QA2019-77 - Liquidity needs

Question

What should the bank report in columns B100-B120 for TARGET 2?

Response

For TARGET 2 specifically, the bank should report: • B100: the available collateral pool, after haircuts. • B110: the available peak intraday collateral usage. • B120: 0 or, if the bank is in a position to provide an estimate of expected changes to TARGET2 haircuts, any additional collateral requirements this may lead to. If the TARGET2 credit line of the group can be used by several entities of the group, please report it only once, at group level. Please specify any methodological assumptions in a separate communication to Resolution authorities, for example in the bank’s relevant contingency plan.

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