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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"?

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?

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.

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?

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online client account in the platform from where the exchanged amount may be sent to a client's bank account or may be withdrawn in cash at the Forex company's offices?

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

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)?

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.

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 ?