12 Q&As on CRR: Supervisory reporting and IFR: Concentration risk

EBA has published the following 12 new Q&As regarding issues relating to the CRR and the IFR:
##### 2022_6350 – Supervisory reporting – FINREP (incl. FB&NPE) – Interest-income on credit impaired financial assets (template F 16)
QUESTION: Template F 16, r0280, of which: interest-income on credit impaired financial assets: if a financial asset was credit impaired during for example Q1, Q2, and Q3, but during Q4 became performing again, should we still report the interest-income reflected on this row in the Q4-reporting?

##### 2022_6523 – Supervisory reporting – Asset Encumbrance – Treatment of TIPS and IP in AE reporting
QUESTION: Should balances kept on accounts related to TIPS (TARGET Instant Payment Settlement) and IP (Instant payments) in the encumbrance reporting, be reported as encumbered or not?

##### 2022_6522 – Supervisory reporting – Asset Encumbrance – Treatment of additional collateral on top of overcollateralization of Covered bond program
QUESTION: 1. Should a surplus above overcollateralization (above contractual amounts/percentages and also above what rating agencies require to maintain the rating) within a covered bond programme be considered as encumbered, when release and re-assignment of any security requires a signature from external parties (incl. the trustee for the covered bond programme) based on the programme documentation?
2. If the required signature before withdrawal should still be seen as resulting in encumbrance, also in the case of the situation described below, would it then be relevant, if the Trustee contractually would not be able to say ‘No’ if the after the requested withdrawal the required overcollateralization threshold are still met?

##### 2022_6603 – Supervisory reporting – COREP (incl. IP Losses) – Notional amount reported under SA_CCR model
QUESTION: SA_CCR model: How do we report notional amount in template C 34.02 {r0030, c0030} in Annex I to Regulation (EU) 2021/451 (ITS on supervisory reporting)?

##### 2022_6473 – Concentration risk – K-CON own fund requirements
QUESTION: How should the K-CON requirement be calculated under Article 39 of Regulation (EU) 2019/2033?

##### 2022_6630 – Supervisory reporting – COREP (incl. IP Losses) – Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02
QUESTION: For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting).
The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT.
A repo transaction is composed by only 2 parameters, the security posted and the cash received.
In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions:
What is the notional amount of the repo to be reported in column 0030?
– The security value posted (or the security nominal ?)
– The Cash nominal received
– The security value posted – the cash received
– Not relevant, do not populate
– Other, please indicate
What is the current market value of the repo to be reported in column 0040/0050?
– The security value posted
– The Cash nominal received
– The security value posted – the cash received
– The security value posted as a negative position (column 0050)
– Not relevant, do not populate
– Other, please indicate
What is the exposure value pre-crm to be reported in column 0150?
– The security value posted
– The security value posted – cash received
– Other, please indicate

##### 2022_6631 – Supervisory reporting – Leverage ratio – Reporting of central bank exposures – C 40.00
QUESTION: Is the intention of data points {row 0090;col 0010} and {row 0090;col 0020} to exclude central bank claims given individual disclosure in {row 0380;col 0010} under taxonomy 3.0 guidance?

##### 2022_6673 – Supervisory reporting – FINREP (incl. FB&NPE) – NACE sector K- ‚Financial and insurance activities‘ in F 06.01
QUESTION: How should the instructions from Regulation (EU) 2021/451, (ITS), Annex V, Part 2, paragraph 92 ‘Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K – Financial and insurance activities’’ be understood?
As an example, should a counterparty whose primary activity is NACE code 7010 ‘Activities of head offices’ (sector M), who also performs the activity ‘other financial service activities, except insurance and pension funding n.e.c.’ (NACE code 6499) be presented in F 06.01 in sector K ‘Financial and insurance activities’ or in sector M ‘Professional, scientific and technical activities’?

##### 2022_6672 – Supervisory reporting – FINREP (incl. FB&NPE) – NACE reporting in FINREP
QUESTION: In FINREP where presentation towards NACE sector is requested, in case the immediate counterparty is a holding company, should the applicable NACE sector be based on the NACE sector applicable for the holding company itself, or should the NACE sector be based on the NACE sector of the specific obligor under the holding company which receives the funding from the holding company?

##### 2023_6711 – Supervisory reporting – FINREP (incl. FB&NPE) – Finrep validation v11942_m – Collaterals received on NPL
QUESTION: According to the validation rule v11942_m it has been stated that {F 18.00.d, r0070, c0200} + {F 18.00.c, r0070, c0210} <= {F 18.00.a, r0070, c0060} + {F 18.00.b, r0070, c0150}. However, in our case net amount of total gross carrying amount of non-performing loans (NPL) + Accumulated Impairment is not higher than the amount of total collaterals and financial guarantees received for these loans. Since this validation ID’s severity is being stated as ‘warning’ can we proceed with the actual amounts and report with this situation? ##### 2023_6718 - Supervisory reporting - COREP (incl. IP Losses)) - Whether values to be reported in template C 08.03 and C 34.07 should be based on original obligor or resultant obligor QUESTION: Should the values reported in template C 08.03 be based on original obligor (immediate counterparty to whom the original exposure amount is assigned) or resultant obligor (counterparty guaranteeing the original exposure and whose PD or LGD is used for RWA calculation as result of PD/LGD substitution approach)? Consistently, as template C 34.07 has a similar structure as template C 08.03, can the logic applied for reporting values on original/resultant obligor basis in template C 08.03 also be applied to template C 34.07? * ##### 2023_6737 - Supervisory reporting - COREP (incl. IP Losses) - Definition of domestic for reporting collateral by type QUESTION:** For the purposes of populating the C 34.08 of Annex 1 to the Regulation (EU) 2021/451 it asks for cash to be split by domestic currency and other currencies and sovereign debt to be split into domestic and other. In this context, how should domestic be interpreted? We can think of three possible options: 1) Domestic refers to the country of incorporation of the institution. 2) Domestic refers to the country of incorporation of the client against which the institution has the CCR exposures. 3) Domestic refers to the country of incorporation of the issuer of the debt with respect to the sovereign debt (although this would then seem to conflict with domestic for cash if it is a valid option).