Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
not applicable
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
LCR inflows/outflows for collateralised stock borrow/lend transactions within 30 day window

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.

Background on the question:

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.

Date of submission:
Published as Final Q&A:
Final Answer:
In contrast to the Basel liquidity framework (Para 146, 147, 148) the Regulation (EU) No. 575/2013 (CRR) does not specify cases where the collateral obtained through reverse repo, securities borrowing or collateral swaps is re-used (i.e.,rehypothecated).
Therefore the general treatment defined by the CRR for these transactions taken separately (repo, reverse repo, collateral swaps, short positions) should apply for these transactions, even if they are matched.
Please refer to QA 2013-189 and QA2014-781 for additional information on the reporting of short positions and to QA 2013-274 for additional information on the reporting of repo and reverse repo transactions.
Final Q&A
Answer prepared by:
Answer prepared by the EBA.