Question ID:
2019_5036
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex 25
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Treatment of secured lending or capital market-driven transactions that would require an outflow rate higher than 25 % but they have been closed with eligible counterparties
Question:

Delegated Regulation (EU) 2018/1620 in article 1 (17) (a) states that a 25% outflow rate has to be applied to secured lending or capital market-driven transactions, closed with eligible counterparties, that would require an outflow rate higher than 25 %. Based on the new LCR Templates published on EBA websites and Delegated Regulation (EU) 2018/1620, it’s not clear in which row these transactions should be reported. Could you provide some instructions for the right reporting?

Background on the question:

C73 Template’s section related to “Outflows from secured lending and capital market-driven transactions” has only the row “level 2B asset-backed securities (residential or automobile, CQS1) collateral” with a 25% runoff. Should transactions, requiring an outflow rate higher than 25%, with an eligible counterparty be reported in this row regardless of the collateral used?

Date of submission:
10/12/2019
Published as Final Q&A:
11/09/2020
EBA Answer:

In accordance with Annex XXV of Regulation (EU) No 680/2014 (ITS on supervisory reporting), outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of amended Regulation (EU) No 575/2013 and undertaken with eligible counterparties defined under Article 28(9) of amended Delegated Regulation (EU) 2015/61 would need to be reported under row 1020 (ID 1.2.2) as well as the relevant sub-lines of supervisory reporting template C 73.00. Transactions would need to be reported in accordance with the underlying collateral extended and irrespective of the outflow rate to be applied.

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