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Methods for prudential consolidation

What is the meaning of the last sentence of Article 18(1) of Regulation (EU) No 575/2013 (CRR)? Does it mean that the method of prudential consolidation (paragraphs 2 3 to 8 6 and 9) is not available for institutions that have to apply Part Six on the basis of their consolidated situation?When do institutions have to apply Part Six on the basis of their consolidated situation – is this only according to Article 11 of CRR or also in case of application for a liquidity sub-group according to Article 8(1)(a) of CRR?

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

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

ID: 2013_483 | Topic: Liquidity risk | Date of submission: 01/11/2013 | Date of publication: 04/04/2014

Inclusion of ancillary services undertakings in prudential consolidation

Should the ancillary services undertakings be included in prudential consolidation according to Article 18 and 19 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_382 | Topic: Own funds | Date of submission: 10/10/2013 | Date of publication: 04/04/2014

Correct consideration of the saving accounts in the LCR calculation of outflows following Article 421 (5) of Regulation (EU) No 575/2013 (CRR)

Is it correct that German “Savings Accounts” are to be considered in the LCR calculation only up to the threshold of EUR 2000,- penalty-free withdrawals per account?

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

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

ID: 2013_193 | Topic: Liquidity risk | Date of submission: 29/08/2013 | Date of publication: 04/04/2014

Operational Risk (OPR) templates

The suggested questions are related to both operational risk models C 16.00 (OPR) and C 17.00 (OPR Details): -C 16.00 1.-Are the relevant indicators (year X) calculated with the information of the last natural years (from 1 of January of X-1 to 31 of December of X-1) or with the information of the last cycle of 365 days (for 30 June X reporting reference date, from 1 July X-1 to 30 June X)? 2.-If they are calculated with the last natural years, the value of the relevant indicators and the own fund requirements will not change in the reports made during the year. Thus, which cells of the template could be modified among the reports made during the year? -C 17.00 3.-Is there any threshold to report losses or must they be considered losses even when they are negligible?

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_580 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 28/11/2013 | Date of publication: 04/04/2014

Reporting of template “SEC DETAILS” on consolidated or/and individual basis. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

Due to conflicting specifications in Annex II instructions and Final Draft ITS there is doubt on which basis the template has to be reported: on consolidated or/and individual basis?

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_570 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/11/2013 | Date of publication: 04/04/2014

“Inflows” in connexion with securitisations. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

How is it that “inflows” can arise concerning securitisations?

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_569 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/11/2013 | Date of publication: 04/04/2014

Column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” to be reported only from originator institutions.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Why is the column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” not shown greyed for the rows concerning Investor and Sponsor?

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_568 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/11/2013 | Date of publication: 04/04/2014

Column “OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS” to be reported only from investor institutions. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Why is the column “OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DIL-IGENCE PROVISIONS” not shown greyed for the rows concerning Sponsor and Originator?

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_567 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/11/2013 | Date of publication: 04/04/2014

Determination of “Number of Obligors” (column 300).C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1)

The “Number of Obligors” has to be determined according to which method(s)?

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_566 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 27/11/2013 | Date of publication: 04/04/2014

Identifying the forborne exposures

What are the approaches, which are being considered in identifying the forborne exposures, as well as exposures under probation? (i.e. IT, manual). How will the 2 year probation period for the forborne exposures be managed for the exposures which are classified as forborne, and which are no longer non-performing? Are they required to be reported separately within table 18?

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_562 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 26/11/2013 | Date of publication: 04/04/2014

COREP CR IRB - Calculation of column 10

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

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_558 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 25/11/2013 | Date of publication: 04/04/2014

COREP template C43.00 - Breakdown of leverage ratio exposure measure components

On which row of template C43 (LR4) should institutions report 'cash received or securities provided to a counterparty' as referred to in the reporting instructions of C45.00 (LRCalc) - rows 010/020

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_551 | Topic: Supervisory reporting - Leverage ratio | Date of submission: 22/11/2013 | Date of publication: 04/04/2014

Change in Fair Value

Regarding FinRep table 14 (analysis of financial intruments at fair value) and related guidance in annex V part 2 para 86 - Do columns 40 & 50 [ Changes in fair value for the period: Level 2 & Level 3] : (a) relate only to transactions that continue to exist at the reporting date or (b) do they include movements for all transactions during the reporting period?

