Requirement?. How do we report for Investor positions originated prior to 2011?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_905 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 06/03/2014 | Date of publication: 05/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 090

Field 090 - % of Retention at Reporting Date. Do we report percentage retention at reporting date or at origination? Secondly, how are Investor positions to be reported given the information is not publicly available?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_902 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/03/2014 | Date of publication: 05/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 050

Field 050 - Accounting Treatment: Securitised Exposures are kept or removed from the Balance Sheet?. How should Investor positions be reported here?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_899 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/03/2014 | Date of publication: 05/09/2014

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) - FIELD 020

Field 020 - Identifer of the Securitisation. What should be reported here when the first eight characters of the ISIN are not common to all tranches of a securitisation? Secondly, different securitisations can have the same first eight characters, is this a problem?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_896 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 05/03/2014 | Date of publication: 05/09/2014

C 07.00 CR SA STD Column 215: which amount should be display in Column 215 for exposures NOT subject to SME-supporting factor? Should we display 0 or the amount of risk weighted assets?

C 07.00 CR SA STD Column 215: which amount should be display in Column 215 for exposures NOT subject to SME-supporting factor? Should we display 0 or the amount of risk weighted assets?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_891 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 03/03/2014 | Date of publication: 05/09/2014

Discrepancy between taxonomy expectation and ITS

In the report CR SEC DET, C14.00, the ITS clearly says that column 290 and 300 must written according to the following format : MM/YYYY In the taxonomy published in december those cells are defined as DATE. The problem here is that many of our customers only collect Month and Year for those columns in their information system, but not the day as it was not required first. And as far as i know, in the taxonomy a DATE information muste have a Day to be valid (year and month are not sufficient) => Will you keep those fields as date? if so, is it possible to send those fields with a fixed day?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_838 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 11/02/2014 | Date of publication: 05/09/2014

Annex XV Validation formulae

Ilogical validations in Annex XV

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_854 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 17/02/2014 | Date of publication: 05/09/2014

C0700 : Descrepancy between Taxonomy and ITS

In the ITS, the row 280 of the reporting C0700 is forbidden for the following exposure classes : -Government, -Corporates, -Institutions, -Retail. When we look at the taxonomy it seems that no particular control is done to forbid figures for those cells. Does the EBA expects any figures for those cells?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_833 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/02/2014 | Date of publication: 05/09/2014

Label discrepancy

By comparing the ITS published on the EC : http://ec.europa.eu/internal_market/bank/regcapital/legislation_in_force_en.htm#implementing And the Taxonomy published by the EIOPA last year it seems that some "rows label" and "column labels" are not exactly the same. Which label should be considered as the correct one? instance : - Form C0200 EBA Taxo: Row 020 : Of which: Investment firms under Article 90 paragraph 2 and Article 93 of CRR EC : Row 020 : Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR EBA Taxo: Row 030 : Of which: Investment firms under Article 91 paragraph 1 and 2 and Article 92 of CRR EC : Row 030 : Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR - Form C0501 EBA Taxo: Row 090 : 1.2.2 Transitional recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital EC : Row 090 1.2.2 Transitional recognition in consolidated own funds of minority interests EBA : Row 100 : 1.3 ADJUSTMENTS TO DEDUCTIONS EC : Row 100 : 1.3 OTHER TRANSITIONAL ADJUSTMENTS [...]

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_832 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/02/2014 | Date of publication: 05/09/2014

C21 Additional requirements for options (non-delta risks) : reporting requirements

In the report C21, the taxonomy, accordingly with the ITS last functional XLS templates allows the row 090 to be fed for other column that capital requirements. But, this seems very strange from some of our customers as in all other Market risk templates ( ie. MKR SA COM, MKR SA FX) this row must only be fed for the column "Own fund requirements". => In the report C21.00, for rows "090" shall we report figures in column "010" to ""050"?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_829 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/02/2014 | Date of publication: 05/09/2014

Inconsistency between taxonomy and ITS - MKR SA TDI

In the taxonomy it seems that the following cells may be fed for all exposures classes (In the taxonomy the facts are "open" for the cells of the following rows ) : - row 325 column 610 - row 330 column 610 Bu tin the same time for those cells, the ITS clearly says that " It shall only be reported on Total level of the MKR SA TDI ". So based on the ITS some of our customers do not want to give a split by currency for those cells. => May you confirm if the EBA expects or not to receive a breakdown by currency for the following cells? => Do you thing that the ITS or the taxonomy will be updated accordingly?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_826 | Topic: Colleges of Supervisors | Date of submission: 10/02/2014 | Date of publication: 05/09/2014

Inconsistency between taxonomy and ITS - report CR SA

In the taxonomy it seems that the cells from the following rows may be fed for all exposures classes (In the taxonomy the facts are "open" for the cells of the following rows ): - 020 : of which SME - 030 : of which : SME subject to SME-supporting factor - 040 : of which : Secured by mortgages ... But in the last version of the ITS (and also in the old one), the functional text mentions that those rows should only be displayed for some specific exposures classes (i.e screen shot below). Some of our customers think that, accordingly to the ITS, the following rows must be "closed" for non listed exposures classes like "Institutions", "central governments or central banks", "Covered Bonds" ... Indeed, for them those reporting SME details for an exposure on "central governments or central banks" is just functional non-sense. => May you confirm that rows "020" to "040" must only be reported for the exposure classes listed in the ITS? => If so, can we expect that a future version of the taxonomy will close the facts relative to those rows for the ITS unlisted exposure classes.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_825 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 10/02/2014 | Date of publication: 05/09/2014

COREP NACE codes

Has a revised list of NACE codes been issued or are the current NACE codes based on the Regulation (EC) No 1893/2006 to be used when reporting under COREP?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_821 | Topic: Supervisory reporting - Other | Date of submission: 07/02/2014 | Date of publication: 05/09/2014