Bank A is solo reporter and is a small subsidiary bank owned by foreign Government of (Third) country X (51%) and Bank A (49%). In the General ledger it has a loan to a Public Sector Enterprise incorporated in the (Third) country X. This loan is backed by cash collateral provided to Bank A by the Central Bank of the (Third) Country X which covers the outstanding balance (principal) on the loan fully - only the interest remains uncovered.
How shall this loan and the linked deposit be reported for liquidity purposes in the LCR templates (C 52.00 / C 53.00)?
Operationally, the deposit is expected not to generate any additional liquidity buffer requirement as the deposit is expected to be returned only when the loan is fully paid, thus covering the expected outflows by the inflows.
Please note that templates C 72.00 to C 76.00 of Annex XXIV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and the related reporting instructions in Annex XXV to the ITS on Supervisory Reporting fully replaced templates C 51.00 to C 54.00 of Annex XII to the ITS on Supervisory Reporting and the related reporting instructions in Annex XIII for credit institution subject to the Regulation (EU) 2015/61.
Consequently, the answer provided below only applies to investment firms subject to liquidity reporting according to Articles 6(4), 11(3) and 415 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2), unless otherwise specified.
According to Annex XIII to the ITS on Supervisory Reporting and in accordance with Article 425 (2) letter d of CRR2 secured lending and capital market driven transactions maturing within 30 days shall be reported in template C 53.00 by allocating the transactions based on the liquidity and credit quality of the assets securing the transaction, using the same criteria as applied for the purpose of reporting assets in template F 01.01 (‘Assets’) of Annexes III and IV to the ITS on Supervisory Reporting.
Provided that the transaction described satisfies the condition to qualify as a secured lending or capital market driven transaction:
If the transaction does not fulfill the condition to qualify as a secured lending and capital market driven transaction:
See also Q&A 2014_1446 for the classification of central banks as non-financial customers.