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List of Q&A's

Classification of credit unions

Should the loans to credit unions (eg. Spoldzielcze Kasy Oszczednosciowo Kredytowe in Poland) be presented under category "Credit institutions" or as "Other financial corporations"?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1507
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Row 030 C07.00 reported also for exposure class of protection provider

Should the part of the "eligible" SME exposure according to Article 501 CRR that is secured with e.g. guarantee be reported in the row 030 (C07.00) in the exposure class of the guarantor and also be subject to the supporting factor?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1419
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Definition of threshold

Definition of threshold. Should bonds be considered in the calculation of the 1mln/€ threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_289
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 02/10/2015

CoRep 12 and 13 - Validation rules v0508_m, v0514_m, v0532_m and v0538_m

The validation rules v0508_m and v0514_m for C 12.00 cannot be true at the same time in case there is any exposure subject to Look-Through or Internal Assesment Approach (breakdown of outstanding positionsaccording to CQS at inception is not applicable in these cases). The same applies for rules v0532_m and v0538_m for C 13.00 in case of Look-Through, Internal Assesment Approach or Supervisory Formula Method.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2014_1231
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Validations

The validation rule v2863_m {F 32.04.a, r140,c010} <= {F 09.02, r080,c010} is incorrect as per the background on this question. Please can the rule be deleted.

  • 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 (repealed)
  • ID: 2014_1066
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Transferred financial assets, Template 15, validation rules for column 10

Assume a scenario where an institution has long and short positions for the same CUSIP and presents a net asset on the face of its IFRS balance sheet (and, similarly, in FINREP template 1.1). In the situation where the long position serves as a collateral under institution’s Repo obligation, what amounts shall be reported in Template 15 column 10 – amount of long position that is associated with Repo obligation or a net asset for this CUSIP (i.e. the difference between long and short position) as reported on the face of balance sheet (Template 1.1)? If long positions are to be reported, do the implications of the validation rules v0897_m - v0909_m for Template 15, column 10 lead to reporting a number different from that intended?

  • 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 (repealed)
  • ID: 2014_1032
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Template 43 Provisions, columns 040 and 060

In the UK, banks currently have a number of customer redress provisions. These are provisions to return customers to the financial position they would have been in if they hadn't been unfairly disadvantaged by past banking practices. Determining whether customers have been unfairly disadvantaged and are thus due redress is overseen by the conduct regulator in the UK, the FCA. As well as this, all individual cases can be arbitrated if necessary by a consumer protection body, the Financial Ombudsman Service. In terms of who obliges the banks to pay out redress, it is these regulatory bodies. Their authority derives from legislation. Conversely, banks have established constructive obligations (in IAS 37 terms) to pay redress to their customers by industry practice, and by the communications they have sent to those customers. Looking at template 43, there is no column in the template for provisions arising from regulatory obligations, so we believe we have to choose between classifying these provisions in 040 "Pending Legal Issues and Tax Litigation", or 060 "Other Provisions". We believe that it is possible to consider these regulatory obligations as either "Pending Legal Issues and Tax Litigation" given the IAS 37 definition of "legal obligation" implied by the template, or conversely as "Other Provisions" because of the constructive obligations in effect.

  • 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 (repealed)
  • ID: 2014_1027
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Exit Criteria NPE

The exit criteria described in No. 157 “shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures”. Does that pose any further requirement other than ‘the exposure is not in default’ and ‘the exposure is not impaired’?

  • 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 (repealed)
  • ID: 2014_1017
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Performing FBE

In our view, “both” (not “either”) of the conditions a) and b) in paragraph 178 must be met. Do you agree?

  • 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 (repealed)
  • ID: 2014_1015
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Eligibility of pooled assets for liquidity purposes

Please provide your recommendation as to procedure for allocation of assets within collateral pools to encumbered/unencumbered for LCR/NSFR purposes

  • 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 (repealed)
  • ID: 2014_801
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Deferred Tax Assets and Liabilities related to the fair value reserves connected to gains or losses on cash flow hedges

In accordance with Article 33(1)(a) of the Regulation (EU) No 575/2013 of the European Parliament and of the Council (CRR), the institutions do not include the fair value reserves related to gains or losses on cash flow hedges in any element of Own Funds (as a result of the specific filter applied). Is it correct to not consider DTA / DTL related to the fair value reserves related to gains or losses on cash flow hedges in the net DTAs deductible from CET1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1887
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Treatment of stock futures under Article 390(3) and Article 327(1)

Does a short position on an equity future contract net off against a long position in its underlying equity, considering that the underlying security and the equity are identical, deliverable, quoted on an official exchange and cleared through the corresponding CCP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1873
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 02/10/2015

SME supporting factor

Can you please confirm whether the SME supporting factor can be applied to derivative exposure and Repo exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1050
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 02/10/2015

Clarification of the treatment of positions in commodities for the purposes of calculating net and gross position according to Article 360(1) of Regulation (EU) No 575/2013 (CRR)

Should long and short positions in the same commodity (or the same derivative based on the commodity) be netted against each other in the first place and then the net and gross positions should be calculated taking into account positions in other derivatives with the same commodity as the underlying instrument?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1813
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015

Number of distinct calculations required to assess materiality of changes to internal IRC models

Regulation (EU) No 529/2014 governs the assessment of materiality of changes and extensions to internal approaches for credit, market and operational risk. According to this regulation a change to the incremental default and migration risk charge (IRC) is to be considered material if within 15 consecutive business days (Article 7a(4)(a)) the thresholds of Article 7a(1)(c)(ii) are breached at least once. According to Article 374(1) CRR institutions may compute the IRC only weekly. Does this mean that?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)
  • ID: 2015_2058
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015

Market making in several AT1 or T2 instruments

Where an institution applies for a prior permission for repurchase of several Additional Tier 1 or Tier 2 capital instruments according to Article 78(1), second subparagraph, of the CRR, may the predetermined amount of the permission be set for several instruments or must a predetermined amount be set for each instrument?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
  • ID: 2015_2042
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 25/09/2015

Recognition of contractual netting of legal entities of a group

Could you please specify whether the last subparagraph of Article 295 of CRR ("Netting across transactions entered into by different legal entities of a group shall not be recognised for the purposes of calculating the own funds requirements."), which applies to all three types of contractual netting agreements from point (a) to (c), does not allow recognition of netting for the purposes of calculating the own funds requirements between two members of the same banking group generally (even on a bilateral basis) or netting other than on a bilateral basis between two members of the same banking group?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2004
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015

QRRE loss rate

What is meant by loss rate in this context?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1933
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015