Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Annex XIII, 1.1, 3. point
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Recognition of Cashflows for NSFR reporting

In case of partial payments on assets/liabilities, should each partial payment be reflected in the corresponding time bucket, or in total on the contractual maturity? Does this apply only to capital cashflows or also to interest rate cash flows?

Background on the question:

Deposits and Loans may have a contractual maturity, but also partial payments (capital and interest) in between. Example: A loan of 1 Mio. EUR has a maturity of 6 month, but a partial payment of 500.00 EUR will be made in 2 months and interest is due monthly. Accrued interest at the date of reporting is 0. Should the reporting show 1 Mio in the time bucket 3-6 month or 500.000 in the time bucket "within 3 months" and 500.00 in the bucket 3-6 months? Should the interest cashflows also be reflected on a monthly basis? Remark: If interest cashflows are considered, the total amount of all liabilities in NSFR will not match those in the FinRep, since FinRep only recognizes the current accrued interest, but no future interest cashflows.

Date of submission:
Published as Final Q&A:
Final Answer:

For the purpose of reporting Stable Funding templates C 60.00 and C 61.00 (Annex XII. Part 5 of the Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions), funding that is amortised should be reported in the appropriate time bucket according to the contractual commitments. In other words, if funding is repaid in instalments, each instalment should be reported in the appropriate time bucket to reflect the effective tenor of the funding. Future interest cash-flows (i.e., non-accrued interests) shall not be included for this purpose.

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