Guidance

Maturing secured lending, including reverse repos and Securities borrowing

1. An Authorised Person should assume that maturing reverse repurchase or Securities borrowing agreements secured by Level 1 HQLA will be rolled over and will not give rise to any cash inflows (zero %). Maturing reverse repurchase or Securities borrowing agreements secured by Level 2 HQLA should be modelled as cash inflows, equivalent to the relevant haircut for the specific assets. An Authorised Person is assumed not to roll-over maturing reserve repurchase or Securities borrowing agreements secured by non-HQLA assets and can assume it will receive 100% of the cash related to those agreements. Collateralised loans extended to customers for the purpose of taking leveraged trading positions, i.e. margin loans, should be modelled with a 50% cash inflow from contractual inflows made against non-HQLA Collateral.
2. An exception to paragraph 1 is the situation where, if the Collateral obtained through reverse repo, Securities borrowing or Collateral swaps, which matures within the 30-day period, is re-used (i.e. rehypothecated) and is tied up for 30 days or longer to cover short positions. An Authorised Person should then assume that such reverse repo or Securities borrowing arrangements will be rolled over and will not give rise to any cash inflows (zero %), reflecting its need to continue to cover the short position or to repurchase the relevant Securities.
3. An Authorised Person should manage its Collateral so that it is able to fulfil obligations to return Collateral whenever the Counterparty decides not to roll-over any reverse repo or Securities lending transaction. This is especially the case for non-HQLA Collateral, since such outflows are not captured in the LCR framework.