- Question ID
-
2019_4596
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Liquidity risk
- Article
-
425
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
- Article/Paragraph
-
8
- Name of institution / submitter
-
Nunes, Paulo
- Country of incorporation / residence
-
Portugal
- Type of submitter
-
Individual
- Subject matter
-
Ready access to bonds giving natural hedging to the banking book
- Question
-
Can HQLA assets whose sale would result in a breach of internal limits for IRRBB be considered as free and readily accessible under Article 8 of Commission Delegated Regulation (EU) 2015/61?
- Background on the question
-
The interest rate risk for the banking book portfolio (IRRBB) is usually managed globally, inside defined limits, including both assets and liabilities. Some of these assets are the HQLAs. Should these assets be considered free and readily accessible, if their sale would make the institution incur an internal limits' breach for IRRBB?
Article 8 stands clearly that "A liquid asset shall be deemed readily accessible to a credit institution where there are no legal or practical impediments to the credit institution's ability to monetise such an asset in a timely fashion."
Additionally, Q&A 2015_2542, which relates market with liquidity risk, reinforces the idea that "the bank must ensure that the potential liquidation of the asset will not conflict with any internal business or risk management strategies. The liquidation of the asset must not lead to a breach of internal limits on open risk positions."
In this context, does selling some of the portfolio's assets could be considered a decision that, when breaching internal limits', has a practical impediment?
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
For further information please refer to the press release and the updated Q&A page.
- Status
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Rejected question