Securities borrowing - early termination clause vs HQLA

In case securities borrowing contract has a clause for early termination how shall we consider the notification period vs cash outflow for the calculation of LCR? Ex: 2 days notification period for early termination of securities borrowing contract. a) Do you consider this clause as a restriction to liquidation? b) Unless the early termination clause is activated can we omit the securities borrowed from cash outflows within 30 days?

Application of volatility haircuts adjusted under Article 285(3) (extended margin period of risk)

Is the ‘use test’ set out in Article 225(3)(a)/(b) of the CRR intended to be sufficiently strong to invoke the use of haircuts adjusted under Art 285(3) in the non-model exposure calculation for a netting set containing a single SFT?

Deduction of direct holdings of CET 1 instruments of FSEs

Article 45 of CRR specifies for the direct deductions in Article 36(1)(h) and (j) that we may calculate a net-long in the same underlying if positions are in the same book and has a contractual maturity of 1 year. Q1. Could a ‘short’ Total Return Swap (TRS) that hedges the economic risk of a long underlying position be included in the net-long calculation, such that it off-sets the direct deduction? Q2. Does the settlement convention of a TRS have any impact on the regulatory treatment (either/cash or physical)? Total Return Swaps are already mentioned in the definitions of synthetic holdings in Article 15b- of the ‘EBA FINAL draft regulatory technical standards on own funds [Part 3]’, however it remains unclear if this paragraph only constitutes definitions of long positions or whether they can net out. Q3. Could EBA confirm that a short synthetic holding could be netted if it is the exact opposite position of a long synthetic holding?

C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc): arithmetic mean of monthly data vs. end of quarter data

According to Art. 429.2 CRR (old version), institutions shall calculate the leverage ratio as the simple arithmetic mean of the monthly leverage ratios over a quarter. This requirement is implemented in table C 45.00 in the current LR-reporting which is applicable as long as the new LR-reporting (currently under public consultation, applicable as of Q4/2015 at the earliest) is not yet in place. However, Art. 429 CRR has already been replaced by the delegated act on LR (already in place since 18 January 2015). Now, paragraph 2 of Art. 429 clearly states that “institutions shall calculate the leverage ratio at the reporting reference date” (i.e. only end-of-quarter leverage ratio). Against this background some of our reporting agents raise the question, whether they are still be obliged to submit the exposures on a monthly basis as of Q1/2015, even the new LR-templates are not yet in place.

Clarification on Leverage Ratio Delegated Act Reporting

Based on article 2, the COMMISION DELEGATED REGULATION (EU) 2015/62 enters into force on the day following that of its pubblication in the "Official Journal of the European Union". The delegated act was pubblished on January 17th, 2015. We are wondering if the reporting as of March 31th, 2015 should be based on delegated act rules (2015/62) using the actual Data Point Model (ANNEX X-XI COMMISION REGULATION (EU) 2014/680) or should be based on the actual regulation 575/2013 article 429?

Reduction of CET1 by absorbing losses which are already accounted as loss brought forward

Is the prior permission of the supervisor required when an institution reduces its CET1 instruments by absorbing losses which were already accounted for as retained losses (i.e. loss brought forward)?

Eligible hedge of Credit Valuation Adjustment (CVA)

Please provide additional guidance on the scope of "other equivalent hedging instruments referencing the counterparty directly"

F18 & F19 Commercial Real Estate

Should we assume that the row "Commercial real estate" contains the same information as "Commercial immovable property", within F20.04? That is to say, does "Commercial real estate" request loans collateralized by commercial immovable property? Thank you very much.

FINREP – reporting of negative interest

How to report the remuneration of assets with a negative interest rate?