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Operational requirements for holdings of liquid assets

Can banknotes held in locations other than branches be classified as ‘coins and banknotes’ under Delegated Regulation 2015/61 and thus be eligible to be classed as Level 1 liquid assets if the operational requirements per Article 8 can be satisfied?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4891| Topic: Liquidity risk| Date of submission: 30/08/2019

LCR - Treatment of securities borrowing-transactions for non-refinancing-purposes

How should securities borrowed which were not borrowed for refinancing-purposes be recognised in the LCR?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4837| Topic: Liquidity risk| Date of submission: 19/07/2019

Outflows from other retail deposits

Would a retail deposit account, which can be serviced by telephony as well as by internet, not trigger the “internet only” risk factor for high outflow classification?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4890| Topic: Liquidity risk| Date of submission: 29/08/2019

Treatment of securitisation Class A notes guaranteed by a Member State

Pursuant to specific national decree, an originator of NPLs under a securitisation transaction complying with certain requirements may request the government to guarantee the payments of interest and principal on the senior tranche of asset-backed securities. Where senior noteholders of a securitisation benefit from this unconditional, irrevocable and first-demand guarantee from a Member State, what is the expected treatment in the LCR for securitisation notes with respect to Articles 10 and 13? Do we have to consider that article 13 prevails to any other article when qualifying the eligibility for a securitisation?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4786| Topic: Liquidity risk| Date of submission: 18/06/2019

Net cash out-/inflow from cash settled futures (“ICE Brent Crude futures contract”)

How to calculate the expected liquidity net cash outflow/inflow from a future contract with daily variation margin and an expected final cash settlement?

Legal act: Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2019_4705| Topic: Liquidity risk| Date of submission: 13/05/2019

HQLA treatment of euro-denominated assets held in 3rd Countries

In the LCR DA, and subject to compliance with the caps in Article 17, can all Euro denominated net liquidity outflows of a credit institution, irrespective of where they arise, be covered by euro denominated Level 1 HQLA envisaged in Article 10(1)(d) and by Level 2b HQLA envisaged in Article 12(1)(c)(ii), in the latter case if not denominated in euro nor in the currency of the credit institution’s home Member State?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_4285| Topic: Liquidity risk| Date of submission: 23/09/2018

HQLA and amortised cost classification

If a bank holds HQLAs in the amortised cost portfolio and is able to monetise these assets can the securities, e.g. government bonds, in the amortised cost portfolio also be treated as HQLA in LCR calculation?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_3955| Topic: Liquidity risk| Date of submission: 04/06/2018

On demand secured lending of Level 1 assets

Can Level 1 assets that are used for on demand secured lending transactions be considered as liquid assets for the Liquidity buffer?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_3730| Topic: Liquidity risk| Date of submission: 22/02/2018

Reporting of assets sold short as a additional outflow for LCR under Delegated Act

For the purposes of reporting additional outflow for short positions in the LCR (row ID 1.1.4.6.2) on the C73 return, are firms required to report both unsettled and settled uncovered sold short positions?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2016_2585| Topic: Liquidity risk| Date of submission: 21/01/2016

Treatment of government bonds of a third country as Level 1 assets when the credit quality step 1 is assigned according to article 114(7) of Regulation (EU) 575/2013

Are the provisions of Article 114(7) of Regulation (EU) 575/2013 (use of the lower RW applied by a third country on exposures to the central government in case of equivalent supervisory and regulatory arrangements) applicable also to the LCR framework?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_4148| Topic: Liquidity risk| Date of submission: 19/07/2018

Treatment of Value Added Tax (VAT) accounts opened for collection and payment of VAT

Should the Value Added Tax accounts be treated as operational deposits and should they receive the treatment mentioned at Article 27(1)(c) from Delegated Regulation (EU) 2015/61?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_3726| Topic: Liquidity risk| Date of submission: 21/02/2018

Treatment of a securities lending and borrowing service with regard to the LCR / Traitement d’un service de prêt et d’emprunt de titres en ce qui concerne le ratio de couverture des besoins de liquidité

