Question ID:
2021_6096
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Liquidity risk
Article:
428ag
Paragraph:
h
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
Article 428ag (h) of Regulation EU 2019/876
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds for NSFR purposes
Question:

Does the 85 % required stable funding factor apply to assets encumbered for a residual maturity of one year or more in a cover pool funded by Covered bonds issued directly in the market, as well as to the assets underlying self-issued Covered bonds used as collateral for long term ECB funding or SFT with the market?

Background on the question:

With reference to the Article 428ag (h) of Regulation EU 2019/876, in the context of Covered bonds that comply with Article 52(4) of Directive 2009/65/EC or requirements as set out in Article 129(4) or (5) of the Regulation, the 85% of RSF factor could be applied to all assets encumbered for a residual maturity of over one year in a cover pool funded by covered bonds issued for funding directly to investors in the market, as well as also to those assets underlying the retained Covered bonds that are used as guarantee for long term ECB funding or Repo transactions. 

Date of submission:
16/07/2021
Status:
Question under review
Answer prepared by:
Answer prepared by the EBA.
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