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Gross carrying amount for purchased credit-impaired assets in FINREP and COREP

How should we define gross carrying amount of purchased credit-impaired assets (POCI) for reporting into FINREP templates (i. e. F 18.00 and F 19.00)? Related to gross carrying amount in previous question, how should we in define original exposures for reporting into COREP and LE templates? How should we calculate coverage ratio by allowances or provisioning for credit losses, if the value of allowances for expected credit losses related to the POCI is positive? For example: In Q1 2018 bank A simultaneously with other forbearance measures in respected existing exposures to the debtor who is already in default, grants him a new loan in CU 100.000 (=so-called transaction price). There is evidence that the loan is already credit-impaired at initial recognition, based on that fact bank identified this exposure as an originated credit-impaired financial asset in stage 3 (=POCI).The fair value of the loan at the time of drawdown (i.e. at initial recognition) is only CU 55.000, mainly due to the significant credit risk value adjustment. Therefore, bank at initial recognition in accordance with paragraph B5.1.2A (b) of IFRS 9 recognises one-day profit or loss (P&L) in CU 45.000. Bank recognises also allowance for expected credit losses (ECL) in CU 1.000. In Q4 2018 bank find out that estimated allowance for ECL in CU 1.000 and negative fair value adjustment due to credit risk in CU 45.000, which was, taking in to account one-day P&L and calculation of credit-adjusted effective interest rate under paragraph 5.4.1 (a) of IFRS 9, too pessimistic. Therefore, bank reverses allowances from the previous period in CU 1.000. In addition, bank recognises positive amount of allowances for ECL in CU 2.000. The same situation could happened if Bank A modified financial assets, which in accordance with paragraph B5.5.25 of IFRS 9 would result in the derecognition of the existing financial asset and the subsequent recognition of the new modified financial asset. If there is evidence that the new modified financial asset is credit-impaired at initial recognition, it should be in accordance with paragraph B5.5.26 of IFRS 9 recognised as an originated credit-impaired financial asset (=POCI). Based on presented example, which option to calculate the gross carrying amount under paragraph 34 (b) of Part 2 Annex V of Regulation (EU) No 680/2014 for reporting purposes in the FINREP templates is correct: Option A: Fair value of financial asset defined at initial recognition in accordance with paragraphs 5.1.1, 5.1.1A and B5.1.2A of IFRS 9, as the starting point for using amortized cost method at subsequent measurement, because FINREP templates in general follow IFRS. According end of the Q1 and Q4 gross carrying amount is CU 55.000 (= transaction price in CU 100.000 minus recognised one day P&L in CU 45.000). Option B: Fair value of financial asset after adding back any negative fair value adjustment due to credit risk at initial recognition of financial asset, as starting point for credit losses calculation both for accounting and for capital adequacy purposes. According end of the Q1 and Q4 gross carrying amount is CU 100.000 (= transaction price). In this case negative fair value adjustment due to credit risk at initial recognition in CU 45.000 should increase amount of allowances for ECL. How should we, in respect of gross carrying amount in the example, define original exposures for the purpose of including in COREP and LE templates, in accordance with option A or option 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)

Treatment of margined Derivatives which are physically settled in the Maturity Ladder (C66) Template

The guidance suggests that all margined derivatives should not be reported in the return for lines: "1.5 Derivatives amount payables other than those reported in 1.4" and "2.4 Derivatives amount receivables other than those reported in 2.3". How would you suggest that firms should report the cash flows relating to margined derivatives which are physically settled by the delivery of a commodity and the exchange of cash?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Treatment of undrawn committed facilities backed by own issuances.

Should the undrawn committed facility in the form of LTRO2 backed by own issuances be reported in the line 3.8 (Undrawn committed facilities received) of the C66 model?

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)

Reporting of own funds deductions required by the competent authority.

