Question ID:
2021_6084
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Liquidity risk
Article:
428f
Paragraph:
2
Subparagraph:
a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
Not applicable
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Interdependent assets and liabilities – NSFR treatment for centralised regulated savings
Question:

How should assets and liabilities related to centralised regulated savings, as mentioned in article 428.f.2.a of regulation 575/2013, be weighted under the NSFR?

Background on the question:

Article 428.f.1 suggests treating assets and liabilities as “interdependent” is both optional and possible subject to approval of the competent authorities.

In fact it is stated:

“ Subject to prior approval of the competent authorities, an institution may treat an asset and a liability as interdependent, provided that all the following conditions are met.”

Article 428.f.2 mentions some products and services, which related assets and liabilities shall be considered to meet the conditions in paragraph 1 and be considered as interdependent. In fact it is mentioned:

“Assets and liabilities shall be considered to meet the conditions set out in paragraph 1 and be considered as interdependent where they are directly linked to the following products or services : […].”

The last sentence can be understood in two ways:
1. For assets and liabilities related to products and services listed in article 428.f.2 the “interdependent” treatment is compulsory and does not require prior approval from the competent authorities.
2. For assets and liabilities related to products and services listed in article 428.f.2 the “interdependent” treatment remains optional and subject to prior approval from the competent authorities. Article 428.f.2 only states that conditions (a) to (f) of article 428.f.1 are considered to be met for those assets and liabilities.

Understanding the sentence the second way leads to another question, which is “how should centralized regulated savings assets and liabilities be weighted when the interdependent assets and liabilities treatment is not applied ?”.

CRR does not appear to provide specific weights for those assets and liabilities.

Date of submission:
12/07/2021
Status:
Question under review
Answer prepared by:
Answer prepared by the European Commission because it is a matter of interpretation of Union law.
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