Question
Should the outflows from derivative transactions be taken into account in the calculation of the LCR ratio, when the counterparty is in default?
Background on the question
According to Art. 32 (1) Delegated Act (EU) 61/2015, liquidity inflows "shall comprise only 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." In this context, how should derivative transactions be treated, where payment flows in both directions have been agreed between the contracting parties? If the counterparty is in delay or defaults, should only the inflows be excluded from the calculation of the LCR ratio or also the outflows resulting from the derivative?
Answer
This question has been rejected because the issue it deals with is already explained or addressed in Article 32 (1) Delegated Act (EU) 61/2015.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions".