Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Liquidity risk
422, 425
2, 2(d)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article 28 par3 and Article 32 par 3 letter B
Disclose name of institution / entity:
Type of submitter:
Subject Matter:
Reporting of cash flows related to collateral management transactions in which collateral to be delivered/received is defined using the participants netting exposure

If a credit institution has two repo/reverse repo trades of the same size, same basket, different positions and different maturities (one within 30 days and the latter maturing after 30 days horizon) with a CCP which requires for collateral exchange on a net basis, how should these operations be represented in LCR?

Background on the question:

Under Delegated Regulation (EU) 2015/61, secured lending transactions should be reported in terms of amount and market value of collateral received/posted. For example, if a credit institution has two trades of 100 millions collateralized by the same basket, with different positions and different maturities (one within 30 days and the latter maturing after 30 days horizon) and it is not forced to post or receive collateral by the CCP because its net exposure is null, how should these transactions be represented in LCR?

The credit institution cannot establish a relationship among collateral pool and the above mentioned trades. How credit institution should estimate both the amount and the market value of collateral received/posted?

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

The fact that the CCP exchanges the collateral (the “repoed” assets) on a net basis does not change the treatment and reporting of the different repos. For the purpose of the LCR, repos and reverse repos have to be treated and reported separately irrespective of the fact that collateral is exchanged on a net basis.

In this regard, a credit institution shall report outflows/ inflows resulting from secured lending transactions maturing within 30 calendar days in accordance with the provisions of Articles 28(3) / 32(3)(b), respectively, of Delegated Regulation (EU) No 2015/61 depending on the type of collateral posted / received, respectively. The outflow/ inflow rate that should be applied depends on the type of asset posted / received as set out in Articles 28(3) and 32(3)(b) respectively.

With regards to cash flows between the reporting credit institution and the CCP, Delegated Regulation (EU) No 2015/61 does not provide for a specific treatment. The netting of cash outflows and inflows in the LCR is restricted to Articles 21, 26 and 32(5) of Delegated Regulation (EU) No 2015/61.

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.