ID: 2022_6670 – The risk-weighted exposure amount of the CIU’s exposures in mandate based approach and ID: 2022_6663 – Reporting of deposits subject to a notice period for C 69.00 and C 70.00 purpose

EBA has published 2 new Q&As regarding issues relating to the CRR, full quote:
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2022_6670 – Credit risk – The risk-weighted exposure amount of the CIU’s exposures in mandate based approach
QUESTION: Could the institution use the information from the CIU management company about the notional amount of derivative positions of CIU to assess the value of those derivatives in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR? In particular, is the institution allowed to use the information from the CIU management company, that CIU doesn’t have derivatives in their portfolio and assess the value of those derivatives as zero in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR?
Background on the question: According to Article 132a(2) CRR, where the conditions set out in Article 132(3) CRR are met, institutions that do not have sufficient information about the individual underlying exposures of a collective investment undertaking (CIU) to use the look-through approach may calculate the riskweighted exposure amount of those exposures in accordance with the limits set in the CIU’s mandate and relevant law. To calculate risk-weighted assets using the MBA institution should take into account balance sheet exposures, off-balance-sheet items and the Counterparty Credit Risk associated with the fund’s derivative exposures. Assume, that the CIU’s mandate allow CIU to invest in derivatives only for hedging purposes. But the CIU’s mandate doesn’t specify the notional amount of derivatives position. The institution has information from the CIU management company about: current CIU’s notional amount of derivatives position or lack of derivatives in the CIU’s portfolio. Is the institution allowed to use such an information as base to calculate risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) of CRR?
Final answer: According to the last subparagraph Article 132(2) of Regulation (EU) 575/2013, as amended by Regulation (EU) 2019/876 (CRR), institutions may use a combination of the look-through approach (LTA), the mandate-based approach (MBA) and the fallback approach (FBA) to determine their minimum capital requirements for credit risk for their exposures in the form of units or shares in collective investment undertakings (CIU), provided that the relevant conditions for applying the LTA or the MBA are met. This also applies at the level of an individual underlying exposure of the CIU. The use of the LTA and the MBA are subject to the conditions set out in Article 132(3) and depend on if institutions have sufficient information about the individual underlying exposures of a CIU or not. Thus, an institution can apply a combination of the LTA for determining the exposure value of an underlying exposure of the CIU, where it has sufficient information provided by the CIU or the CIU management company – even if that information reveals that the CIU does not hold certain types of exposures – and the MBA for determining the maximum risk weight of that underlying exposure, where the necessary information can be drawn from the CIU’s mandate or relevant law, and vice versa.
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2022_6663 – Supervisory reporting – Liquidity (LCR, NSFR, AMM) – Reporting of deposits subject to a notice period for C 69.00 and C 70.00 purpose
QUESTION: Following Q&A Q&A 4574 (C 70.00) and Q&A 5794, some clarifications are needed concerning the amount to be reported in the C 69.00 for a deposit subject to a notice period. In our proposed answer, we use the terms of the Q&As and we specify the amounts we assume are expected for the 2 reports C 69.00 and C 70.00. Please, could you confirm if our interpretations are correct.
Background on the question: Following Q&As 4574 (C 70.00) and 5794, some clarifications are needed concerning the amount to be reported in the C 69.00 for a deposit subject to a notice period. In our proposed answer, we use the terms of the Q&As and we specify the amounts we assume are expected for the 2 reports C 69.00 and C 70.00. Please, could you confirm if our interpretations are correct.
Final answer: For the purpose of completing supervisory reporting template C 69.00 (Prices for Various Lengths of Funding) as laid down Annex XVIII of Regulation (EU) 2021/451 (‘ITS on Supervisory Reporting’) with respect to open-maturity deposits subject to a notice period, institutions should consider the following:
The following deposits are not expected to be reported in this template as they do not constitute new funding obtained during the reporting period and still present at the end of the reporting as referred to in paragraph 1.4.1 of Annex XIX of the ITS on Supervisory Reporting:
open-maturity deposits subject to a notice period that have been called before the reporting period and where the maturity date is after the reporting reference date;
open-maturity deposits subject to a notice period that have been called before the reporting period and where the maturity date is before the reporting reference date; and
open-maturity deposits subject to a notice period that have been called and that have matured during the reporting period.
The following deposits are expected to be reported and be considered under the maturity bucket corresponding to the duration of the notice period, also consistent with EBA Q&A 5794:
open-maturity deposits subject to a notice period that have not been called during the reporting period; and
open-maturity deposits subject to a notice period that have been called during the reporting period but where the maturity date is after the reporting reference date.
Open-maturity deposits subject to a notice period that have been called before the reporting period but where the counterparty did not withdraw the money during the reporting period so that the funding has effectively been rolled-over shall be considered to represent new funding consistent with paragraph 1.4.10 of Annex XIX of the ITS on Supervisory Reporting.
For the purpose of completing supervisory reporting template C 70.00 (Roll-over of Funding) as laid down Annex XVIII of the ITS on Supervisory Reporting with respect to open-maturity deposits subject to a notice period, institutions should consider the following:
Open-maturity deposits subject to a notice period that have been called before the reporting period and where the maturity date is after the reporting reference date shall not be reported in this template as such structure does not relate to funds maturing or new funding obtained over the month preceding the reporting date as stipulated in paragraph 1.5.1 of Annex XIX of the ITS on Supervisory Reporting.
Open maturity deposits subject to a notice period that have been called before the reporting period and where the maturity date is before the reporting reference date shall be reported once, namely under the column ‘Maturing’ under the parent category that reflects the duration of the notice period, consistent with EBA Q&A 4574.
Open maturity deposits subject to a notice period that have not been called during the reporting period should be reported, for each day, under both columns ‘Maturing’ and ‘Roll over’ under the parent category that reflects the duration of the notice period, following EBA Q&A 4574.
Open maturity deposits subject to a notice period that have been called during the reporting period but where the maturity date is after the reporting reference date shall not be reported in this template.
Open maturity deposits subject to a notice period that have been called and matured during the reporting period shall be reported as follows:
before the call, the deposits shall be reported, for each day, under both columns ‘Maturing’ and ‘Roll over’ under the parent category that reflects the duration of the notice period.
after the day when the deposits were called, the deposits will be reported only on the date where they mature and under the column ‘Maturing’ under the parent category that reflects the duration of the notice period.
Open-maturity deposits subject to a notice period that have been called before the reporting period but where the counterparty did not withdraw the money during the reporting period shall be reported under the column ‘Maturing’ under the parent category that reflects the duration of the notice period. Institutions should also report the following:
where, following the non-withdrawal, the previous notice period shall apply, the deposits shall be reported as ‘Roll over’ under the parent category reflecting the duration of the notice period.
where, following the non-withdrawal, the deposits are transformed into sight deposits, they shall be reported as such.