List of Q&As

HANDLING OF CASH COLLATERAL DEPOSIT HELD WITH OUR BANK

Bank A is solo reporter and is a small subsidiary bank owned by foreign Government of (Third) country X (51%) and Bank A (49%). In the General ledger it has a loan to a Public Sector Enterprise incorporated in the (Third) country X. This loan is backed by cash collateral provided to Bank A by the Central Bank of the (Third) Country X which covers the outstanding balance (principal) on the loan fully - only the interest remains uncovered.How shall this loan and the linked deposit be reported for liquidity purposes in the LCR templates (C 52.00 / C 53.00)?Operationally, the deposit is expected not to generate any additional liquidity buffer requirement as the deposit is expected to be returned only when the loan is fully paid, thus covering the expected outflows by the inflows.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1624| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 17/11/2014

Reporting of "Value according to Article 418 of CRR" of liquid assets

How should the "Value according to Article 418 of CRR" be calculated for assets which do/do not fulfill the requirements of Article 416 and/or Article 417 CRR (C 51.00 Reporting IDs 2 - 4, C 52.00 Reporting IDs 1.2.2.11 - 1.2.2.13, C 53.00 Reporting IDs 1.6.11 - 1.6.13 - without IDs 1.6.13.13 - 1.6.13.13.3)

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_1752| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 22/01/2015

Validation of LCR Submission

Is validation rule v1512_m correct?v1512 m - C52.00, Row 1140 - 1210, Additional Outflows: As it is not explicitly clear from the rules or guidance as to how to treat cash assets (e.g. cash held at a bank) in this particular section, it has been interpreted that the columns to be populated are as follows: - {c030} Market Value: Represents the market value of non-cash assets (i.e. excludes cash balances) - {c040} Value according to Article 418: Represents (i) the market value of non-cash assets after the deduction of an appropriate haircut as per Article 418, plus (ii) the full value of cash balances, in line with Article 416(1)(a). - {c020} Outflow: Outflow calculated based on cash and non-cash assets as prescribed by Article 423. Based on the interpretation above, as cash balances are excluded from {c030} Market Value, validation v1512_m fails.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1473| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 11/09/2014

Definition of "location"

Does the definition of "locations" pertains to the location of the reporting institution itself or to location of its customers, eg. debtors?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1528| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 09/10/2014

Reporting of retail deposits that qualify for the treatment set out in Article 421 (5a) CRR

Is it possible to report retail deposits defined in Article 421 (5a) CRR in the same way as deposits under Article 421 (1a,2) CRR for the Net Stable Funding Ratio purposes?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_1894| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 13/03/2015

Definition of undrawn committed credit facilities to report

Can you please clarify, why only those undrawn committed credit facilities shall be reported in template C60 (row 1320), which have a maturity <= 3months? 

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_1994| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 06/05/2015

Reporting the central administrative services for collective investment under the item 100 of the template F 22.02 - Assets involved in the services provided

Taking into consideration that these services may not always be related to a certain asset (e.g. services of compiling the accounting documents, services of preparing the financial reports), what value should be reported under the item 100 of the template F 22.02?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1533| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 13/10/2014

Further clarification required on the inclusion of transactions between trade and settlement date

We would welcome further clarification on the reporting of transactions between trade and settlement dates (unsettled trades). Q&A 2013_378 implies that unsettled trades should be treated on a gross basis. However, it does make reference to underlying HQLA or non HQLA, Annex XXV (Part 2, Outflows and Part 3, Inflows) of the EBA-ITS-2015-04 on reporting for the LCR, provide specific remarks regarding forward starting transactions. In particular, the ITS provides guidance for inflows/outflows stemming from forward starting repos, reverse repos and collateral swaps, whereby, the inflow/outflow to be received/delivered shall be reported net of the market value of the asset to be delivered/received after the application of the related LCR haircut. This guidance is included in Commission Implementing Regulation (EU 2016/322 of 10 February 2016. However, there is no guidance on the treatment of unsettled outright purchases/sales of liquid assets.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2016_2817| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 05/07/2016

Reporting the customer resources distributed but not managed under the item 130 of the template F 22.02 - Assets involved in the services provided

a) What value should be reported under the item 130 of the template F 22.02: the value of the resources distributed in the reporting period or the balance of such resources at the reporting reference date? b) Should the reported value be the gross amount invested by the clients (including the credit institution distribution fee) or the net amount (less the distribution fee)? c) Should the information related to money transfer services be also reported under the item 130 of the template F 22.02?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1535| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 13/10/2014

NSFR - Definition of Other Equity Instruments

How are Other Equity Instruments defined? Are Investment Funds (OGAW and AIF) considered as Other Equity and therefore reported in lines 720 to 770 of the NSFR? If not, in which line are Investment funds to be reported if they dont qualify as liquid assets.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2016_2760| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 01/06/2016

Treatment of integer values in the 'days' columns

Reference is made to the AMM templates, particularly to template C68.00 weighted average maturity (columns 040 and 050); C69.00 (spread columns) and C70.00 average term (columns 300 -330). As you are aware, in line with the current instructions on these templates, the figures reported in these columns should be integers and do not carry any decimals. In this regard, a figure of, say, 0.6 days should be reported as 1. However, we would like to have your views regarding the reporting of positions in the case of figures less than 0.5 days. We are not sure whether these should be reported as 0 (to indicate that there is an amount of less than half a day), or else leave the cell blank as per current practice of monetary values.

