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List of Q&A's

FINREP - F10 Derivatives - Trading - "Economic hedges" (Rows 020, 080, 140, 200, 260 and 280)

FINREP - Template 10 Derivatives - Trading - "Economic hedges" (Rows 020, 080, 140, 200, 260 and 280) - can you confirm that this row shall include "mechanically" all derivatives classified as "held for trading" in accountancy but that are not part of the trading book as defined in CRR (excepted derivatives for proprietary trading) ?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2013_82
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

FINREP - F8.1 Breakdown of financial liabilities by product and by counterparty sector - "Repurchase agreements" (Rows 100, 150, 200, 250, 300 and 350)

FINREP - Template 8.1 Breakdown of financial liabilities by product and by counterparty sector - "Repurchase agreements" (Rows 100, 150, 200, 250, 300 and 350) - can you confirm that the rows "Repurchase agreement" do not include assets pledged that are not securities?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2013_81
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

FINREP - F7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 310 "project finance loans"

FINREP - Template 7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 310 "project finance loans" : does this row include all "specialised lending exposures" (CRR art 147.8) or only the subcategory "project finance loans" ? Indeed, the European directive 2006-048 (art 86 al 6) mentioned "specialised lending exposures", but in the French version, a breakdown by sub-category had been added : objects lending, commodities lending, real estate financing and project finance loans ?

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2013_80
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

FINREP - F7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 260 "Advances that are not loans"

FINREP - Template 7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 260 "Advances that are not loans" : does this row include advances in associates current accounts (which are advances and not loans) ?

  • 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: 2013_79
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

FINREP - F7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 200 "On demand [call] and short notice [current account]"

FINREP - Template 7 Financial assets subject to impairment that are past due or impaired (+ template 5) - Row 200 "On demand [call] and short notice [current account]" / does this row include discounts on debts that have been restructured due to counterparty default ?

  • 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: 2013_78
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

FINREP - F7 Financial assets subject to impairment that are past due or impaired - Column 110 "Accumulated write-offs"

Does this row include discounts on debts that have been restructured due to counterparty default ?

  • 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: 2013_77
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Application of article 95 (2) of Regulation (EU) No 575/2013

Shall firms referred to in point (2)(c) of Article 4(1) of the CRR meet the requirements in Article 92(1) and (2) based on the total risk exposure amount referred to in Article 95(2) if they: - provide both the investment services and activities listed in points (2) and (4) of Section A of Annex I to Directive 2004/39/EC? or - provide one or both of the investment services and activities listed in points (2) and (4) of Section A of Annex I to Directive 2004/39/EC?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_76
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 27/08/2013

FINREP: F1.3 Equity - Row 070 "Other equity instruments issued"

What kind of instrument is expected on this row ? Does it include all "own funds instruments" in CRR regulation, i.e. "capital instruments issued by the institution that qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments"?

  • 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: 2013_75
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

COREP: C05.01 Transitional Adjustments Reciprocal Cross Holdings - Residual amounts of CET1 to be deducted from AT1 and T2

(CA5;240 to 330;*) cover Reciprocal Cross Holdings. In CA5, for each of the capital groups (CET1, AT1 and T2), a differentiation is made between Rec. Cross Holdings where the institution has a significant investment versus a non-significant investment. In article 472 (9), it is stated that in case of a significant investment under Rec. Cross Holdings, the residual amount should be treated in accordance with point (i) of Article 36 (1) whereas for non-significant investments under Reciprocal Cross Holdings, it should be treated in accordance with point (h) of Article 36 (1). However, as both significant and non-significant holdings are treated separately in CA 5.1 (Row 390 to 420 and Row 340 to 370 respectively), we are wondering which residual amount there remains to be put under a transitional adjustment under rows 260 to 330 for columns 020 to 030.

