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Breadcrumb

  1. Home
  2. Single Rulebook Q&A
  3. 2022_6334 NSFR - Reporting of certain committed facilities in C 80.00
Question ID
2022_6334
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
430
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
17
Type of submitter
Credit institution
Subject matter
NSFR - Reporting of certain committed facilities in C 80.00
Question

 

Should committed facilities (Annex XII, C 80.00, r1060), the residual contractual maturity of which is equal or longer than six months, but which can be drawn down at any time regardless of their (residual) contractual maturity, be reported in column 0010?

Background on the question

The provisions of Article 428q(1) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2) stipulate:

“1. Unless otherwise specified in this Chapter, institutions shall take into account the residual contractual maturity of their assets and off- balance-sheet transactions when determining the required stable funding factors to be applied to their assets and off-balance-sheet items under Section 2.”

However, it is important to note that the undrawn portion of committed credit and liquidity facilities pursuant to the delegated act referred to in Article 460(1) CRR shall be subject to a 5% required stable funding factor, irrespective of their residual contractual maturity, in accordance with Article 428s(1), point (c), of the CRR2.

Furthermore, it should be noted that EBA Q&A (ID) 2015_1994 clarifies that “All undrawn committed credit facilities that qualify as 'medium risk' or 'medium/low risk' under Annex I of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2) shall be reported in row 1320, column 110 (within three months) of template C 60.00 of Annex XII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended, since they can be drawn down at any time regardless of their contractual maturity."

Although this EBA Q&A refers to former NSFR templates that did provide for separately reporting undrawn committed credit facilities that qualify as ‘medium risk’ or ‘medium/low risk’ under Annex I, in accordance with Article 428.1 sub (k) CRR2, the same rationale may in fact apply for all committed facilities (to be reported in Annex XII, C80.00, r1060) that can be drawn down by the counterparty at any time regardless of their (residual) contractual maturity.

Therefore, the question arises if committed facilities (Annex XII, C80.00, r1060) for which the residual contractual maturity is equal or longer than six months, but which can be drawn down at any time regardless of their (residual) contractual maturity, should be reported in column 0010 (instead to determine the correct bucket (columns 0010-0030) for committed facilities (Annex XII, C 80.00, r1060), including for committed facilities which can be drawn down at any time regardless of their (residual) contractual maturity, as may be implied by the provisions of Article 428q(1) of the CRR2?

Submission date
10/01/2022
Rejected publishing date
25/01/2023
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Annex XIII, Part II, paragraphs (12) and (13), to Regulation (EU) 2021/451.

For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'

Status
Rejected question

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