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2016_2822| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 08/07/2016

Reporting the unit – linked insurance products (insurance products with investment component) under the items related to the customer resources distributed but not managed in the template F 22.02 - Assets involved in the services provided

a) Where should be reported the unit – linked insurance products: under the item 140 “Collective investment” or under the item 150 “Insurance products” of the template F 22.02? b) If reported under the item 140 “Collective investment”, should the reported value be the entire amount subscribed by the clients or only the amount further invested in an investment fund (i.e. less the insurance component)?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2014_1536| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 13/10/2014

Treatment of collateral swaps with underlying collateral pools/ baskets

In case of collateral swaps transactions involving exchange of collateral baskets where no direct link can be established between securities in underlying pools, how should the securities be allocated to the reporting rows in template C75 when reporting in main currency and in significant currencies?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3313| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 29/05/2017

Correct time bucket for unsecured master agreements for derivative transactions, secured master agreements for derivative transactions and cash collateral posted/received under a master agreement

According to the instructions ANNEX 13 of "Regulation (EU) No 680/2014 – ITS on supervisory reporting of institutions" Institutions shall calculate derivative assets and liabilities according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. “Required funding” and template 1.2 “Stable funding” accordingly. 1.) Regarding unsecured master agreements (i.e. no collateral posted/received) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 2.) Regarding secured master agreements (i.e. collateral posted/received and daily margining) for derivative transactions: in what time bucket should the amount after netting (according to regulatory netting rules) be recorded? 3.) Regarding cash collateral which is posted under a derivative master agreement: in what time bucket (column) and row (i.e. duration of encumbrance) should the cash collateral be recorded?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_1479| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 14/09/2014

New, Matured, Roll Over classification

How should institutions report the following: Counterparty A has one deposit maturing at the beginning of day 1 for the amount of 200 with an original maturity of 21 days. Counterparty A has booked three replacement trades totalling 225 (100 - 21 days, 50 - 7 days & 75 - 14 days).

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3359| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 19/06/2017

Definition of the elements to be included in each type of Assets

We would like more precisions regarding the elements composing the following categories of Assets (template F22.02 of Annex III): - row 010 Asset management - row 060 Custody Assets - row 100 Central Administrative services In other terms, if, for these elements and for instance Collective Investments, we do take into account the amounts of deposits and/or cash, or only the Net (book) value of assets ?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2017_3334| Topic: Supervisory reporting - FINREP (incl. FB&NPE)| Date of submission: 08/06/2017

Reporting of credit quality step where no rating is present

If no rating is present for counterparties reported in C71, step 'non-rated' or "CQS other" should be reported?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3399| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 18/07/2017

Reporting of forward starting transactions

Annex XXV Reporting on Liquidity Coverage Ratio defines remarks regarding settlement and forward starting transactions. The only forward starting transactions taken into consideration are forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon and that are entered into subsequent before the reporting date. The Q&A 2014_784 published in 2014 seemed to identify a wider definition of relevant forward transactions for the LCR than the Annex XXV does some time after.  Should we limit our definition to Annex XXV one, or other forward start transactions are relevant for LCR if these two conditions are valid: •         are contractually fixed, but not yet settled at reporting date; and •            imply an in- and/or outflow of cash and/or liquid assets in the next 30 days? In this case, how should we report forward starting purchase or own issuance? If contractually fixed, forward starting transactions generating inflows or outflows are treated symmetrically for LCR or Article 32 par 7 introduces asymmetry?

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: 2018_3744| Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)| Date of submission: 02/03/2018

Usage of SMS for dynamic linking

Please clarify whether payment information and an authentication code sent via SMS to a mobile phone complies with the requirements for Dynamic Linking as defined in Article 5 of the RTS, and in particular paragraph 5.2.

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4414| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 10/12/2018

Exemption of secure corporate payment processes and protocols

Is the exemption of applying strong customer authentication, in respect of legal persons initiating electronic payment transactions through the use of dedicated payment processes or protocols that are only made available to payers who are not consumers applicable to both payment initiation and account information services? Or, is it solely applicable to payment initiation service?

Legal act: Directive 2015/2366/EU (PSD2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/389 - RTS on strong customer authentication and secure communication

ID: 2018_4383| Topic: Strong customer authentication and common and secure communication (incl. access)| Date of submission: 21/11/2018