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List of Q&A's

How to report reverse repo operations in Part A template AE-ASS (C 31.01) and/or AE-COLL (C 32.02)

The instructions say that the all the assets of the reporting institution must be reported in the template AE-ASS and it corresponds to the total assets registered in the balance sheet. At the same time, they also specify that collateral which has been received by the reporting institution through a reverse repo, should be reported in the template AE-COL. A reverse repo is registered as a cash loan in the balance sheet. How should a reverse repo be reported in the Part A of the reporting: as a loan in the template AE-ASS (such as its accounting treatment) or as collateral received depending on the breakdown (eg. equity, debt security…) in the template AE-COL? Or should it be reported in the 2 templates AE-ASS and AE-COL? Please note that if a reverse repo should be reported exclusively in the template AE-COL, the row 010 of the template AE-ASS will not correspond to the total assets registered in the balance sheet (i.e. the reverse repo is reported as a loan in the balance sheet)

  • 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_718
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Collateral Swaps Scope

C54 of the LCR covers the collateral swaps. Should this template should only include transactions undertaken by the liquidity management function that are reported in the assets template.

  • 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Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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: 2014_717
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Handling of unrealised gains/losses in Own Funds and Exposures

Does unrealised gains/losses refer to all gains and losses for financial instruments accounted at fair value which occured life to date or only unrealised gains/losses of the current year? Will unrealised gaines and losses despite being deducted from own funds be still part of the exposure? How should the position "Losses for the current financial year" be calculated? Without taking into account unrealised gains/losses?

  • 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: 2014_716
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 06/03/2015

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 (repealed)
  • ID: 2014_709
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 23/05/2014

Calculation of retail exposures under Article 123(c) of Regulation (EU) No 575/2013 (CRR)

Does expression from point (c) of the first subparagraph of Article 123 of Regulation (EU) 575/2013 (CRR) “the total amount owed to the institution and parent undertakings and its subsidiaries” refer to exposure value as of Article 111 1. net exposure value (after deduction specific credit risk adjustments and additional adjustments) of an asset and of an off-balance sheet? Should the exposure value (the sum of current replacement cost and potential future credit exposure) of derivative instruments be included in calculation of total amount owed to the institution, laid down in point (c) of Article 123? Should the total amount owed to the institution and parent undertakings and its subsidiaries as of Article 123 (c) include: - An off-balance sheet item = 50 000 EUR? - Credit risk adjustments = -10 000 EUR? - Value of derivative instrument? If so, should both current replacement cost and potential future credit exposure be included?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_707
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Taking into account insurance effect on operational risk

Recital 52 of Regulation 575/2013/EU (CRR) suggests insurance should be taken into account for the determination of own funds requirements with respect to operational risks, including in simple approaches. How can insurance be taken into account in the basic indicator and standardised approaches of operational risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_706
  • Topic: Operational risk
  • Date of submission:
  • Published as final Q&A: 14/03/2014

Retail exposure class and risk weight for exposure value of derivative instruments

Should the credit risk exposures and counterparty credit risk exposures for the same customer be classified as retail exposures if the criteria from Article 123 points (a) to (c) of Regulation (EU) No 575/2013 (CRR) are met and they are classified neither as exposures in default nor as exposures secured by mortgages on immovable property? Are there any restrictions in assigning derivative instrument to the retail exposures class and to use one of the preferential risk weights of 75% except criteria from Article 123?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_704
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 27/06/2014

Draft Implementing Technical Standards (ITS) on supervisory reporting under the CRR, CR IP Losses (C 15.00)

Should increase of credit risk adjustment (specific loan loss provision for credit risks) during reporting period be reflected in the reported data? Should estimated loss be reported (reporting date 30.06.2013) as 250 000 EUR or as 290 000 EUR?

  • 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: 2014_703
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

ITS on supervisory reporting under the CRR COREP CR GB template

What exposure value have to be taken into consideration to verify threshold of 10% of total exposures in all exposures classes according to Article 5 (a) (4)? Should the total exposures be taken as reported in row 010 column 010 of template 7 of Annex I as original exposure pre conversion factors? Which institutions should report information on the geographical distribution of exposures by country on template CR GB 1, CR GB 2? Should only those institutions report CR GB 1, CR GB 2 templates whose ‘non-domestic’ exposures are equal or higher than 10% of total exposures?

