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Delegated Act on the Liquidity Coverage Ratio
Brussels10 March 2014
18/04/23
Public Hearing
18/04/23
18/04/23
Definition of HQLA 1/2
1. Caps at 40% level 2A/15% level 2B2. Should treatment for Covered Bonds be:
a) As Level 2A assets (Basel and EBA Recs)? b) As Level 1 assets subject to RW (EBA analysis)?c) Other options:
i. For some cov. bonds, increase L2A cap/lower haircut ii.Waive 75% inflow cap for interest income.
3. Should treatment for securitisations be:a) RMBSs as Level 2B assets?b) Other securitisations as non HQLA?
4. Committed liquidity facilities at central banks • Should the delegated act include a (R) CLF and • Should conditions regarding the pricing (and the asset quality) of the CLF be
included, when such facilities fall under the exclusive prerogative of central banks?
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5. Promotional bank bonds should be:a) HQLA depending on RW of guarantor (Basel)?;b) HQLA only if explicitly guaranteed by sovereign (EBA)?;
6. Mandatory cooperative deposits at the central institution:a)Basel: no HQLA+25%/100% outflow; 0% inflow for member bankb)CRR: HQLA +100% outflow; 0% inflow for member bank
7. What should be the operational requirements for HQLA? Comments are welcome on the EBA recommendations
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Definition of HQLA 2/2
1. Established operational relationships
only Basel; Full EBA recommendations; intermediate?
(e.g. Evidence, relationship at least 24 months, non-operational all balances in excess of the average 5 day rolling cumulative net-cash outflow over the preceding 90 days)
2. Natural person deposit threshold and retail deposit outflows
1. Should LCR follow EBA guidelines / methodology / specify the higher outflows? 2. In absence of EBA GL –set absolute ceiling for retail deposits by natural persons? 3. Should interdependent outflows /inflows be considered? Under what conditions?
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Inflows / outflows
3. Potential 3% retail deposit outflows?
4. Additional objective criteria for cross-border intragroup flows?(symmetric/asymmetric?)
5. Should outflow rates for committed liquidity/credit facilities:– Apply a lower than 100% to non-financial corporates?– Distinguish credit/liquidity facilities as in Basel?;– Apply a lower than 100% to PICs and Trusts?
6. 75% Inflow cap exemption : Intra-group/Institutional Protection Schemes
specialised business models (pass-through financing models; promotional loans; auto/consumer loans, leasing and factoring, )
Covered bonds & UCITS bonds
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Inflows / outflows
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