Question
We seek clarification on the use of external credit assessments when determining HQLA eligibility under the provision of Article 10(c)(ii). Specifically, where an asset representing a claim on a third-country central government has a residual maturity of less than one year: Can a short-term credit assessment from a nominated ECAI corresponding to Credit Quality Step 1 (CQS 1) be used for the purpose of determining eligibility as a Level 1 asset? Where both long-term and short-term credit assessments are available, which assessment should be used for the purposes of the HQLA eligibility assessment? More generally, we would be grateful for any guidance on the circumstances in which short-term external credit assessments may be used when assessing eligibility of assets for inclusion in the HQLA buffer under the LCR framework.
Background on the question
We are wondering whether short-term external credit assessments can be used when assessing eligibility of assets for inclusion in the HQLA buffer under the LCR framework.
Answer
This question has been rejected because the issue it deals with is already explained or addressed in the regulatory framework, which is sufficiently clear and unambiguous.The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.