What is the treatment of a securities lending and borrowing service with regard to the LCR? *** FR: Quel est le traitement accordé au ratio de couverture des besoins de liquidité pour un service de prêt et d’emprunt de titres?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2015_1962| Topic: Liquidity risk| Date of submission: 22/04/2015

Reporting of Assets received as collateral in GC pooling transactions

When a financial instrument is received as collateral in a GC pooling transactions which allows participants to refinance the collateral through transactions with Central Bank or with other transactions in the same market, is the above-mentioned financial instrument eligible for the liquidity buffer under Article 7 LCR DA conditions?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_3741| Topic: Liquidity risk| Date of submission: 27/02/2018

Reporting of cash flows related to collateral management transactions in which collateral to be delivered/received is defined using the participants netting exposure

If a credit institution has two repo/reverse repo trades of the same size, same basket, different positions and different maturities (one within 30 days and the latter maturing after 30 days horizon) with a CCP which requires for collateral exchange on a net basis, how should these operations be represented in LCR?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2018_3745| Topic: Liquidity risk| Date of submission: 02/03/2018

Wholesale Deposits regarding Deposit Insurance Scheme

How can the meaning of “liabilities” in context of Article 28(1) Delegated Regulation (EU) 2015/61 (DR) be interpreted? Does it refer to the total deposit amount from relevant clients which can be multiplied with 20% up to the deposit guarantee scheme limit (d.i.s.l.) and the rest with 40% or shall a deposit with an amount exceeding the d.i.s.l be multiplied as a whole with 40% (i.e. no dividing in 20%- and 40%-Run-Off)?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2017_3357| Topic: Liquidity risk| Date of submission: 19/06/2017

Scope of application of the exemption from the cap on inflows in the Liquidity Coverage Ratio

Is it legally possible for a liquidity sub-group (as per Article 8 CRR) to apply for an increase in the cap on inflows from 75% to 90% (in accordance with Article 33(4) and Article 33(5) of LCR Commission Delegated Regulation (EU) 2015/61) only for the cash inflows generated by one institution in the liquidity sub-group?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2017_3598| Topic: Liquidity risk| Date of submission: 21/11/2017

Definition of retail deposits with higher outflow rate

What is the definition of the condition for retail deposit with higher outflow rate: "the rate significantly exceeds the average rate for similar retail products"? Bucketing our retail deposits we have a two-fold problem with defining when deposit rate on our product significantly exceeds or does not exceed the average rate for similar retail product.

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2015_2303| Topic: Liquidity risk| Date of submission: 17/09/2015

Deposits with higher outflows

Does the Article 7 of Part 2 (Title II) of the EBA Guidelines on retail deposits subject to different outflows for the purposes of liquidity reporting (risk factor "maturing fixed-term or notice period") also relate to the savings accounts and transactional sight accounts with no legal maturity or is this article targeting mainly term deposits and other term products with contractual notice period? If yes, does it mean that the part of deposits under Deposit Guarantee Scheme (Article 421(1) of Regulation (EU) No. 575/2013) from clients having more than 100.000 EUR is also subject to higher outflows of more than 10%, as the deposit has 2 risk factors (high value deposit and deposit with notice period?

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

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

ID: 2014_912| Topic: Liquidity risk| Date of submission: 06/03/2014

Treatment of cash provided as a collateral under issued guarantees and letters of credit

Should cash provided as a collateral under issued guarantees and letters of credit be included for the calculation of the total expected cash outflows under the LCR according to CRR Articles 421(1)a, 421(5)(a) or 422(2)(a)? If included, then should this collateral be treated as retail term deposits (term is being considered as the expiry of the issued L/C)? What outflow rate should be applied for such deposits?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2016_2828| Topic: Liquidity risk| Date of submission: 13/07/2016

Deposits received and deposits posted as margin collateral for derivative exposures

Under Article 21 of Commission Delegated Regulation (EU) 2015/61:   1. Is the treatment of cash collateral received and cash collateral posted symmetrical in C73.00 and C74.00 in line with the answer given in Single Rulebook Q&A 2014_1089, which specifically referred to LCR C52.00 and C53.00?   2. Does the phrase “…collateral to be received” mean collateral already received at the reporting date?

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

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

ID: 2017_3163| Topic: Liquidity risk| Date of submission: 15/02/2017