Does the liquidity buffer have to be reduced by outflows from secured lending even if the lender is a central bank and the outflow is 0%-weighted?
According to Article 28(3)(a) of DR 2015/61 as well as according to Article 422(2)(e) of EU Regulation 575/2013 (CRR), outflows from secured lending maturing within 30 calendar days shall be multiplied by 0%, if the lender is a central bank.
In Article 28(3)(g) of DR 2015/61 it is further stipulated that the 100%-weighting of outflows from secured lending transactions maturing within 30 calendar days, that are collateralized by assets that would not qualify as liquid assets, does not apply if the lender is a central bank.
As a consequence of this exceptional treatment, secured lending from central banks even when maturing within 30 days can be used to cover liquidity requirements.
Article 17(3) of DR 2015/61 states that the composition of the liquidity buffer shall be determined in accordance with the formulae of Annex I to this Regulation. In these formulae however, the liquidity buffer can be reduced by outflows from secured lending maturing within 30 calendar days, that are collateralized by assets that would not qualify as liquid assets, even if the lender is a central bank. I.e. the calculation according to the formulae can result in a reduction of the liquidity buffer by outflows from secured central bank lending, although these outflows are 0%-weighted. This described circumstance occurs in the particular constellation, when the 0%-weighted secured outflows (before applying the applicable weight) exceed the liquidity buffer.
In our opinion the reduction of the liquidity buffer by outflows from secured central bank lending is inconsistent and contradicting the 0%-weighting of corresponding outflows.
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