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Interim profits attributable to minority shareholders

Is the prior permission of the competent authority needed at individual level of a subsidiary to include in the consolidated CET1 items the interim profits of that subsidiary attributable to minority shareholders?

C34.08 report - define the collaterals considering the both legs of the securities financing transactions (SFTs)

Column 0130 and column 0180 from C34.08 report Composition of collaterals for CCR exposures highlights the information related to the SFT security. In accordance with the requirements provided in Annex II Reporting on own funds and own funds requirements, the institution shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). In this context, considering that the SFTs involve two legs for each transaction and taking into account also the ITS requirements applied for the C34.08 report Composition of collaterals for CCR exposures, how the reporting institutions should treat the cash leg of the transaction? In which column the reporting institutions should populate the cash leg of the transaction?

Calculation of past due days

a. Shoud materiality threshold be used in a Template 7.01? b. If in a Template 7.01 materiality threshold shouldn't be used, can we have for same exposure differently reported past due time buckets in templates 7.01 and 18.00?

Template F 22.02: Assets involved in the services provided

Third party investment products distributed by an institution should be reported under “Assets Management” (F 22.02, r0010, c0010), “Custody Assets” (F 22.02, r0060, c0010) or “Customer resources distributed but not managed” (F 22.02, r0130, c0010)?

C_81.00 ASF from capital items and instruments

In C_81.00, ASF from capital items and instruments shall be reported before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR [CET 1], Articles 56 and 79 CRR [AT1], and Articles 66 and 79 CRR [Tier 2]. However, the CRR, ITS, and supporting annexes do not indicate the applicable treatment of other types of Own Funds deductions or adjustments which originate from Articles other than the ones specified above. For example, in NSFR, should the reported amount for ‘ASF from capital items and instruments’ be reported gross or net of the deductions permitted in COREP C_01.00 rows 524, 529, 744, 748, 974 and 978? In general, clarity is being sought on two points: Whether the reported amount of CET1 in C_81.00 row 0030 is to be reported prior to all own funds deductions and adjustments, even those that emanate from provisions other than the ones explicitly stipulated in Article 428o paragraphs (a) to (c). For instance, whether the CET1 amount in C_81.00 row 0030 shall be reported gross or net of the deduction relating to the depositor compensation scheme reserve, which deduction emanates from Article 26(1) CRR. The mentioned depositor compensation scheme reserve is not an asset but an equity reserve, thus falling out of scope of RSF row 1030 “other assets”, in line with Article 428ah(1)(b) [items deducted from own funds]. Thus, clarity is being sought as to whether equity reserves are to be treated in one of the following methods: In scope of ASF row 0430 “other liabilities” by virtue of Article 428k(3)(d); In scope of ASF row 0060 “other capital instruments” pursuant to Article 428o(d); or Out of scope of ASF.

Application of CRR Article 272(12) to SFT population within CoRep Template C34.02

CRR2 Requirement Application of Article 272(12) to the SFT population under IMM and FCCM approaches in derivation of the current market value for the purpose of disclosure in Taxonomy 3.0 template 34.02 - ‘current market value’ or ‘CMV’ means the net market value of all the transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV. Reporting requirement The EBA ITS instructions state that the Current Market Value (CMV), positive should represent the Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR and the Current Market Value (CMV), Negative the sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. It has been noted that the article reference – 272(12) is specifically tied to the standardised method and therefore does not apply to other methodologies for CCR However the EBA have extended the application of said article under CRR2 to cover all calculation approaches. Neither the CRR2 text or the reporting requirements provide sufficient clarity on how the current market value should be derived for the SFTs – a concept that is not recognised as a capital measure in assessing the counterparty credit risk for security financing trades. For SA-CCR this would be a relevant parameter, but from a firm perspective we do not use SA-CCR for our repos, only IMM or FCCM (so either Article 220 or 223).

Interest expenses categories

Under which heading of interest expenses should be declared commissions paid on commitments received ?

State guarantee of newly issued liabilities

Should liabilities issued under Article 32(4)(d)(ii) of Directive 2014/59/EU (BRRD) meet the criteria of Additional Tier 1 or Tier 2 instruments?

Relation between precautionary recapitalisation and early intervention measures

What is the relation between precautionary recapitalisation and early intervention measures in case an institution would have to raise its capital base following the negative outcome of stress test?