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_549 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 21/11/2013 | Date of publication: 04/04/2014

Article 415 and the treatment of forward starting collateral swaps.

Article 415 states "The reporting formats shall include all the necessary information and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound." I assume "collateral swaps" referred to above does not include forward starting collateral swaps. I.e. collateral swaps that have not yet had an initial exchange of paper.

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_548 | Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM) | Date of submission: 21/11/2013 | Date of publication: 04/04/2014

Inconsistency in validation rules v0532_m.

Between v0532_m and v0533_m. The validation rule is different but they impact the same range of rows (040-090). We believe this range should be removed from rule v0532_m.

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_514 | Topic: Supervisory reporting - COREP (incl. IP Losses) | Date of submission: 07/11/2013 | Date of publication: 04/04/2014

Scope of LE5 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients

Is there a threshold foreseen to fill in this table? Or do we have to fill in all the exposures on individual clients, who belong to a group of connected clients (that need to be reported in template 'LE4'?

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_395 | Topic: Supervisory reporting - Large Exposures | Date of submission: 16/10/2013 | Date of publication: 04/04/2014

Reporting of investments in subsidiaries that are not included in the prudential scope consolidation.

Annex V states that dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of profit or (-) loss of investments in subsidiaries, joint ventures and associates". Based on this statement we need clarification regarding the line in which the investments in subsidiaries that are not included in the prudential scope of consolidated should be reported in the balance sheet. Annex V p1.12 states with regard to accounting portfolios that "these aggregations do not include investments in subsidiaries, joint ventures and associates [...]." Example: A subsidiary is not included in the prudential scope of consolidation and should therefore be included in the IAS category "Available for sale". Should the carrying amount of this investment be reported in line item F 01.01, r140, c010 or in line item F 01.01, r260, c010? If it needs to be included in line item F 01.01, r260, c010: How should those investments be measured according to IFRS at the reporting date (at cost vs. at fair value)?

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_340 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 04/10/2013 | Date of publication: 04/04/2014

Reporting of Collateral of Covered Bonds

In the template for the Covered Bonds Issuances, the collateral has to be reported separately for each CB. The respective bank, however, has one cover pool backing several issuances. Should this cover pool be broken down proportionally on each CB or is no breakdown required?

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_491 | Topic: Supervisory reporting - Asset Encumbrance | Date of submission: 01/11/2013 | Date of publication: 28/03/2014

Cash Inflows excluded from inflow cap

Article 425(1) reads: “Capped inflows shall be the liquidity inflows limited to 75% of liquidity outflows. Institutions may exempt liquidity inflows from deposits placed with other institutions and qualifying for the treatments set out in Article 113(6) or (7) from this limit. Institutions may exempt liquidity inflows from monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or by bonds as referred to in Article 52(4) of Directive 2009/65/EC from this limit…” Is the interpretation correct that mortgages that are used as a cover pool for credit enhancing a covered bonds transaction can be excluded from the inflow cap? In contrast to the original Basel III papers it is not possible to identify the definition of the general provision, capping inflows at 75% of cash outflows. Is the inflow cap applicable to every item in the template or at the calculation of the summed amounts?

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

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

ID: 2013_485 | Topic: Liquidity risk | Date of submission: 01/11/2013 | Date of publication: 28/03/2014

Treatment of collateral posted from client to clearing Member in Large Exposures

Does Article 390(1) of Regulation (EU) No 575/2013 (CRR) include collateral posted from client to clearing member?

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

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

ID: 2013_474 | Topic: Large exposures | Date of submission: 01/11/2013 | Date of publication: 28/03/2014