Question ID
2020_5544
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Liquidity risk
Article
423
Paragraph
5
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article/Paragraph
30(6)(a)
Type of submitter
Consultancy firm
Subject matter
Excess collateral held by credit institution that can be contractually called at any times by the counterparty
Question
Do we need to consider all future derivatives inflows or only the future derivatives inflows within the 30-day LCR bucket for the calculation of excess collateral?
Background on the question
Article 30(6)(a) of Commission Delegated Regulation(EU) 2015/61 stated that the credit institution shall add an additional outflow corresponding to 100 % of: (a) the excess collateral the credit institution holds that can be contractually called at any times by the counterparty. This article is not specific on the flows to consider It only specifies can be "contractually called", making no distinction of the maturity bucket/ future flow date to cover.
Submission date
Final publishing date
Final answer

According to Article 30(6)(a) of the Delegated Regulation (EU) 2015/61 the credit institution should add an additional outflow corresponding to 100% of: (a) the excess collateral the credit institution holds that can be contractually called at any times by the counterparty.

Liquidity inflows should be assessed over a period of 30 calendar days as specified in Article 32(1) of the Delegated Regulation (EU) 2015/61. They should comprise contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within 30 calendar days.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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