What is the treatment for the purpose of supervisory reporting of specific own funds deductions or prudential filters required by the competent authority pursuant to Article 104(1)(d) of Directive 2013/36/EU?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/13 - Guidelines on common procedures and methodologies for the SREP

Reporting of balances denominated in renminbi CNY and CNH in C22 MKR SA FX

In C22 MKR SA FX, where a bank is permitted to hold positions denominated in CNY and CNH, should CNH balances be combined with CNY balances in Row460, or included in Row470 under Other currency positions on the basis that CNH has its own readily-verifiable exchange rate and exposure against the reporting currency? For C22 Row020, if CNH balances are reported in Row470, should CNH be included in List of Closely correlated currencies against the Chinese Yuan (CNY) in Annex 1 to ITS ON CLOSELY CORRELATED CURRENCIES UNDER ARTICLE 354(3) OF REGULATION (EU) 575/2013?

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)

Reporting of revocable off-balance sheet commitments in FINREP IFRS9 template F 9.1.1

Where should the revocable off-balance sheet commitments be reported in FINREP IFRS9 template F 9.1.1? Annex V, Part 2, paragraph 103 requires that information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. Template F 9.1.1 includes three main categories: "off-balance sheet commitments and financial guarantees under IFRS 9 impairment”; “Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4” and “Commitments and financial guarantees measured at fair value”. A revocable off-balance sheet commitment is not in scope of IFRS 9 Impairment, IFRS4, IAS37 (there is no contractual obligation which is a condition for IAS37) nor is it measured at fair value. Where should such a revocable off-balance sheet commitment be reported in template F 9.1.1? Does it have to be reported in F 9.1.1?

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)

FINREP F 12.1 Movements in allowances and provisions for credit losses

How shall the impact of transfers between impairment stages be reported in template F 12.1.?

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)

C 09.04, row 40, column 010 - Value of trading book exposures for internal model

Regulation 2016/1702 requires that row 40 only be populated with the exposures value for relevant credit defined in Article 140(4)(b) of Directive 2013/36/EU (CRD), in accordance with Article 104 CRR, namely the sum of the following items: -Fair value of non-derivative positions; -Notional value of derivatives. We remain unsure how the bank should include short positions in the reported exposures. Question: Could you indicate how the bank should include short positions in the reported exposures?

Legal act: Directive 2013/36/EU (CRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

VaR Multipliers

How should the figures in VaR and SVaR multiplication factors be reported in C 24.00?

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)

Toleranzschwellen bei Korrekturmeldungen gemäß Verordnung (EU) Nr. 680/2014

Unterhalb welcher Materialitätsschwellen dürfen Korrekturmeldungen gemäß Verordnung (EU) Nr. 680/2014 unterbleiben? Ab welchen Aufwandsschwellen, die für die nachträgliche Korrektur und Einreichung zu erbringen wären, kann die Einreichung korrigierter Meldungen unterbleiben?

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)

FINREP, template F 20.04

If a bank does business with a branch abroad, how does bank report information regarding Geographical breakdown by residence of the counterparty in table F 20.04 – taking into account the country of branches' residence or the country of mothers' residence? For example, Slovenian Bank A does business with Branch B in Italy, which is the part of Bank C in Slovenia. Should the Bank A report in template F 20.04 their exposure to Branch B of Bank C as an exposure to Slovenia (residence of mother) or as an exposure to Italy (residence of branch)?

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)

Question on CSD capital requirements and investment policy

For collateral to be considered of the best quality for the purpose of CSDR Articles 59(3)(d) and 59(4)(d), debt instruments are required to be liquidated “on a same day basis”. In the same manner, the appropriate timeframe in order to access the asset under the investment policy, as provided by art. 82(2), should be “on the same business day” We ask European Authorities to clarify the meaning of “same day basis” and “same business day” and the settlement period linked to it.

