Question ID
2021_6017
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annexes XII C 81.00 Row 0040/0050/0060 and XIII Paragraph 22
Type of submitter
Credit institution
Subject matter
ASF factors for Additional Tier 1 items as wells as Tier 2 items and other capital instruments maturing between 6 month and 1 year
Question

For the purpose of calculating the NSFR, which appropriate available stable funding factor shall institutions apply for Additional Tier 1 items as well as Tier 2 items and other capital instruments maturing between 6 month and 1 year?

Background on the question

Article 428o(b), (c) and (d) refer explicitly to Additional Tier 1 items as well as Tier 2 items and other capital instruments with a residual maturity of 1 year or more and defines the applicable ASF factor as 100%. 

Article 428k(3)(d) envisages a 0% factor for any capital items or instruments not referred to in Articles 428l to 428o.

In the corrigendum to CRR2 on 25 February 2021, point (41) added the wording “capital items or instruments” in Article 428l(d) which allows a 50% ASF for instruments and liabilities with a residual maturity of a minimum of 6 months but less that 1 year.

The instructions on C 81.00, rows 0040 to 0060, column 0050, follow Articles 428o(b), (c) and (d) and 428k(3)(d) of the CRR. The amendment to article 428l(d) has not been incorporated.

According to the EBA analysis of the feedback on the public consultation in the final draft ITS EBA/ITS/2020/05, published prior to the CRR2 corrigendum, section 4.4, question 31 comments ‘capital instruments’, page 111/112, it was stated that “Article 428l(d) does not apply (for capital instruments maturing between 6 months and 1 year) (.) because it does not refer to capital items or instruments but to liabilities, which is the case specifically in Article 428k(3)(d)”.

Given article 428l(d) has been amended in the corrigendum to reference capital items or instruments, should the ITS be updated to allow a 50% ASF for AT1 and T2 items and other capital instruments with a residual maturity of a minimum of 6 months but less than 1 year?

Submission date
Final publishing date
Final answer

According to Article 428l, point (d) of Regulation (EU) No 575/2013, any other liabilities and capital items or instruments with a residual maturity of a minimum of six months but less than one year not referred to in Articles 428m, 428n and 428o.’ shall be subject to a 50 % available stable funding factor.
Therefore, institutions should report template C 81.00 rows 0040, 0050,0060 (AT1, T2, other capital instruments), column 0050 with a Standard ASF factor of 50%.
However, the structure of current template C 81.00 does not allow the reporting outlined above. The relevant cells are still greyed out. Therefore, an adjustment of template C 81.00 and of the instructions will be made in the next NSFR reporting framework release.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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