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High Income OECD countries and High Income Euro Area countries as defined in the OECD

High Income OECD countries and High Income Euro Area countries as defined in the OECD (currently e.g. USA, UK, Germany, Luxembourg, Canada, Finland, etc.) receive since early 2013 no longer a country risk classification, due to their high solvency, tax income as well as tax possibilities etc. As a consequence, it is not possible to derive a risk weight according to article 137 (2) CRR without using any appropriate mechanism for determining the corresponding country risk classification. Can it be assumed, that High Income OECD countries and High Income Euro Area countries which are supposed to be even “better” than country risk classification 0 can be treated under Article 137 with an MEIP being equal to 0?

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

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

ID: 2014_760 | Topic: External Credit Assessment Institutions (ECAI) | Date of submission: 23/01/2014 | Date of publication: 23/05/2014

Application of phase-in regime

What is the compatibility between Recital (117) of Regulation (EU) No 575/2013 (CRR) and the provisions of aforementioned Basel III Q&A with Articles 472, 475 and 477, which provide for the deduction of the share not deducted as an effect of the phase-in period (described in Articles 469, 474, 476 and 478)? Literal application of these provisions, which effectively impose a 100% deduction, to items which, under the current regulations (of the individual member states, enacting the Basel II regulations), would not be deducted, would appear to in contrast with very logic of the phase-in regime.

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

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

ID: 2014_723 | Topic: Own funds | Date of submission: 13/01/2014 | Date of publication: 23/05/2014

Passporting for financial institutions

Article 34(3) of Directive 2013/36/EU (CRD) (same wording with 24(3) of the Banking Consolidation Directive) states that "Paragraphs 1 and 2 shall apply accordingly to subsidiaries of a financial institution as referred to in the first subparagraph of paragraph 1". We are trying to understand what this para. 34 (3) means. Let us assume that there is a financial institution (Institution A), as defined in point (26) of Article 4(1) of Regulation (EU) No 575/2013 CRR, which is not “a subsidiary of a credit institution or the jointly owned subsidiary of two or more credit institutions”. That financial institution then has a subsidiary (Institution B) that is itself a financial institution within the meaning of point (26) of Article 4(1) of Regulation (EU) No 575/2013. Would that subsidiary (Institution B) be able to passport itself into another member state, per the provisions of Article 34(3)?

Legal act: Directive 2013/36/EU (CRD)

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

ID: 2014_719 | Topic: Passporting and supervision of branches | Date of submission: 10/01/2014 | Date of publication: 23/05/2014

Grandfathering

Linked to 2013_47, prior to the first call date, can the amount of a step up Tier 1 in excess of the Tier 1 grandfathering limit work in the Tier 2 grandfathering limit (if there is space) as is permitted for non-step Tier 1 instruments?

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

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

ID: 2013_696 | Topic: Own funds | Date of submission: 27/12/2013 | Date of publication: 23/05/2014

CVA for client exposures

Are exchange traded derivatives (ETDs) in scope in terms of CVA applicability?

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

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

ID: 2013_692 | Topic: Market risk | Date of submission: 23/12/2013 | Date of publication: 23/05/2014

Conditions for application of 4% risk weight

Please confirm that the criteria in Article 305(2)(a) is met with gross omnibus segregation solutions that provide the same level of segregation as individual segregation (e.g. account segregation with asset-tagging, where good individual asset attribution yields the same results as individual segregation).

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

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

ID: 2013_668 | Topic: Market risk | Date of submission: 17/12/2013 | Date of publication: 23/05/2014

Validations

There appears to be several prior year validations that do not work in FINREP. v1321_m {F 46.00, r010, c080} = {F 01.03, r210, c010} t-1 v1233_m {F 46.00, r010, c080} = {F 46.00, r210, c080} t-1 v1231_m {F 46.00, r010, c060} = {F 46.00, r210, c060} t-1 v1318_m {F 46.00, r010, c060} = {F 01.03, r190, c010} t-1

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_709 | Topic: Supervisory reporting - FINREP (incl. FB&NPE) | Date of submission: 08/01/2014 | Date of publication: 23/05/2014

Eligibility of capital instruments for classification as Common Equity Tier 1 instruments when the instruments are supplemented by a contractual obligation of the majority-shareholder to pay a fixed yearly compensation to the minority shareholders

Para 1 point (i) of Article 28 of Regulation (EU) No 575/2013 (CRR) states that "compared to all the capital instruments issued by the institution, the instruments absorb the first and proportionately greatest share of losses as they occur, and each instrument absorbs losses to the same degree as all other Common Equity Tier 1 instruments". The question is, whether a contractual obligation of the majority shareholder of a credit institution to pay a fixed yearly compensation to the minority shareholders even in loss years (by reason that the majority shareholder and the credit institution have entered into a profit and loss transfer agreement) is permissible according to para 1 point (i) of Article 28 CRR?

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

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

ID: 2013_541 | Topic: Own funds | Date of submission: 19/11/2013 | Date of publication: 16/05/2014

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