Is it possible to report retail deposits defined in Article 421 (5a) CRR in the same way as deposits under Article 421 (1a,2) CRR for the Net Stable Funding Ratio purposes?
According to Article 421 (5a) CRR the certain categories of retail deposits can be excluded from the calculation of outflows for Liquidity Coverage Ratio purposes. According to Annex XII of Regulation No 680/2014 these deposits: 1) should be reported in the template C 52.00 – Liquidity Coverage – Outflows in the row 100 (ID 1.1.6), but 2) can not be reported in the template C 61.00 – Stable Funding – Items Providing Stable Funding in the row 040 (ID 18.104.22.168)/050 (ID 22.214.171.124). We are of the opinion that if the withdrawal notice period of deposits is higher than 30 days, these deposits should be reported in the row 040/050, because there is the very low probability of outflow and so these deposits should be considered as available stable funding (like deposits defined in Article 421 (1a) CRR).
As specified in Annex XIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), institutions shall report own funds and liabilities reported on their balance sheet in template C 61.00 of Annex XII to the ITS on Supervisory Reporting and the total amount of these two categories shall reflect the total assets. It is further specified that for retail deposits reported in section 1.2, the same assumptions with regard to the maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.
Therefore, in line with the assumptions with regard to the maturity for the Liquidity Coverage template, but with a different relevant horizon, retail deposits should be classified according to their characteristics following the criteria provided under Article 421(1) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2) and Article 421(2) CRR2 and shall be reported in reporting template C 61.00. Retail deposits that qualify for the treatment in Article 421(1) CRR2 shall be reported under ID 126.96.36.199 (row 040) whereas retail deposits that qualify for the treatment in Article 421(2) CRR2 shall be reported under ID 188.8.131.52 (row 050).