EBA · 2022_6515 Final Q&A

Maturity reporting for Pillar 3 ESG risks disclosure, Template 1 and 5

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
449a
Topic
Transparency and Pillar 3
Submitted by
Credit institution
Submitted
2022-07-13
Answered
2022-11-25
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How should we treat products without stated maturity (such as on demand, equity, perpetual loans) in the maturity buckets and in the average weighted maturity computation? E.g. perpetual loans will probably end up in the >20 years bucket, but which year should we use for the computation of the average weighted maturity? Or Equity holdings are mentioned in the instructions, but it's not clear in which maturity bucket we should report them and which year to use for the computation of the average weighted maturity.

Background

We are asked to report on remaining maturity and on the average weighted maturity of products, under the ITS on prudential disclosures on ESG risks.  The template is not aligned with other reporting (e.g. FINREP) and the guidance for the products without a stated maturity is not clear enough. More guidance from the EBA is asked in order to report this template is a way which can be comparable among banks.

Answer

The treatment of products without stated maturity ( e.g. equity) with regards to the maturity buckets is addressed in Template 1 chapter within ANNEX XL - Instructions for disclosure of ESG risks of Final draft implementing technical standards (EBA/ITS/2022/01) on prudential disclosures on ESG risks in accordance with Article 449a CRR , as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts: “ Where an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, or in the case of equity holdings, the amount of this exposure shall be disclosed in the largest maturity bucket ‘> 20 years. ” With regards to the computation of the weighted average maturity for products without stated maturity, the EBA encourages reporters to develop their methodology which takes into account both the current market practices and the specificities of the financial product and/or local normative framework.

Original source: European Banking Authority, Q&A ID 2022_6515

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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