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Specific collective provisions allocation

In line with question 2013_201, how do we allocate any specific (to particular portfolios) collective provisions to various asset classes? a) do we follow the rules applied when calculating the specific collective provisions by the relevant department?; or b) can we allocate them to past-due exposures first and then to the all other exposures?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2013_499 | Topic: Credit risk | Date of submission: 04/11/2013 | Date of publication: 16/05/2014

Standardised Method

If the derivative exposure is guaranteed, can the weight be determined based on guarantor’s rating instead of counterparty’s rating, i.e. do we use the counterparty’s credit rating or the guarantor’s rating?

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

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

ID: 2013_464 | Topic: Credit risk | Date of submission: 31/10/2013 | Date of publication: 16/05/2014

CCF applicable to ABCP liquidity facilities for Leverage ratio purposes

Where do liquidity facilities, as defined in CRR Chapter 5 "Securitisations", stand among the off-balance sheet items listed in Annex I? What is the CCF that should be applied to them when calculating their exposure value for the purpose of the leverage ratio?

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

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

ID: 2014_756 | Topic: Leverage ratio | Date of submission: 22/01/2014 | Date of publication: 08/05/2014

Look through approach to be applied for calculation of Leverage Ratio

Article 429b(1)(a) (5) a) states that risk positions for the calculation of the Leverage Ratio should be calculated according to paragraph 111 (1) sent. 1 of the CRR, meaning, they are identical to risk positions in the Standard Approach.Does this mean that for transactions with underlying assets, e.g. UCITS a look through approach should also be used for the calculation of the Leverage Ratio?Does this apply to template C45.00 columns 010, 020 and 030 as well as to template C40.00 column 010?

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

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

ID: 2013_635 | Topic: Leverage ratio | Date of submission: 11/12/2013 | Date of publication: 08/05/2014

Application of specific national filters and deductions when computing threshold deductions

When applying the transitional provisions calculation of Common Equity Tier 1, the threshold deductions exist: (a) associated with non-significant holdings in financial sector entities (FSE) which are covered by Articles 36(1)(h) and 46 of Regulation (EU) No 575/2013 (CRR); and, (b) the ones associated with the significant holdings in FSE and Deferred Tax Assets that arise from temporary differences that are covered in article 470 of CRR. Both take into account theoretical values for a “relevant Common Equity Tier 1” (or “aggregate amount of Common Equity Tier 1” in the wording of 46(1)(a) of CRR which serves as a base for the calculation of the threshold that determines the deductions arising from these assets. Assuming there are specific national deductions and filters subject to transitional provisions to be applied at the Common Equity Tier 1 level pursuant Article 481, how should these be incorporated when determining the “relevant CET1” for the thresholds calculations in both cases?

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

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

ID: 2013_588 | Topic: Own funds | Date of submission: 29/11/2013 | Date of publication: 08/05/2014

Determining the exposure value for repurchase transactions for the purpose of calculating the leverage ratio in case the collateral provided doesn’t qualify as eligible according to CRR

How should an institution that uses the standardized approach (for the purpose of calculating the capital requirement for credit risk) determine the exposure value of repurchase transactions with other banks if the collateral provided to the institution doesn’t qualify as eligible according to Article 206 and Article 207 of CRR?

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

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

ID: 2013_576 | Topic: Leverage ratio | Date of submission: 27/11/2013 | Date of publication: 08/05/2014

10% limit for significant investments (for threshold exemptions determination purposes)

Could the EBA confirm that in a situation where the total amount of significant investment in a financial sector entity (the direct, indirect and synthetic holdings by the institution of the Common Equity Tier 1 instruments of that entity) exceed 10% of relevant Common Equity Tier1 items, such amount can be included in 15% threshold exemptions up to 10% of this amount and remaining surplus above 10% limit will be treated as a deduction of CET1. Example in background.

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

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

ID: 2013_205 | Topic: Own funds | Date of submission: 02/09/2013 | Date of publication: 08/05/2014

Instructions and COREP validation rules

C 12.00 Credit Risk: Securitisation - Standardised Approach Instruction for Column 190 Exposure Value: Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. Question 1. Column 200 of CRSA is a calculated column. Does it mean the same calculation applies to CRSEC SA? Question 2. If both the columns (C190 of SECSA and C200 of CRSA) are same, then there is no supporting validation for C190 for Securitisation- SA

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: 2013_647 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 13/12/2013 | Date of publication: 30/04/2014

Instructions regarding unmatched positions, Foreign Exchange Risk

It doesn't seem logical that unmatched positions should be added to column 040 or 050 (net positions) according to the instructions to template C 22.00. We believe that this is not correct but instead the unmatched positions should be added to column 060 or 070 (positions subject to capital charge). Is it correctly interpreted that unmatched positions should be added to column 060 or 070 instead?

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: 2013_648 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 13/12/2013 | Date of publication: 30/04/2014

Forbearance - Exit criteria

Should the one year exit criteria mentioned in para 157 be applied only to those exposures which were classified as non-performing when the forbearance measures were extended? Thus if an exposure was classified as performing when the forbearance measures were extended and at a later stage it was classified as non-performing, can this exposure exit the non-performing category once it meet the criteria listed in paragraph 156 without the one year threshold.

