Single Rulebook Q&A

Question ID: 2016_2992
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Liquidity risk
Article: 425
Paragraph: 2
Article/Paragraph : 32(3)
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 : Reporting of assets lending on an unsecured basis

When collateral lending on an unsecured basis maturing within the 30-day period, shall the institution report this as inflows?

Background on the question:

According to Article 30(11) of LCR Commission Delegated Regulation (EU) No 2015/61: “Assets borrowed on an unsecured basis and maturing within 30 calendar days shall be assumed to run-off in full, leading to a 100 % outflow of liquid assets unless the credit institution owns the securities and they do not form part of the credit institution's liquidity buffer”.

Is it correct to adopt a symmetrical approach in case of asset lent on an unsecured basis, and consequently, to consider a 100% inflow of liquid assets in case of assets lent on an unsecured basis maturing within 30 calendar days?

Date of submission: 14/11/2016
Published as Final Q&A: 16/06/2017
EBA answer:

According to Article 32(1) of LCR Commission Delegated Regulation (EU) No 2015/61 liquidity inflows subject to the assessment over a period of 30 calendar days shall comprise only contractual inflows from exposures that are not past due and for which the institution has no reason to expect non-performance measured over the next 30 calendar days. Therefore, if these conditions are fulfilled and the lending transaction is maturing within 30 calendar days, assets lent on an unsecured basis will be considered as a cash inflow by 100% of their liquidity value in accordance with Title II of LCR Commission Delegated Regulation (EU) 2015/61.

Please see also Q&A 2014_792.

Status: Final Q&A
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