With regard to the reporting deadlines, we would like to point out that the defined 30-day observation period will result in an imprecise representation of the LCR whenever the LCR is to be reported for months having 31 days.
In certain transaction structures in the lending business, inflows from lending arrive on the last day of the month. If that day is the 31st of a month, these inflows are not included in the LCR report. Exam-ple: The report on 30 September 2014 covered the period until 30 October 2014. 31 October 2014 (Friday) was not included because it was outside the 30-day period. Therefore, the LCR report for the 30 days reported was worse than for the entire month that had 31 days.
We find the fundamental problem lies in the statutory definition of 30 days, which cannot be changed by the present delegated act. We propose that in such cases the competent supervisory authorities shall not automatically base their assessment of the bank's internal LCR solely on the report.
EBA's proposal to use either December 2015 or the point in time six months after publication of the implementing standard in the Official Journal presents the banks with the problem that, from 1 October 2015, the ratio of 60 per cent has to be complied with. However, calculation of the LCR on the basis of the delegated act by using the reporting sheets published with regulation (EU) No 680/2014 of 16 April 2014 is not possible. Therefore we plead for the early joint introduction of the new reporting forms at the effective date of the delegated act, i.e. 1 October 2015. This would ensure a consistent reporting of the LCR Data according to the rules of delegated act 2015/61, published 10 October 2014.
In our judgement, the instructions still lack information regarding the treatment of due, unsecured loans on securities. For example, it is not clear at the moment how and where these securities are to be entered once they are no longer capable of acting as a buffer but, nevertheless, have not yet been returned. The question of entry arises for both parties to the contract.
Also not clear is the question of the treatment of securities lending (maturity: until further notice). From a commercial point of view, such a transaction might be cancelled within 30 days at any time. From our point of view, the two parties to the contract may reflect this either as a cash inflow or a unilateral collateral swap or as a cash outflow or an outflow from the unilateral collateral swap.
Templates C73.00/C74.00 – Liquidity coverage outflows and inflows
According to the instructions, only cash-versus-collateral transactions are to be recorded in the cash outflow and inflow tables (see e.g. instructions regarding the cash outflows, no. 12). We interpret this to the effect that only repos / reverse repos are captured here.
We welcome the LCR calculation tool and consider it as helpful, as can help to understand how the correct calculation is to be undertaken.