7 Q&As on CRR

EBA has published 7 new Q&As regarding issues relating to the CRR:
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2023_6817 – Supervisory reporting – COREP (incl. IP Losses) – Prudent Valuation: Reporting of AVAs in C 32.03
QUESTION: How should the AVAs of model risk be reported in the template C 32.03. Can the Fair Value Adjustments linked to Model Risk, Model Risk UCS y Model Risk I&FC AVAs be included into the C 32.03?
ANSWER: Fair value adjustments related to model risk UCS and IFC AVAs should be included in the fair value adjustments for model risk, as per EBA/RTS/2014/06/rev1.
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2023_6749 – Supervisory reporting – Asset Encumbrance – Central bank eligibility of cash
QUESTION: Should cash be reported as central bank eligible in F 32.01 (AE-ASS) if a bank can borrow securities against cash from the central bank?
ANSWER: Assets should be considered central bank eligible only if they are accepted as collateral by the central bank. The Eurosystem provides credit against adequate collateral, typically marketable financial securities or cash.
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2023_6714 – Transparency and Pillar 3 – ESG P3 – Template 2 and 5 – Gross carrying amount for loans collateralized
by RRE/CRE and multiple collaterals
QUESTIONS:
Question 1: For loans collateralised by CRE and/or RRE, to be reported in template 2 & 5, does the regulation allow to have their gross carrying amount not matching the gross carrying amount of the same loans reported in FINREP?
Question 2: Does Q&A 6517 apply for both template 2 and 5 or only for template 5?
ANSWER: The gross carrying amount for such loans should match the figures reported in FINREP, as per the ESG disclosure regulations.
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2023_6704 – Supervisory reporting – COREP (incl. IP Losses) – COREP v3.2 – C 33.00
QUESTION: Regulation (EU) 2022/1994 amending the implementing technical standards laid on in Implementing Regulation (EU) 2021/451 changes the direction of the 2nd parenthesis for the period intervals of rows 0170 to 0230, which generates a ‚double counting‘, example below:
r0170 [0 – 3M]
r0180 [3M – 1Y]
r0190 [1Y – 2Y]
r0200 [2Y – 3Y]
r0210 [3Y – 5Y]
r0220 [5Y – 10Y]
r0230 [10Y – more]
The periods 3M, 1Y, 2Y, 3Y, 5Y and 10Y would be declared on 2 rows each time.
ANSWER: The answer clarifies the differences between the European Commission version and the EBA website version and suggests following the EBA’s published version.
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2022_6643 – Supervisory reporting – COREP (incl. IP Losses) – Deferred Tax Liabilities (DTL) that are non-deductible from Deferred tax assets (DTA) as per accounting rule
QUESTION: Where do we book the temporary Deferred Tax Liabilities (DTL) differences that are non deductible from Deferred tax assets (DTA) as per accounting rule?
ANSWER: Institutions should ensure that the total deferred assets and total deferred liabilities in template C.04.00 match their most recently verified or audited accounting balance sheet figures.
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2022_6548 – Supervisory reporting – COREP (incl. IP Losses) – Securitised derecognised assets
QUESTION: Template C 14.00 (SEC DETAILS), column 0210, requires reporting of information on securitised exposures including associated provisions. The memorandum item on the standardised calculation in C 14.01 (SEC DETAILS APPROACH), column 0448 also requires provisions on underlying asset as an input. What provisions should be used when the securitised exposures are also derecognised by the reporting entity from an accounting perspective?
ANSWER: The answer advises reporting the value adjustments and provisions following the accounting framework, and if the framework doesn’t consider them upon derecognition, they should not be reported.
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2022_6477 – Supervisory reporting – Leverage ratio – Calculation of RWA for assets that are deducted from own funds
QUESTION: As a follow-up question to Q&A 6106, what would be the appropriate risk weight to be used for the purposes of col 0030 ‚RWEAs: SA exposures‘ in the case of assets that are deducted from own funds?
ANSWER: Such assets should be risk-weighted at 1250% in cases where the CRR allows it; otherwise, the respective risk weights from the credit risk framework should be used, and a risk weight of 100% should be used when no risk weights are defined.