Our institution currently reports the LCR including only deals wth value date prior or equal to the reporting date. We would like to include cashflows from contractual upcoming deals, from their trade date and before the actual value date.

To raise funding, the bank issues debt securities and makes money market borrowing. As these deals are contractual, between the trade date and the value date we expect an inflow for the cash to be received as funding. Are we authorized to account these upcoming cashflows as inflows in the LCR? (between trade date and value date) And as soon as the value date occurs, the deal is booked as liabilities and it would become an outflow.

The bank  makes money market lending. To be fair with the above approach, as these deals are contractual, between the trade date and the value date we expect an outflow for the cash to be delivered as a loan. Shall we  account these upcoming cashflows as outflows in the LCR? (between trade date and value date) And as soon as the value date occurs, the deal is booked as asset and it would become an inflow.

If the above approach is approved by EBA, are we authorized to apply it only for Money market deals and issued securities? or shall we apply it for all deals?

Our last concern is about the other reporting: If we apply this approach, shall we apply it as well to C66, NSFR? As it would make a deviation from the balance sheet in value date and especially the FINREP. Would it lead to EBA validation rules issues between the different reporting?

Thank you,