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CCF used for commitment performance bond
Which CCF must be applied to the undrawn/unissued amount if there is a commitment to a performance bond facility?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6327 |
Topic: Credit risk |
Date of submission: 23/12/2021 |
Date of publication: 30/09/2022
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Other retail deposits subject to higher outflow rates: treatment of joint accounts
According to Article 25(2) (a) of Delegated Act 2015/61 “Retail deposits with total deposits balance, including all the client’s deposit accounts at that credit institution or group, exceeding € 500.000” are subject to higher outflows. How should this threshold be tested in case of joint accounts?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2020_5322 |
Topic: Liquidity risk |
Date of submission: 18/06/2020 |
Date of publication: 30/09/2022
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LCR treatment of open maturity reverse repos which can be terminated at any point in time
What is the LCR treatment of reverse repos with open maturity which can be terminated at any point in time? Will they be considered as regular secured lending transactions pursuant to Article 32(3)(b) of Delegated Regulation (EU) 2015/61? Or are they to be excluded since any inflows arising from the termination of those transactions are contingent?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2021_6163 |
Topic: Liquidity risk |
Date of submission: 03/09/2021 |
Date of publication: 30/09/2022
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Available stable funding factor (ASF) applicable to current tax liabilities in the NSFR
What should be the available stable funding factor applicable to current tax liabilities?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6086 |
Topic: Liquidity risk |
Date of submission: 13/07/2021 |
Date of publication: 30/09/2022
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ASF applicable to payables (accruals) in the NSFR
What should be the available stable funding factor applicable to payables (accruals)?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6085 |
Topic: Liquidity risk |
Date of submission: 13/07/2021 |
Date of publication: 30/09/2022
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Asset encumbrance in the NSFR
How to determine the residual maturity of the encumbrance in a cover pool if it derives from covered bonds with different maturity?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6055 |
Topic: Liquidity risk |
Date of submission: 24/06/2021 |
Date of publication: 30/09/2022
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Scope of Article 208 CRR
Does Article 208(3)(a) CRR require institutions to monitor property values of all commercial properties on a yearly basis, regardless of whether they can qualify as eligible collateral for credit risk mitigation?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5470 |
Topic: Credit risk |
Date of submission: 27/08/2020 |
Date of publication: 30/09/2022
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Outflows from deposits in insurance wrappers
Can cash deposits in insurance wrappers be treated like deposits by Personal Investment Companies (PIC) when computing outflows in the LCR?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2020_5461 |
Topic: Liquidity risk |
Date of submission: 21/08/2020 |
Date of publication: 30/09/2022
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Assets requiring stable funding
Where a national competent authority has instructed an institution to hold a pillar 2 liquidity add-on, should the pillar add-on amount be treated as an encumbered asset for the purpose of NSFR reporting?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5272 |
Topic: Liquidity risk |
Date of submission: 21/05/2020 |
Date of publication: 30/09/2022
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Multilateral Development Banks (MDBs) not listed in Article 117(2) CRR
Should the multilateral development banks (MDB) which are not included in Article 117(2) CRR be treated as institution?
If the head office of that MDB is in a non-equivalent jurisdiction Article 107(3), should the exposure to MDB be treated as corporate?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5164 |
Topic: Credit risk |
Date of submission: 05/03/2020 |
Date of publication: 30/09/2022
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Recognition of collateral substitution rights in secured funding transactions
Could credit institutions recognise substitution rights on secured funding trades and include any collateral that can be substituted as an unencumbered asset on the reporting date?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2020_5148 |
Topic: Liquidity risk |
Date of submission: 03/03/2020 |
Date of publication: 30/09/2022
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Treatment of FX transactions settled via central settlement counterparties i.e. CLS (The Continuous Linked Settlement foreign exchange settlement system)
Can CLS (as a central settlement counterparty) be treated as a counterparty when netting FX transactions according to Article 21 of the Delegated Regulation (EU) 2015/61?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
ID: 2020_5134 |
Topic: Liquidity risk |
Date of submission: 17/02/2020 |
Date of publication: 30/09/2022
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Guarantee for the purpose of the waiver from internal MREL requirements
What amount of the “commitments” referred to in Articles 45f(3) and 45f(4), point (d), BRRD should be covered by the guarantee of the resolution entity or the parent undertaking?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5644 |
Topic: MREL |
Date of submission: 07/12/2020 |
Date of publication: 29/07/2022
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Characteristics of the guarantee for the purposes of iMREL waiver
In Article 45f(3) of Directive 2014/59/EU (BRRD), do the "commitments " mentioned refer only to commitments of the subsidiary entered into with external creditors or do they also include intra-group commitments other than those entered into with the guarantor?