  • 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: 2013_74
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

SA - Retail Classification - EUR1 million limit

In the definition of the retail exposures it states "...excluding exposures fully and completely secured on residential property collateral that have been assigned to the exposure class laid down in point (i) of Article 112..." of Regulation (EU) No. 575/2013 (CRR). Does this mean that exposures that are in default but fully secured on residential property (meeting all minimum requirements and limits) are not excluded?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_72
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 29/11/2013

FINREP: Reporting of insurance subsidiaries

According to new Finrep instructions templates F 1.1/1.2/1.3 should be reported according to the CRR scope of consolidation and template F17 according to the IFRS scope of consolidation. 1)Does this mean all tables (except template F17) should be reported according to CRR scope (which excludes insurance subsidiaries)? 2)CRR scope: Although insurance subsidiaries should not be consolidated according to the instructions, we assume the investments in and intercompany positions with insurance subsidiaries and the related P&L components with/from these subsidiaries should be reported somewhere in the consolidated figures. Is that correct? If yes, which lines in templates F 1.1-1.3 (balance sheet) and template F2 (P&L) should we use for this purpose?

  • 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: 2013_70
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 14/02/2014

Alternative calculation of own funds requirement for exposures to a Qualifying Central Counterparty (QCCP)

In the formula given in Article 310 of Regulation (EU) No 575/2013 (CRR) the trade exposure is referenced. According to article 306(1)(c) CRR and Article 306(2) CRR exemptions for the calculation of trade exposure exist, e.g. trade exposure can be set to zero under certain circumstance given in Article 306 CRR. Do these exemptions also hold when using Article 310 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_69
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 16/04/2014

Impact of the significant risk transfer on the own funds requirement against specific risk in case of synthetic securitisations in the trading book

May an originator institution of a synthetic securitisation where the securitised exposures are held in the institution’s trading book and the conditions for significant risk transfer in Article 244 are met exclude the securitised exposures and instead only include the securitisation positions resulting from the credit protection obtained in the calculation of its own funds requirement against specific risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_68
  • Topic: Securitisation and Covered Bonds
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Transitional provision for deferred tax assets that rely on future profitability

Article 478.2 of the CRR states "By way of derogation from paragraph 1, for the items referred in point (c) of Article 36(1) that existed prior to …, the applicable percentage for the purpose of point (c) of Article 469(1) shall fall within the following ranges" It is not clear to me what to read instead of "..." or how this date will be disclosed.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_67
  • Topic: Own funds
  • Date of submission:

Immovable property risk weights under the standardised approach (commercial)

Is the 50% standardised risk weight applicable to exposures fully and completely secured by mortgages on commercial property outside the Union?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_66
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 31/10/2013

Immovable property risk weights under the standardised approach (residential)

Is the 35% standardised risk weight applicable to exposures fully and completely secured by mortgages on residential property outside the Union?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_65
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 31/10/2013

Grandfathering of own funds instruments

Based on the answer to question 2013_16, if a step-up Tier 2 bond’s terms were changed so that all call options were removed – before the entry in force of the Regulation (EU) No 575/2013 (CRR) – could it be considered as fully eligible in Tier 2 capital assuming that the capital instrument meets the other conditions laid down in Article 63 of the Regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_61
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 24/01/2014

Grandfathering

Article 486(3)(c) of Regulation (EU) No 575/2013 (CRR) states: “the amount of instruments referred to in Article 484(4) which on 31 December 2012 exceeded the limits specified in the national transposition measures for point (a) of Article 66(1) and Article 66(1a) of Directive 2006/48/EC;..” is to be deducted from the amount eligible for inclusion.” This same rule is also applied for Tier 1 grandfathering under CRR. This in effect preserves the current Tier 2 restrictions. Because that amount is at an aggregate level i.e. not by instrument, how then are the individual instruments to be treated under CRR? Each instrument may have different terms including maturity and so how should aggregated restricted amount be spread across instruments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_60
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 29/11/2013

Definition of default in terms of days

Is it correct that the 180 day definition is only available for other purposes linked to the referenced defaulted loans under the standardised approach – but not for the 100% risk weight? Could this represent a discrimination of SA banks against IRB banks which might be allowed to apply a 180 day definition for the risk weight of defaulted residential/SME commercial/public sector loans under their internal rating systems?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_58
  • Topic: Credit risk
  • Date of submission:

Definition of a large exposure

Please can you confirm if the large exposure threshold for reporting is 10% of eligible capital as mentioned in Article 392 or €300m?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_57
  • Topic: Large exposures
  • Date of submission: