Treatment of Central Bank Overnight deposits in ALMM Template C71
Should central bank fixed term overnight deposits be included within ALMM Template C71 Row 120 "ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY"?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2019_5028|
Topic: Liquidity risk|
Date of submission: 05/12/2019
Treatment of Central Bank Overnight deposits in LCR
Should central bank fixed term overnight deposits be included within LCR Template C72 Row 50 "Withdrawable central bank reserves" or in Template C74 Row 150 "Monies due from central banks"?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2019_5027|
Topic: Liquidity risk|
Date of submission: 05/12/2019
Reporting the whole outstanding amount in the maturity buckets
What amount has to be reported as the whole outstanding amount in the maturity buckets in template C30.00?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2019_5026|
Topic: Large exposures|
Date of submission: 05/12/2019
How to certificate the use of the exemption ?
I work for a company that is a player in the fight against digital fraud. In order to limit the impact of Strong Customer Authentication, we will use Article 18 of the RTS.
In order to have a process that meets the requirements of the RTS, could you tell me if there is a certification or accreditation that would prove that my process is in compliance with the RTS?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication
ID: 2019_5025|
Topic: Strong customer authentication and common and secure communication (incl. access)|
Date of submission: 04/12/2019
Deposit guarantee scheme
Is the deposit of an non resident individual in a Cyprus branch of a Lebanese bank, guaranteed by the European deposit guarantee scheme.
COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2015/09 - Guidelines on payment commitments
ID: 2019_5024|
Topic: Third country branches|
Date of submission: 30/11/2019
The Severity of the validation rules v2852_m and v2853_m is not consistent
The validation rule v2852_m that compares the matching liability of all derivatives of Asset Encumbrance with FinRep {F 32.04.a, r020, c010} <= sum({F 01.02, c010, (r020, r062, r150)}) is classified as Severity="warning".
The rule v2853_m {F 32.04.a, r030, c010} <= sum({F 10.00, c020, (r300-320)}) + sum({F 11.01, c020, (r510-530)}) + sum({F 11.02, c007, (r240-260)}), which only compares over-the-counter derivatives and thus a subset of the validation rule v2852_m is classified as Severity="Error".
This seems to be inconsistent.
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2019_5023|
Topic: Supervisory reporting|
Date of submission: 28/11/2019
Interpretation of articles 36 (1) f and 42 of CRR regarding equity-settled share-based payments.
How should be treated shares that are bought and specifically affected to hedge equity-settled share-based payments (payments in equity instruments) ?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions
ID: 2019_5022|
Topic: Own funds|
Date of submission: 27/11/2019
F22.02 row 120: Calculating amount of the assets involved
F22.02: How should the „amount of assets involved in payment services” be calculated for payment services listed in Annex I of the Directive (EU) 2015/2366?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
ID: 2019_5021|
Topic: Supervisory reporting|
Date of submission: 27/11/2019
LCR treatment of settled-to-market derivatives
Should settlement payments (or receipts) made in the context of derivatives structured as "settled-to-market" (or "STM") be considered under Article 2(1) of Delegated Regulation (EU) 2017/208?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2017/208 - RTS for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions
ID: 2019_5020|
Topic: Liquidity risk|
Date of submission: 26/11/2019
Online foreign exchange
Does the business of foreign currency exchange-Forex require an authorisation as payment institution under PSD2, provided that: (a) the currency exchange takes place via online exchange platform; and (b) the client deposits certain base in cash or sends it by bank transfer to a bank account of the Forex company; and (c) the client receives the quote (exchanged) currency in an online client account in the platform from where the exchanged amount may be sent to a client's bank account or may be withdrawn in cash at the Forex company's offices?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5019|
Topic: Authorisation and registration|
Date of submission: 26/11/2019
LDP portfolio: Institution with country of residence in a “third country not EU equivalent”
The Institutions resident in a “third country not Equivalent” as for article 107 (3, 4) of CRR are classified as “Corporate” Exposure Classes for Regulatory and COREP purposes based on Art. 147 (7) of CRR.
This type of counterparties mainly receive a “Banks” Internal authorized Rating system, having indeed the activity and related balance sheet typical of the related applicable segmentation, regardless of Regulatory Corep Asset Class in which they are reported.
Therefore considering the aim of Supervisory Benchmarking Reporting, which focuses on drivers affecting the RWA volatility due to Internal Rating system among participants, jointly with the different information collected to build the portfolio clusters within Annex I in C.102/C.103 for Institution and Large Corporate/Corporate Portfolio (i.e , Sector of Counterparty, Counterparty, Type of exposure), UCG has considered as LDP “Institutions” this type of counterparts and not HDP/LDP Corporates, deeming more coherent the related portfolio required, in order to proper reflect the parameters and metrics time by time applied to this specific clients (i.e. PD, LGD, Rwa, ecc).
We would like to have confirmation of the proposed approach
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2019_5018|
Topic: Credit risk|
Date of submission: 26/11/2019
Institution with country of residence in a “third country not EU equivalent”
The Institutions resident in a “third country not Equivalent” as for article 107 (3, 4) of CRR are classified as “Corporate” Exposure Classes for Regulatory and COREP purposes based on Art. 147 (7) of CRR.
This type of counterparties mainly receive a “Banks” Internal authorized Rating system, having indeed the activity and related balance sheet typical of the related applicable segmentation, regardless of Regulatory Corep Asset Class in which they are reported.
Therefore considering the aim of Supervisory Benchmarking Reporting, which focuses on drivers affecting the RWA volatility due to Internal Rating system among participants, jointly with the different information collected to build the portfolio clusters within Annex I in C.102/C.103 for Institution and Large Corporate/Corporate Portfolio (i.e , Sector of Counterparty, Counterparty, Type of exposure), UCG has considered as LDP “Institutions” this type of counterparts and not HDP/LDP Corporates, deeming more coherent the related portfolio required, in order to proper reflect the parameters and metrics time by time applied to this specific clients (i.e. PD, LGD, Rwa, ecc).
We would like to have confirmation of the proposed approach
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2019_5017|
Topic: Credit risk|
Date of submission: 26/11/2019
Compliance of the securitisation of residual values through expectancy rights (“Anwartschaftsrechte”) with the STS criteria for non-ABCP securitisation and for ABCP securitisation
Could you please confirm our view specified under section “Background on the question”, sub-section “III. Conclusion” that a securitisation of residual values under German law through expectancy rights does qualify for STS in general in relation to non-ABCP securitisation and ABCP Securitisation (subject to compliance with all other STS criteria not covered in this document)?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5016|
Topic: Simple Transparent and Standardised securitisation|
Date of submission: 25/11/2019
Compliance of the securitisation of residual values through expectancy rights (“Anwartschaftsrechte”) with the STS criteria
Could you please confirm our view specified under section “Background on the question”, sub-section “III. Conclusion” that a securitisation of residual values under German law through expectancy rights does qualify for STS in general (subject to compliance with all other STS criteria not covered in this document)?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5015|
Topic: Simple Transparent and Standardised securitisation|
Date of submission: 25/11/2019
Compliance of the securitisation of residual values through expectancy rights (“Anwartschaftsrechte”) with the STS criteria
Could you please confirm our view specified under section “Background on the question”, sub-section “III. Conclusion” that a securitisation of residual values under German law through expectancy rights does qualify for STS in general (subject to compliance with all other STS criteria not covered in this document)?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5014|
Topic: Simple Transparent and Standardised securitisation|
Date of submission: 25/11/2019
C66: undrawn ECB open market operations backed with pre-positioned own issuances (retained CB or ABS) as “Undrawn committed facilities received”.
In the specific case of own issued (Retained Covered Bonds or ABS) pre-positioned assets in collateral pools with the Central Bank.
Can the amount of additional funding that could be obtained out of such pre-positioned assets be reported in the counterbalancing section of C66 template in the row 1000 as “Undrawn committed facilities received”?
In particular, undrawn part of ECB open market operations backed but those assets.
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2019_5013|
Topic: Supervisory reporting|
Date of submission: 25/11/2019
C66: undrawn ECB open market operations backed with pre-positioned own issuances (retained CB or ABS) as “Undrawn committed facilities received”.
In the specific case of own issued (Retained Covered Bonds or ABS) pre-positioned assets in collateral pools with the Central Bank.
Can the amount of additional funding that could be obtained out of such pre-positioned assets be reported in the counterbalancing section of C66 template in the row 1000 as “Undrawn committed facilities received”?
In particular, undrawn part of ECB open market operations backed but those assets.
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2019_5012|
Topic: Supervisory reporting|
Date of submission: 25/11/2019
Purchased credit derivative protection against a counterparty credit exposure
Does a purchased credit derivative protection against a counterparty credit exposure is out of the scope of own funds requirements for CVA risks in application of article 382 ?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5011|
Topic: Credit risk|
Date of submission: 25/11/2019
Explanation regarding the term "non-reducible"
Could you please explain what does mean the term "non-reducible" in the context of life insurance policy pledged to a lending institution ?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5010|
Topic: Credit risk|
Date of submission: 22/11/2019
Exhaustiveness of the conditions for waiving the individual MREL requirement to a subsidiary
Are the conditions of paragraph 4 (or 3, depending on the case) exhaustive?
In other terms, when assessing a request to waive an individual MREL requirement under article 45f, paragraph 4 (or 3, depending on the case) BRRD, is the resolution authority required to assess only the conditions set out in the relevant paragraph, or is it allowed to require, in its policies and procedures, the fulfilment of other, additional, conditions?
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_5009|
Topic: MREL|
Date of submission: 20/11/2019