Legal act: Regulation (EU) No 909/2014 (CSDR) - only RTS 2017/390
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/390 - RTS on prudential requirements of CSDs (CSDR-related)

COREP form C72

On form C72.00, should there be a calculation for row 020 Total unadjusted level 1 assets?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Supplementary Reporting

In templates C51.00 to C53.00, which criteria should be applied to determine the items subject to Supplementary Reporting?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

wrong behaviour of constraint v1141_m (and v1142_m) (COREP: C_16.00.a)

v1141_m: if {r020,c070} > 0 then {r030,c010} > 0 or {r030,c020} > 0 or {r030,c030} > 0 or {r040,c010} > 0 or {r040,c020} > 0 or {r040,c030} > 0 or {r050,c010} > 0 or {r050,c020} > 0 or {r050,c030} > 0 or {r060,c010} > 0 or {r060,c020} > 0 or {r060,c030} > 0 or {r070,c010} > 0 or {r070,c020} > 0 or {r070,c030} > 0 or {r080,c010} > 0 or {r080,c020} > 0 or {r080,c030} > 0 or {r090,c010} > 0 or {r090,c020} > 0 or {r090,c030} > 0 or {r100,c010} > 0 or {r100,c020} > 0 or {r100,c030} > 0 or {r110,c010} > 0 or {r110,c020} > 0 or {r110,c030} > 0 or {r120,c010} > 0 or {r120,c020} > 0 or {r120,c030} > 0 Apparently the constraint also triggers an error when {r020,c070} = 0 which shouldn’t be the case according to the label and syntax of the formula. the same remark concerning v1142_m (similar formula)

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Risk weighted exposures of CET1/AT1/T2 holdings in financial sector entities which are not deducted from the institution's CET1 capital

Can we exclude from the RWA, the exposures related to the trading book?

Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

Hedging derivatives in country splits of FINREP

Please confirm if hedging derivatives should be reported in the country split forms of FINREP (e.g. 20.04 (assets) and 20.06 (liabilities)) or only trading derivatives should be shown.

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)

Upside uncertainty and OPR AVA

How shall OPR AVA be treated in relation to Upside uncertainty?

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)

Control v6363_m - Number of days of the prudent exit period ?

Could you confirm that this control must be deleted or that the number of days is more or equal to zero (and not ten) ?

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)

Prudent valuation - new template C.32.01

At the analysis of the new template C.32.01 which must be filled starting from reporting date 31.12.2018 we found some constellations which we cannot allocate so easily in the new form. Here we would ask you for guidance. 1. Eurex-Netting Here derivatives of different hedging relation and valuation categories are netted and the netting result is finally shown in only one finrep position which is derivatives – hedge accounting (in the template rows 1.1.9 or 1.2.4). Here are also some derivatives included for which the hedging relation should be shown in column 030 exactly matching. The reason is that the other deal of the hedging relation which is not part of the netting agreement is also shown here. At the rows 1.1.9 or 1.2.4 the column exactly matching is, however, shown greyed out. If we – for instance – evade to column 040 other, then column exactly matching does no longer show the same total on the asset side and the liabilities side what – we suppose – would contradict to the expectations of EBA. How can we show this constellation properly in the template? 2. Portfolio Fair Value Hedge Accounting (rows 1.1.10 and 1.2.5 in the template) We regard the bookings in this balance sheet positions also as a part of hedge accounting and thus cannot understand why in these rows 1.1.10 and 1.2.5 column 040 hedge accounting is shown greyed out. Where can we show in the template the deduction items which we calculate for prudent valuation at portfolio fair value hedge accounting? 3. Change of algebraic sign at some trades There are cases where the total book value is lower than the hedge adjustment included in the book value. This means that after elimination of the hedge adjustment in column 030 or 040 the algebraic sign of the book value changes. In the result column 080 the problem is solved by showing the absolute value for the calculation basis for the prudent valuation of every deal. So undesirable netting effects inside this column are avoided. At the deduction rows 030 – 060 it is not so easily possible to show a transparent calculation. Example: Deal 1 Book value 80 Hedge Adjustment 100 Result 20 (absolute value) Deal 2 Book value 100 Hedge Adjustment 90 Result 10 (absolute value) Then the cells in template show the following figures: Book value 180 Hedge adjustment 190 Result 30 (absolute value) This is correctly calculated, but not transparent and the validation rules are not complied with.

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)

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