EBA欧洲银行-Technical-Q26As-EU-wide-Transparency-Exercise_9页_275kb

2013 EU-wide Transparency Exercise Summary

Core Content Overview

The 2013 EU-wide transparency exercise Q&A document provides guidance on the reporting requirements for financial institutions under the Capital Requirements Regulation (CRR) and the Capital Requirements Directive (CRD). The EBA emphasizes that the content is for general information only and not binding. It outlines how data should be structured, reported, and interpreted across various templates, particularly for Capital, Credit Risk, Market Risk, and Sovereign Debt Exposures.

Main Topics and Key Information

1. Specialized Lending / Slotting Approach

• Question 1: Exposures under the Supervisory Slotting Approach should be reported in the STD (Standardized) category, not in IRB-F or IRB-A, as per COREP criteria.
• Question 2: The mention of "Specialized Lending" in the guidelines was an error. These exposures should be included in STD.
• Question 15: Exposures and RWA should be reported using CRD III rules, even though the exercise is aligned with the upcoming COREP reporting framework.

2. Capital Reporting

• Question 4: DTAs and CET1 holdings that are deducted from own funds should not be adjusted to appear as if they were included in RWA.
• Question 6: Preferred shares under government support measures should be reported in line E of the Capital template.
• Question 7 & 21: The CRR / CRDIV memo items (rows 18–22) should be reported under CRR rules without considering any thresholds or transitional arrangements.
• Question 13 & 31: The "Other existing government support measures" cell (E13) is blocked, and the correct reporting should follow the updated guidelines.
• Question 24 & 35: Rows 6–17 of the Capital template must be filled with figures computed under CRD3 rules.
• Question 28 & 39: The full amount of CET1 holdings (including both significant and non-significant holdings) should be reported, regardless of the threshold.
• Question 26: If a National Authority requires stricter definitions, the transparency exercise still mandates the use of CRD3 rules.

3. Market Risk Reporting

• Question 30: A bug in the validation rules has been fixed. Diversification benefits should be handled accordingly.
• Question 34: Unsettled bond deals with settlement dates over 3 days should be reported as indirect sovereign exposures if they are off-balance sheet.
• Question 37: Provisions related to Greece should not be reported in the Sovereign Debt template; they should be reported in the Credit Risk template, line 4.
• Question 41 & 42: For securitization exposures in the trading book, banks should report the exposure value that drives the RWA calculation. This applies to both general and specific risks.
• Question 43: For Internal Models, the RWA should include VaR, SvAR, IRC, and APR for TDI and Equities, with a breakdown of general vs. specific risk.
• Question 45 & 46: Banks should report absolute values (risk exposure amount) for market risk, not net values. Instruments should be included according to COREP rules.
• Question 47: Instruments in the trading book should be included in the market risk template. Hedge accounting instruments are also included.
• Question 48 & 49: FX swaps and CIRS should be reported under Foreign Exchange risk. FX products should include all positions in foreign currency and gold.
• Question 54: Country-specific add-ons for market risk RWA should not be reported.

4. Sovereign Debt Exposures

• Question 17: Exposures to supranational organizations or confederations of states are outside the scope of the Sovereign Debt template.
• Question 18: Held-to-maturity positions should be reported under Net Direct Positions.
• Question 19: Held-to-maturity positions should be reported in amortized cost as per financial statements.
• Question 23: Exposures to China should be reported in the "Others" category, not in "Other advanced economies non EEA".
• Question 36: Off-balance sheet exposures should be reported as indirect sovereign exposures if they meet the definition in the guidelines.

Summary of Key Instructions

• Consolidated Reporting: Data should be submitted in a consolidated basis.
• Empty Cells: Cells that describe activities not undertaken by the institution should be left empty, not filled with 0.
• Template Consistency: Reports must align with the current regulation (CRD III), and any changes under CRR should be applied retrospectively if necessary.
• No Adjustments for Deductions: Exposures deducted from own funds (e.g., securitizations) should not be adjusted to appear as if they were included in RWA.
• No Threshold Application: For DTA and CET1 holdings, no thresholds or transitional arrangements should be applied.
• Correct Classification: Instruments like FX swaps and CIRS should be classified under Foreign Exchange risk. Securitizations in the trading book should be reported using the exposure value that drives the RWA calculation.
• Provisions and Write-offs: Provisions related to Greece should be reported in the Credit Risk template, not in the Sovereign Debt template.

Final Notes

• The EBA has updated the templates on 13 and 15 November 2013 to address several bugs and ambiguities.
• All data should be reported in absolute values and residual maturity.
• Institutions are advised to follow the COREP criteria and CRR rules for consistency and accuracy.
• No national discretions should be applied, and full information should be provided for all relevant items.