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) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
DPM 3.0 - Annex XII
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.

Submission date
Final publishing date
Final answer


According to the instructions of Annex XIII to Regulation (EU) No 680/2014 2021/451 (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.
Note to Q&A

This Q&A was changed on 22/12/2021 to amend the legal reference of the ITS on reporting.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.