Other disclosure items
Treatment of central bank reserves in the LCR
In order to be able to recognise reserves held at the central bank as level 1 assets in the Liquidity Coverage Ratio (LCR), the Delegated Regulation on the LCR demands that an agreement is in place between the competent authority and the ECB (Article 10 (1) (b) of Delegated Regulation (EU) 2015/61). The following requirements are the final outcome of the understanding reached with the ECB.
The requirements contained on this information sheet apply to credit institutions, for which Part Six CRR applies, and which do not fall under the direct supervision by the ECB within the SSM.
The procedure described below applies for the calculation of the LCR from 01.10.2015 as well as for reporting in accordance with Implementing Regulation (EU) No 680/2014.
These requirements shall apply until revoked by the competent authority or the central bank.
Only the part of the daily reserves held that exceed the average daily minimum reserve requirement for the current minimum reserve period shall apply as applicable in times of stress and shall be deemed eligible for inclusion as level 1 assets with the LCR.
The calculation occurs as follows:
The central bank reserves that exceed the average daily minimum reserve requirement, are considered on a daily basis as Level 1 assets. In the event that central bank reserves fall below the average daily minimum reserve requirement, the amount considered is zero, and therefore neither a negative amount of reserves nor an outflow for the funds to be deposited after the LCR reporting date must be reported to fulfil the minimum reserve requirement.
- LCRt = (HQLAt + max(RACTt – RAVG, 0)) / NOF
- RACTt = Amount of central bank reserves on day t
- RAVG = Average daily minimum reserve requirement
- NOF = Net Cash Outflows (net outflow of funds under stress)
Fixed-term deposits are recognised as Level 1 assets, if such fixed-term deposits are considered eligible collateral for Eurosystem credit operations including the marginal lending facility.
Please note that the abovementioned calculation method only applies for the holding of the central bank reserve. Other forms of holding of reserves, e.g. as set out in Article 27a BWG are not covered by this method.