Row 1100: In the Implementing Regulation (EU) 2016/322, secured transactions with some counterparties (i.e. central government, Public Sector Entities<=RW20%, Multilateral Development Banks) and collateralized by non-liquid assets were reported with a 25% outflow in a dedicated row.
We welcome the European Commission proposal to amend Delegated Regulation 2015/61 with:
The extension of such treatment to collateralized transactions with liquid assets so as to cap the outflow to 25% for secured lending and capital market transactions (as laid down in Article 28(3) of the draft Delegated Regulation amending Delegated Regulation (EU) 2015/63);
The extension of the aforementioned treatment to collateral swaps (as laid down in Article 28(4) of the draft Delegated Regulation amending Delegated Regulation (EU) 2015/61).
However, the corresponding rows are missing in the consultation template (i.e. COREP C 73.00 and C 75.00). We ask for a revision of these templates to be consistent with the European Commission proposal.
Rows 930 to 1010: As per the LCR amending Act, secured funding from central banks will keep triggering 0% outflow rate but only if the central bank is the domestic central bank : we suggest that the reporting be modified accordingly, rather than having to calculate an average weight.
Rows 945 to 1095 - all “of which collateral extended meets operational requirements”: Could you please detail (by providing examples in the instructions) how exactly those rows will be used in the “buffer adjustment” formula in C 76.00, and how both legs of the transaction will be treated for the buffer adjustment needs (for both scenarios where the criteria is met, and not met). Could you please take in account different type of operational criteria in your examples?
Annex 2, Part 2 Outflows, General remarks, Paragraph 10: The specific identification requirements for transactions made against a collateral pool are operationally and technically very demanding. Indeed, starting from the least liquid assets will raise operational and reporting constraints and will need a comprehensive assessment by competent authorities.
Rows 271 to 335 - all “of which collateral received meets operational requirements”: These rows do not seem necessary. For L1/L2A/L2B category: as the inflow rate given in each “principal” row corresponds to the haircut (respectively 0%,7%, etc.) , it means that it is already expected that such assets are buffer eligible, therefore they verify the operational criteria (and it is not necessary to report them in a dedicated “off which” row).
Rows 945, 955, 965, 975, 985, 995 and 1005: Same remark than on C73.00/C74.00 relative to the split
- Central Banks vs domestic Central Banks
- Eligible counterparties
Is the « liquidity value » still necessary has we understand that Inflows/Outflows will be calculated by applying a haircut differential to the MTM value of either lent or borrowed leg?
Column 010: In order to ensure a consistent application of the prudential formulas, the FBF asks for the inclusion in column 010 “Value / Percentage” of the template C 76.00 of all calculation formulas defined in “Part 5: Calculations” of Annex 2 of the Commission Implementing Regulation amending Implementing Regulation (EU) N°680/2014.
Column “Item”: This column defines two types of entities “Parent” and “Subsidiary”. We propose to revise the list of items in order to reflect the various levels of consolidation of banking groups with the introduction of 3 types of entities: “consolidated parent”, “sub-consolidated parent” and “entity”. This column should be completed by credit institutions.