Question ID
2024_7053
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Liquidity risk
Article
460
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article/Paragraph
32
Type of submitter
Competent authority
Subject matter
LCR treatment of open maturity reverse repos which can be terminated at any point in time
Question

By reference to EBA Q&A 2021_6163, are there some circumstances under which a bank could consider inflows from open reverse repos that  are not contingent for the purposes of its recognition in the LCR? 

Background on the question

EBA Q&A 2021_6163 provides the general guidance regarding open reverse repos and the consideration of potential related inflows in the LCR. We wonder if inflows could still be recognised in the LCR when these transactions upon demonstration of the bank will effectively mature within the following 30 days and will not be rolled over.

Submission date
Final publishing date
Final answer

As indicated in the Q&A 6163, inflows cannot be recognised from open reverse repos if the option to call them within the following 30 days has not been exercised. This does not prevent the reporting institution from recognising the relevant inflow if it can demonstrate to the supervisor that the open reverse repo would be called and effectively mature under certain circumstances, within the following 30 days. In such a case the reporting institution may recognise inflows by applying the rates envisaged in Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 and report them under C74 accordingly under item 1.2 “Inflows from secured lending and capital market-driven transactions” in the relevant row depending on the type of collateral.

Furthermore, in the context of its next monitoring report for the implementation of the LCR and NSFR, the EBA will consider providing additional guidance to support the evaluation of the demonstration by banks of the maturity of the open rev repos within the following 30 days.

Status
Final Q&A

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.