Single Rulebook Q&A

Question ID: 2015_2459
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Liquidity risk
Article: 416
Paragraph: 3
Subparagraph: d
Article/Paragraph : Title II, ch. 1, articles 6-9
COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Type of submitter: Credit institution
Subject matter : Eligible collateral in a central bank

Must liquid assets be eligible in a central bank when LCR is calculated?

Background on the question:
In CRR it states that liquid assets must be eligible in a central bank when calculating the LCR to fulfil the requirement (60% as of 1 October 2015 according to the delegated regulation).
In the Delegated Regulation there is no requirement of the liquid assets being eligible as collateral in a central bank.
Date of submission: 04/11/2015
Published as Final Q&A: 11/11/2016
EBA answer:

In accordance with Article 415(1) of Regulation (EU) No 575/2013 (CRR), Article 416 specifies the liquidity reporting obligations until the liquidity coverage requirement is fully specified and implemented in accordance with Article 460.

Commission Delegated Regulation (EU) 2015/61 (DR) adopted in accordance with Article 460, specifies in detail for credit institutions the general liquidity coverage requirement established by Article 412(1) of CRR and is applicable from 1 October 2015.

According to Article 6 of the DR, liquid assets could be included in the credit institution's liquidity buffer only when these assets comply with the general requirements provided for by Article 7, the operational requirements provided for by Article 8 and the respective eligibility criteria for their classification as a level 1 or level 2 asset in accordance with Chapter 2 of the DR.

The DR does not include any provisions according to which liquid assets for LCR purposes (i.e. to be included in the LCR buffer) also have to be eligible as collateral for standard liquidity operations of a central bank.

Status: Final Q&A
Permanent link: link