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List of Q&A's

IFR reporting

What would be an example of how firms should read Article 20(1) IFR for reporting purposes in template I 06.07 and I 06.08 of annex I to Regulation (EU) 2021/2284?  

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/2284 - ITS on Reporting
  • ID: 2022_6384
  • Topic: Supervisory Reporting - IFR Reporting framework
  • Date of submission:
  • Published as final Q&A: 25/08/2023

Interpretation of K-DTF

1. Are those transactions executed on behalf of the clients in its own name, as per DTF definition, to be included under K-COH?  2. Furthermore, are transactions pertaining to assets included in K-AUM to be excluded from K-DTF?    

  • Legal act: Regulation (EU) No 2019/2033 (IFR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6383
  • Topic: K-factor requirements
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

SACCR - MPOR for derivatives between a clearing member and a CCP

Which is the MPOR that should be considered for derivatives between a clearing member and a CCP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6382
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 26/07/2022

Treatment of amortization and interest flows - received within 30 days - from securities

ANNEX XXV REPORTING ON LIQUIDITY (PART 3: INFLOWS) clarifies the treatment of inflows from securities maturing within 30 days Row 190, ID 1.1.5. What is the correct treatment of amortizable securities for which capital repayments occur within 30 calendar days ? What is the LCR treatment of interest inflows from securities that occur within LCR horizon ? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2022_6381
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Treatment of "not designated elements" for the purpose of computing prudential capital requirements

Our entity will apply IFRS 9 provisions regarding hedge accounting to financial reporting starting from January 2022. IFRS 9 §6.5.15 and §6.5.16 introduce a new type of other comprehensive income: when using hedge accounting, an entity may separate some elements considered as a “cost of hedging”, and recognise them in other comprehensive income as “not designated elements”.  Commission Implementing Regulation 2021/451, in its template-related instructions (1.3 Equity §27), mentions that such elements shall be reported in a dedicated line “Hedging instruments [not designated elements]” for the purpose of FINREP. Specifically, this line is distinct from “Hedging derivatives. Cash flow hedges reserve [effective portion]”. However, cash flow hedge reserve and not designated elements are very similar elements: as an evidence, our entity will transfer amounts currently in cash flow hedge reserve to the new category “not designated elements”. We are therefore wondering the regulatory treatment  of “not designated elements” for the purpose of computing prudential capital requirements.  Cash flow hedges reserve shall not be included in any element of own funds (REGULATION (EU) No 575/2013 §33) Should “not designated elements” treatment be aligned on that of the cash flow hedge reserve ? or should “not designated elements” be included in prudential own funds ?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6380
  • Topic: Own funds
  • Date of submission:
  • Published as Rejected Q&A: 23/09/2022

Validation rule v10248_h

Is this validation rule correct for intitutions which calculate their own funds requirement in accordance with the BIA ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6378
  • Topic: Supervisory reporting - Other
  • Date of submission:
  • Published as Rejected Q&A: 25/01/2023

v09805_m, size of the derivatives business

Is validation rule v09805_m applicable?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6377
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Calculation of loss given default for fully off-balance exposures in case there are no additional drawings after the default date.

According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   In case the exposure is fully-off balance at the moment of default and there are no additional drawings after default, both the numerator and the denominator of the LGD will be equal to zero. This means that the LGD cannot be calculate using the definition stated above. Should the realized LGD be set equal to zero in this case? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6376
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Calculation of amount outstanding at default and loss given default for products in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR)

Article 181(1)(a) of Regulations (EU) No 575/2013 (CRR) specifies that LGDs shall be estimated on the basis of the average realized LGD by facility grade or pool using all observed defaults. According to point 55 of Article 4(1) of Regulations (EU) No 575/2013 (CRR) ‘Loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default.   For the purpose of calculating the realized LGD, how should the amount outstanding at default (and the denominator of LGD) be calculated for exposures in scope of Article 166 (10) of Regulations (EU) No 575/2013 (CRR) that are fully off-balance at the moment of default?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6375
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/09/2023

Goodwill included in the valuation of significant investments

1. For the purposes of Article 37(b) CRR, are the significant investments of the institution limited to the significant investments in financial sector entities (FSE) or should they include all significant investments (i.e. also significant investments in entities that are not financial sector entities)? 2. Should Article 37(b) CRR be applied only when the significant investments outside the prudential perimeter are valued for prudential purposes using the equity method or should it be applied also when the significant investments are valued for prudential purposes at historical cost?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6374
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 31/03/2023

Indication of use of derogation of Article 2(5)(b) of Regulation (EU) No 1152/2014

It is not clear from the instructions which value should be reported to indicate in a harmonised way whether an institution makes use of the derogation stated in Article 2(5), point (b) of Regulation (EU) 1152/2014.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6373
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Contributions to Resolution Financing Arrangements - clarification regarding the use of the risk indicator of "Own funds and eligible liabilities held by institution in excess of MREL" in calculation of the contributions to resolution financing arrangements

How to determine the risk indicator "Own funds and eligible liabilities held by the institution in excess of MREL" referred to in Article 6 (2)(a) of the Commission delegated regulation (EU) 2015/63 within the calculation of the ex-ante annual contributions to resolution financing arrangements.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
  • ID: 2022_6372
  • Topic: Resolution financing arrangements
  • Date of submission:
  • Published as Rejected Q&A: 09/06/2023

FINREP - Treatment of cash collateral

In an earlier issued answer (Q&A 2020_5279), it was advised that cash collaterals on derivatives should be reported as part of 'Financial assets at amortised cost' [F 01.01, r183, c010].  Should cash collaterals on other products, for instance reverse repurchase agreements and repurchase agreements (repos & reverse repos) be treated similarly?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6371
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/01/2023

Reporting of physically settled derivatives in C 66.01 Maturity ladder

  In which sheet should we report the commodity flows in the C 66.01 Counterbalancing section - only in the TOTAL sheet (for all currencies combined) or also in the corresponding significant currency sheet? Does reporting depend on the type of commodity - metals, energy, agriculture, etc.? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6370
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 17/02/2023

Definition of private equity exposures in articles 155(2) and 155(3)

Do “private equity exposures in sufficiently diversified portfolios” eligible to a Risk Weight (RW) of 190% in simple risk weight approach in Article 155(2) and a PD of 65% in the PD/LGD approach in article 155(3) refer to any non-listed equity instrument and/or shares in a CIU or units in a CIU for which the underlying exposures are non-listed equity instruments, provided that they are part of a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6369
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Own estimation of conversion factors for off-balance sheet exposures for binding mortgage/loan offers

Is the own estimation of credit conversion factors considered relevant for binding mortgage/loan offers, with a maturity of less than one year?. Should the total amount of a binding mortgage/loan offer be considered as "currently undrawn amount of a commitment that could be drawn" or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6368
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Exposure class for fair value changes of the hedged items in portfolio hedge of interest rate risk

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6367
  • Topic: Credit risk
  • Date of submission:

v10703_h/ v10711_h

Should the validation rules v10703_h/ v10711_h be deactivated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
  • ID: 2022_6366
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022