According to DR (EU) 2015/61 and EBA Q&A 2015_1962, Security Borrowing and Security Lending Transactions can be seen as equivalent to Collateral Swaps where the securities are borrowed or lent against non-liquid assets and therefore reported as such in C 75.00 template.  

When the maturity of the security borrowing deal falls within 30 days (i.e., the borrowed security must be returned), an outflow shall be reported as per Article 28(4) of DR (EU) 2015/61; such outflow is calculated in C 75.00 template considering the quality of the security, i.e., multiplying the market value by the applicable weight. The total outflow is then displayed as “outflows from collateral swaps” in C 73.00 (row 1130).

Additionally, to assess the compliance with the requirements on the composition of the buffer by asset class within 30 days horizon (as per Article 17 of DR (EU) 2015/61), the underlying asset of the maturing borrowing transaction is considered as “collateral outflows within 30 days” according to the liquidity level of the security in C 76.00 template. The relevant information is retrieved from C 75.00 template as per LCR calculation tool.

A security lending transaction maturing within 30 days produces a symmetrical effect in the LCR templates, with the inflow calculated according to Article 32(3)(e) of DR (EU) 2015/61, considering the liquidity value of the security.

According to the new Delegated Regulation (EU) 2022/786 of 10 February 2022, the perimeter of products to be treated according to Article 28(3) and 32(3)(b) of DR (EU) 2015/61 has been reviewed, including “securities financing transactions and capital market-driven transactions” rather than “secured lending or capital market- driven transactions”. It should be noted that the definition of “Securities Financing Transactions” as per CRR2 Article 4(139) includes also “securities lending or borrowing transactions”.

Given the abovementioned, a clarification would be appreciated about how security borrowing and lending deals should be reported in the templates, as different representations may lead to a change in the LCR.   

Indeed, should these transactions be reported as security financing transactions where collateral does not qualify as a liquid asset (as no other collateral is provided in exchange of the borrowed or lent security), the data should be included in C 73.00 (row 1100) or C 74.00 (row 0345). In this case the information regarding the quality of the securities currently shown in the C 75.00 template would not be available anymore, thus it would not be possible to consider the liquidity level of the securities in the calculation of the relevant outflows or inflows. Additionally, the assessment of the Liquidity Buffer in C 76.00 would be affected as well, as the security borrowing or lending transactions reported as per above would generate a cash outflows or inflows respectively, rather than a collateral outflow or inflow.