  • 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: 2014_702
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 22/08/2014

LE1 template (C 27.00) - reporting of identification data on individual clients within groups of connected clients

In the case of exposure to the group of connected clients (with 5 clients forming a group): Does an institution have to report the identification data (LE1 template C 27.00) ) only for a group of connected clients (group data) or also for those 5 clients which form the group?

  • 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: 2014_701
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Reporting of credit risk mitigation on the CR IRB template (C 08.01)

The COREP CR IRB guidelines seem to be conflicting with the validation rules in respect to reporting the substitution effect of Credit Risk Mitigation (CRM), columns 40-80 of the CR IRB template. The instruction for column 040 (Guarantees) is ambiguous, on the other hand it states: "If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided." but also: "When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported." For the substitution approach, the adjusted value of guarantee has to be reported in the column 070 (outflows). The COREP CR IRB template states that the column 070=040+050+060. This formula woud result in the nominal (pre-currency/maturity mismath adjustment) value being transferred from the original obligor's exposure class to the protection provider's exposure class, instead of the adjusted amount. Please clarify which amount is to be reported in the columns 040-050, nominal or adjusted credit protection amounts? In case the answer is different for banks using own LGD estimates and those not, please specify why should this be the case.

  • 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: 2014_700
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 05/09/2014

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:
  • Published as final Q&A: 23/05/2014

Reporting on own funds and own funds requirements - Exposure value calculation

What is the correct calculation of the exposure value of non-trading book, non-derivative and non- repostyle exposures for the purposes of STA (Art 111) and large exposures (Art 389)? More specifically, are Additional Value Adjustments (AVA) according to Art 34 deducted?

  • 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_694
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

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:
  • Published as final Q&A: 23/05/2014

Maturity under Article 162 of Regularion (EU) No 575/2013

Under the provisions of Article 162(2)(a) of Regulation (EU) No 575/2013 (CRR), how should an instrument with a scheduled cash flow, where the institution may opt for prolonging the contract for another period, be treated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_687
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/11/2014

Maturity (M) for short-term credit line contracts which are continuously rolled over.

This query regards the setting of the maturity parameter (M) for corporate exposures when applying the IRB approach. In this respect, we are referring to facilities subject to Article 162(2)(f) of Regulation (EU) No 575/2013 (CRR): “(f) for any other instrument than those mentioned in this paragraph or when an institution is not in a position to calculate M as set out in (a), M shall be the maximum remaining time (in years) that the obligor is permitted to take to fully discharge its contractual obligations, where M shall be at least 1 year;” Consider exposures where the credit contract stipulates a short-term contractual maturity (say 1 year). If an institution typically rolls over such facilities, possibly after rigorous, annual credit processes so that the de-facto maturity is greater than the contractual, should the institution then be allowed to apply the contract length as maturity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_686
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/11/2014

Allocation of loans and advances secured by more than one type of collateral in F 05.00 Breakdown of loans and advances by product

In FINREP table F5. “Breakdown of loans and advances by product” the carrying amount of mortgage loans and other collateralized loans shall be reported in row 090 and row 100. If loans and advances are simultaneously secured by more than one type of collateral, for example secured by immovable property and other collateral, then how they shall be reported?

  • 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_685
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 27/06/2014

FINREP Table F 13.03 Collateral obtained by taking possession (tangible assets) accumulated

This question asks for a clarification of the content and the validation rules of Table F 13.03. According to the instructions in Table F 13.03 instituitions shall report the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as "property, plant and equipment." In Annex XV there is one validation rule which makes connection between F 13.03 and F 01.01 v1090_m {F 13.03, r010, c010} <= {F 01.01, r370, c010} Is it correct?

  • 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_684
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Reporting "type of connection" in column 040 of LE3 (C 29.00)

What type of connection should an institution report for Client A if "Client A" in a group of connected clients controls "Client B" (cotrol relationship - "a") and is additional economically connected with "Client C" (interconnectedness - "b")?

  • 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_683
  • Topic: Supervisory reporting - Large Exposures
  • Date of submission:
  • Published as final Q&A: 27/02/2015