EBA · 2020_5544 Final Q&A

Excess collateral held by credit institution that can be contractually called at any times by the counterparty

Name: Excess collateral held by credit institution that can be contractually called at any times by the counterparty: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 423, para. 5
Topic: Liquidity risk
Submitted by: Consultancy firm
Submitted: 2020-10-09
Answered: 2022-02-11
Answer provided by: ESAs (EBA, ESMA, EIOPA)

Browse ECB SSM Register → More Q&As on this regulation →

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

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.

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.

Original source: European Banking Authority, Q&A ID 2020_5544

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

LCR treatment of settled-to-market derivatives

Answered 2021-09-24

Including in the LCR calculation deposits from this category with residual maturities longer than 30 days

Answered 2016-12-09

Deposits received and deposits posted as margin collateral for derivative exposures

Answered 2017-11-03

Reporting of assets lending on an unsecured basis

Answered 2017-06-16

Reporting of cash flows related to collateral management transactions in which collateral to be delivered/received is defined using the participants netting exposure

Answered 2018-08-03

More Q&As on this topic

LCR treatment of issuances with automatic optionality/knock-out features

Answered 2026-04-24

Interest flows

Answered 2024-11-29

LCR treatment of open maturity reverse repos which can be terminated at any point in time

Answered 2024-05-03

Encumbrance duration of reverse repo in NSFR when the received collateral has been sold short

Answered 2023-01-20

Definition of 'past due' for the purpose of the LCR

Answered 2022-12-22

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.