EBA · 2022_6596 Rejected question

Deals agreed but not yet settled

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
32
Topic
Liquidity risk
Submitted by
Credit institution
Submitted
2022-10-03
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Question

1) When we issue a securitiy to raise funding, between Trade date and Value date (ie: 2 days period)  we expect money to be received from the counterparty for the security purchase. Can it be considered as an inflow in the LCR, as cash will be recived in 2 days?  2) When we make a money market borrowing, between Trade date and Value date (ie: 3 days period)  we expect money to be received from the counterparty for the deposit. Can it be considered as an inflow in the LCR, as cash will be recived in 3 days?  If we are allowed to apply this approach, shall we apply the same approach for money market loans before settlement date (outflows as cash will be delivered to counterparty).

Background

To raise funding, the institution issues securities and deals money market borrowing. This question intends to clarify the methodology to apply for deals which are already contractually traded but not yet settled: What to do between trade date and value date.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6596

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.

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