Question ID
2022_6574
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Liquidity risk
Article
509
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article/Paragraph
7
Type of submitter
Credit institution
Subject matter
Encumbrance of assets
Question

If the reporting institution has a HQLA pledged as collateral for a punctual transaction without any additional liquidity movement (no cash leg) for two days on the reporting date, should this asset be considered buffer as it will be unencumbered within the following 30 calendar days even if in the reporting date it is encumbered? should it be reported as inflow for two days and then as buffer? 

Background on the question

The delegated act stablishes: an asset shall be deemed to be unencumbered where the credit institution is not subject to any legal, contractual, regulatory or other restriction preventing it from liquidating, selling, transferring, assigning or, generally, disposing of such asset via active outright sale or repurchase agreement within the following 30 calendar days. 

The cap on the liquidity buffer is calculated taking into account the unwind of the repos, but in the presented case there is no cash leg associated with the operation and it will only be pledged for two days, should this asset be considered as part of the liquidity as it is unencumbered withing the following 30 calendar days? inflow for two days until it is "free"?

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 7 of Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement, as amended by Commission Delegated Regulation (EU) 2022/786. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question