EBA · 2023_6812 Rejected question

Impacts on Consolidated Group LCR Deposit Categorisation where a Third Country subsidiary utilises a different threshold

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
411, para. 2
Topic
Liquidity risk
Submitted by
Credit institution
Submitted
2023-05-25
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Question

As per Article 3 of the LCR Delegated Act, SME deposits are classified as Retail if their balance is <=€1m threshold. Additionally, Article 25 paragraph 2 defines a €500k threshold criteria for Other Retail Deposits. The national law within the UK has specified these thresholds as £880k and £440k respectively.  We would like to confirm if within the consolidated Group return, the outflow weighting should be applied based on the third country subsidiary regulatory definition or applied based on the LCR Delegated Act definition when converted into the Group’s reporting currency?

Background

Within the consolidated Group return, a deposit may be under the EUR threshold but greater than the GBP threshold. In the example described below, should the higher outflow associated with the GBP threshold, be used in the consolidated return? Please see following example. There is a retail deposit in the UK subsidiary with a balance of £440,001. The EUR/GBP exchange rate of the day is 0.89 and so the EUR equivalent is €494,383. The UK return will report this deposit as Other Retail but should the consolidated return report it as Other Retail (higher outflow amount) or stable retail as it is under the €500,000 threshold in as defined in the LCR Delegated Act.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6812

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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