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_735 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 15/01/2014 | Date of publication: 30/04/2014

Template questions

- Regarding the material currencies in the F 34.00 contingent encumbrance template (Line 7): Should the currencies be specified according to ISO codes (EUR, USD, GBP, etc.) or should the currencies be left unspecified (currency 1, currency 2, etc.)? - Regarding the covered bonds issuance template: what kind of purpose serves the cover pool identifier – should this be some kind of ISIN number for the cover pool? The specifications in the accompanying instructions is a bit vague. Should a bank fill in the aggregate numbers of their outstanding covered bonds in this sheet or should the sheet be duplicated for each covered bond separately?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_732 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 14/01/2014 | Date of publication: 30/04/2014

Reporting Market Value in liabilities resulting from secured lending and capital market driven transactions as defined in Article 192 (C 52.00 template)

What is the difference between Market Value in column 010 and values in columns 030, 050, 080 and 100?

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_725 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 14/01/2014 | Date of publication: 30/04/2014

How to report reverse repo operations in Part A template AE-ASS (C 31.01) and/or AE-COLL (C 32.02)

The instructions say that the all the assets of the reporting institution must be reported in the template AE-ASS and it corresponds to the total assets registered in the balance sheet. At the same time, they also specify that collateral which has been received by the reporting institution through a reverse repo, should be reported in the template AE-COL. A reverse repo is registered as a cash loan in the balance sheet. How should a reverse repo be reported in the Part A of the reporting: as a loan in the template AE-ASS (such as its accounting treatment) or as collateral received depending on the breakdown (eg. equity, debt security…) in the template AE-COL? Or should it be reported in the 2 templates AE-ASS and AE-COL? Please note that if a reverse repo should be reported exclusively in the template AE-COL, the row 010 of the template AE-ASS will not correspond to the total assets registered in the balance sheet (i.e. the reverse repo is reported as a loan in the balance sheet)

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_718 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 10/01/2014 | Date of publication: 30/04/2014

Draft Implementing Technical Standards (ITS) on supervisory reporting under the CRR, CR IP Losses (C 15.00)

Should increase of credit risk adjustment (specific loan loss provision for credit risks) during reporting period be reflected in the reported data? Should estimated loss be reported (reporting date 30.06.2013) as 250 000 EUR or as 290 000 EUR?

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_703 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 03/01/2014 | Date of publication: 30/04/2014

LE1 template (C 27.00) - reporting of identification data on individual clients within groups of connected clients

In the case of exposure to the group of connected clients (with 5 clients forming a group): Does an institution have to report the identification data (LE1 template C 27.00) ) only for a group of connected clients (group data) or also for those 5 clients which form the group?

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_701 | Topic: Supervisory reporting - Large Exposures | Date of submission: 03/01/2014 | Date of publication: 30/04/2014

FINREP Table F 13.03 Collateral obtained by taking possession (tangible assets) accumulated

This question asks for a clarification of the content and the validation rules of Table F 13.03. According to the instructions in Table F 13.03 instituitions shall report the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as "property, plant and equipment." In Annex XV there is one validation rule which makes connection between F 13.03 and F 01.01 v1090_m {F 13.03, r010, c010}

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: 2013_684 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 20/12/2013 | Date of publication: 30/04/2014

Definition of collateral for Table F32.02 and clarification of table structure

Is it correct, that rows 140-230 of table F 32.02 refer to the type of collateral received (eg. Loans on demand received as a collateral, or equity instruments received as collateral) and not to the collateralized asset class? Does collateral include all kind of risk mitigation received (Guarantees, Mortgages, Securities, Equity Instruments)?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2013_675 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 19/12/2013 | Date of publication: 30/04/2014

Disclosure of certain information by large subsidiaries of EU parent institutions on an individual or sub-consolidated basis

The disclosure information of regulatory groups is according to Article 13(1)/(2) first paragraph (each) of Regulation (EU) No. 575/2013 (CRR) to be done on a consolidated basis in any case. However, Article 13(1)/(2) second paragraph (each) of the CRR requires the disclosure of certain information by significant subsidiaries etc. as well. In the past, the implementation of that rule in Article 72 of Directive 2006/48/EC led in practice to the disclosure of only one consolidated report disclosing the required information also for all individual institutions or sub-groups which are of material significance. To our understanding, there exists a factual possibility for the entity in charge of the disclosure obligation on a consolidated level to either separately disclose the required information within one disclosure report or to take care for the issuance of separated individual disclosure reports of the significant subsidiaries and/or those subsidiaries which are of material significance for their local market. Is it possible to disclose also under CRR only a consolidated disclosure report with – in case need be – individual information per institution when requested? Is this particularly the case, where that practice has been used in the past and accepted by the national competent authorities?

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

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

ID: 2014_759 | Topic: Transparency and Pillar 3 | Date of submission: 23/01/2014 | Date of publication: 30/04/2014

Capital deductions

The NSFR return (tab 60) requires us to report in row 1310 (ID 1.13) the "assets deducted from own funds not requiring stable funding" in 'age' buckets. How do we age capital deductions?

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: 2013_673 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 18/12/2013 | Date of publication: 30/04/2014

Own funds requirements for commodities risk

Article 359(2) of Regulation (EU) No. 575/2013 states: “Positions in the same commodity may be offset and assigned to the appropriate maturity bands on a net basis for the following: (a) positions in contracts maturing on the same date; (b) positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.” A Fair Value Option is applied to the positions in the Banking Book. The positions are hedged “back-to-back” in terms of cash flows that are exactly offsetting each other and represent thus a perfect economic hedge. Due to discounting effects positions are not however perfectly netted in terms of market values, and thus in terms of net delta weighted equivalents. Does that still mean that the institution shall assign zero values to all the maturity bands in the Table 1 referring to the Maturity ladder approach, or must the netted cash deltas be assigned to each the maturity band instead?

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

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

ID: 2013_589 | Topic: Market risk | Date of submission: 29/11/2013 | Date of publication: 30/04/2014