Question ID:
2021_5847
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
DPM 3.0 - Annex XII
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
DPM 3.0 validation rules for C84 total RSF
Question:

According to validation rules v10158_m and v10063_m, RSF from derivatives should not be included in total required stable funding row 10 in neither column 10 nor 20. Is this really correct? It indicates that RSF from derivatives is not included in calculating the ratio then.

Background on the question:

According to validation rules v10158_m and v10063_m, RSF from derivatives should not be included in total required stable funding row 10 in neither column 10 nor 20. Is this really correct? It indicates that RSF from derivatives is not included in calculating the ratio then.

Date of submission:
12/05/2021
Published as Final Q&A:
23/07/2021
EBA Answer:

According to the instructions of Annex XIII to Regulation (EU) No 680/2014 (ITS on supervisory reporting), RSF and ASF should include derivatives (R0010 in templates C80.00, C 81.00, C82.00, C 83.00; R0010 and R0120 in C 84.00).
However, these templates have been modelled by reporting derivatives in a separate table (carrying amount vs fair value, with the exception of C 83.00).
Validation rules have been defined at the level of technical tables and therefore the rows for RSF and ASF do not contain the values reported for derivatives.
This has led to inconsistencies between the definition of RSF and ASF and reporting (and any reference to these cells in other reports (e.g. mapping tool) is wrongly defined.
The issue affects several validation rules, some of which have been deactivated. Institution shall consider derivatives in their required stable funding as it is established in article 428d of the CRR.
The modelling will be corrected at the next available opportunity, as an interim solution the affected remaining validation rules will be deactivated.

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