Question ID
2024_7203
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
18
Type of submitter
Competent authority
Subject matter
Treatment of wholesale term deposits with early withdrawal penalty clauses for maturity ladder purposes
Question

How should wholesale term deposits be allocated in the available time buckets of c66.01, in case there is an early withdrawal penalty?

Background on the question

According to Reg. (EU) 2021/451 Annex XXIII par. 12 point (a), in order to apply a conservative approach in determining contractual maturities of flows, where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution. Point (e) in the same paragraph refers to the treatment of term deposits with a material penalty in case of early withdrawal, however the treatment provided applies only to retail term deposits. It is unclear therefore whether wholesale term deposits with material penalty clauses (as defined in Article 25(4) point (b) of Delegated Regulation (EU) 2015/61) should be reported in the maturity ladder according to their contractual maturity (i.e. taking into account the penalty) or according to the earliest date that the deposit can be withdrawn (i.e. disregarding the penalty).

Submission date
Final publishing date
Final answer

In accordance with paragraph 12, letters (a) and (b) of Annex XXIII of the EBA IT solutions applicable under Commission Implementing Regulation (EU) 2024/3117, where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution. Therefore, wholesale term deposit outflows should be reported in the time bucket corresponding to the early withdrawal option, regardless of any penalties. Penalties shall be considered in the outflows if they impact them.

Any options subject to the institution's discretion should be excluded from the treatment, except in cases where it is presumed to be exercised. To this regard, an option shall be presumed exercised where there is a market expectation that the institution will do so; in such cases outflows and inflows should be included in the relative time bucket”

Conversely, letter (e) of the same paragraph establishes an exception to this general framework, applicable exclusively to retail term deposits that fulfill point (b) of Article 25(4) of Delegated Regulation (EU) 2015/61.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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