Please also specify whether the shareholders should be excluded. Is there any other meaning to this term in the resolution framework? Is there a limit for the amount of the guarantee having in mind that the amount of the MREL target for which a waiver is requested would be limited. Is there a minimum duration for the term of the guarantee?
Legal act: Directive 2014/59/EU (BRRD)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5581 |
Topic: MREL |
Date of submission: 23/10/2020 |
Date of publication: 29/07/2022
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CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”
How should the vega intrabucket correlation for the FX risk class be computed giving that the delta intra bucket correlation ρ_kl^ is not defined?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5469 |
Topic: Market risk |
Date of submission: 26/08/2020 |
Date of publication: 15/07/2022
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Deduction of pledged own shares from Common Equity Tier 1 items
Should shares pledged to the issuing credit institution as collateral to secure a loan granted by the same credit institution to a customer be deducted from Common Equity Tier 1 items where, in case of default of the customer, the credit institution has the option to either appropriate the collateral or force its sale, bearing in mind that this does not affect the existence of a relationship between the value of the loan and the value of the shares?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2020_5128 |
Topic: Own funds |
Date of submission: 17/02/2020 |
Date of publication: 15/07/2022
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Applicability of the SME supporting factor for financing private purposes
Where a natural person’s business activities meet the criteria for an SME, does the SME supporting factor according to Article 501 CRR also apply to exposures from financing private investments of this natural person not directly related to that business?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6301 |
Topic: Credit risk |
Date of submission: 02/12/2021 |
Date of publication: 15/07/2022
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The size of all non-trading book positions that are subject to foreign exchange risk
According to article 325a, paragrhap 2, is the size of all non-trading book positions that are subject to foreign exchange risk equal to the higher between the total of the net short positions and the total of the net long positions computed according article 352 or is it the sum of absolute value of total of the net short positions and the total of the net long positions?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6269 |
Topic: Market risk |
Date of submission: 09/11/2021 |
Date of publication: 15/07/2022
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Implementation of Article 72b(2)(j) of Regulation (EU) No 575/2013 (“CRR”) and whether the contractual provisions governing liabilities are required to refer to the permission regime in order for the liabilities to qualify as eligible liabilities instruments
In question 2013_544, the EBA stated that for Tier 2 instruments, Article 63(j) CRR, in conjunction with Article 77 of the CRR, stipulates that an institution must not effect the call, redemption, repayment or repurchase prior to the date of an instrument's contractual maturity without the prior permission of the competent authority, and that such instruments should therefore contain an explicit reference to these regulatory conditions in their terms.
Article 72b(2)(j) CRR states that liabilities may only be called, redeemed, repaid or repurchased early where the conditions set out in Articles 77 and 78a are met. As there is no explicit positive obligation in the legislation to include a reference to the need for resolution authority approval, should eligible liabilities instruments contain an explicit reference to these regulatory conditions in their terms?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6203 |
Topic: Own funds |
Date of submission: 10/09/2021 |
Date of publication: 15/07/2022
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Inclusion of undertakings other than institutions, financial institutions or ancillary undertakings in prudential consolidation
Are undertakings other than institutions, financial institutions or ancillary services undertakings unconditionally included in prudential consolidation by effect of Article 18(7) of Regulation (EU) No 575/2013 (CRR) and its requirement to apply the equity method, without being subject to conditions as is the case for full or proportional consolidation according to Article 18(8), or to the thresholds laid down in Article 19(1)?
Legal act: Regulation (EU) No 575/2013 (CRR)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2021_6189 |
Topic: Other issues |
Date of submission: 07/09/2021 |
Date of publication: 15/07/2022
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