Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Liquidity risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
not applicable
Disclose name of institution / entity:
Type of submitter:
Competent authority
Subject Matter:
Securities borrowing transactions within the LCR - inflows

How should to treat potential inflows regarding an unsecured securities borrowing transaction as they are not mentioned within Article 425 (2) of Regulation (EU) No 575/2013 (CRR) be treated.

Background on the question:

An institution has lent government bonds by way of an unsecured securities borrowing transaction. As the bonds are not available at the reporting date and therfore don´t fulfill the restrictions laid down in Art. 417 b) CRR they do not qualify as HQLA. But the bank has the right to terminate the securities borrowing transaction an a dayly basis and could get the bonds back within three days.

Date of submission:
Published as Final Q&A:
Final Answer:

In accordance with Article 425(2) of Regulation (EU) No 575/2013 (CRR), institutions shall report in full only contractual inflows from outstanding exposures that are not past due and for which the institution has no reason to expect non-performance measured over the next 30 days. Thus, securities lent via unsecured securities borrowing transaction can be reported as inflows only if they have been contractually recalled and due within the next 30 days, and only if they are eligible to the stock of liquid assets in accordance with Article 416 of the CRR. These recalled securities shall be reported up to their market value net of haircuts prudently valued according to Article 418 of the CRR.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Note to Q&A:

Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.