The LCR reporting templates for Outflows (C52) and Inflows (C53) do not include a section which allows firms to separate reverse-repo and other secured lending/borrowing transactions between those where collateral is re-hypothecated and those where collateral is not re-hypothecated, to cover the reporting institutions outright short positions. How should firms with matched book, fully collateralised stock borrow/stock lend transactions (which mature within 30 days) segregate these transactions from unmatched repo/reverse-repo transactions? The Basel III templates allow a 0% outflow/inflow in such cases (lines 289-295 and 264 of the Basel III implementation monitoring workbook), when the transaction matures in less than 30 days.
The templates for the Basel III LCR include a separate section to allow firms to disclose reverse-repo transactions where collateral has been re-hypothecated. The templates allow a 0% inflow in such cases (lines 289-295 of the Basel III implementation monitoring workbook). The template also includes a separate line for “Bank outright short positions covered by a collateralised securities financing transaction” (line 264), which are given a 0% outflow. The relevant paragraphs for consideration from the Basel III document “The Liquidity Coverage Ratio and liquidity risk monitoring tools” (BCBS238) are 146 and 147.