Question ID
2022_6640
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Liquidity risk
Article
416
Paragraph
1
Subparagraph
(b)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Article/Paragraph
11(1)(e)(iii)
Type of submitter
Other
Subject matter
What day count convention is to be used to determine level 2 securities in Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii)
Question

What day count convention is to be used to determine level 2 securities, in the case of corporate debt securities, that have to comply with a maximum time of maturity at the time of issuance of 10 years ( according to Regulation (EU) 61/2015 (CDR), Art. 11 (1) (e) (iii) and Art.12 (1) (b) (iii))?

Background on the question

According to EBA Q&A 2014_1103, "In the absence of Regulation (EU) No 575/2013 (CRR) prescribing any day count convention, the actual exact number of days should be used when an institution needs to convert into days a specific number of weeks, months or years referenced in the CRR.". 

Given the example enclosed in the answer, the first and last day of a loan granted would count for the definition of the time period ("a loan granted on 1 January must have an original maturity date on or before 31 March of the same year in order to qualify for the 20% risk weight", so for 3 months or less).

By applying the same logic to a debt security issued on 30 March 2016 and maturing on 30 March 2026, the calculation would give a maturiry of 10 years plus 1 day at the issuance date and not the interest day count that would be 10 years.

 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to has been answered in Q&A 2014_1103.

Status
Rejected question