According to CCR2 Article 427(1)(b), Institutions shall report as stable funding - additionally to all the items explicitly mentioned - also “(xii) any other liabilities”. To this regard, specific ASF factors are defined for all liabilities without a specific maturity (Art 428k(1)) and other liabilities with a residual maturity (i) of less than six months (Art. 428(k)(3)(d)), (ii) of a minimum of six months but less than one year (Art. 428(l)(d)), (iii) of one year or more (Art. 428(o)(e)).

Such approach is mirrored on the Asset side, in Article 428(1)(j), i.e. Institutions shall report as stable funding need - additionally to all the items explicitly mentioned - also “any other assets”. Specific Required Stable Funding Factors are specified as well for other assets with a residual maturity (i) of less than one year (Art 428(ad)(g)), (ii) of one year or more (Art. 428(ah)(1)(b)).

According to the decision trees of Annex XIII of ITS on supervisory reporting requirements for institutions under Regulation EU No 575/2013, any other liabilities not considered in other specific categories shall be reported in C 81.00 row 0430; the same applies for any other assets that shall be reported in C 80.00 row 1030.

Based on the abovementioned, all the items included in the perimeter of the IFRS FinRep Balance Sheet statement that cannot be allocated to specific rows of the NSFR templates have to be classified as Other Assets in C 80.00 row 1030 and Other Liabilities in C 81.00 row 0430, reported with their accounting value according to CRR2 Art. 428c(2).

Amongst those, IFRS FinRep Balance Sheet also includes “Fair value changes of the hedged items in portfolio hedge of interest rate risk”, reported with their carrying amount in FinRep 1.1, row 250 (Asset) and FinRep 1.2, row 160 (Liabilities). Such figures represent the accounting correction to the hedged portfolios (e.g. Mortgage loans) under Macro 

Hedging Strategy, depending on the evolution of the relevant derivatives: although related to the hedged items, they cannot be individually assigned.

Even if they are part of the FinRep Balance Sheet, it is unclear whether the items “Fair value changes of the hedged items in portfolio hedge of interest rate risk” must be considered as Other Assets or Other Liabilities in the NSFR framework. Indeed, their very nature seems not to be compatible with items requiring or providing stable funding, as they stem from a specific accounting correction, and their inclusion might create distortion on the ratio, also considering the asymmetry of RSF and ASF factors defined for C 80.00 row 1030 and C 81.00 row 0430.

Moreover, depending on market interest rate context, the “Fair value changes of the hedged items in portfolio hedge of interest rate risk” might be reported as negative correction in the Balance Sheet, reducing the value of the total Assets and Liabilities (allowed as per EBA Q&A 2014_1204). As a consequence, negative amounts could be also reported in the NSFR C 80.00 row 1030 and C 81.00 row 0430, breaching the validation rules v11601 and v11617 (Validation Rules introduced from December 2022 with Warning Severity).

It is worth mentioning that the derivative contracts used to implement the macro hedging strategy as well as potential initial or variation margins are included in the NSFR as per the Article 428(d), 428(k), 428(s) and 428(ah), regardless of their specific purposes (e.g. trading or hedging).