Pillar 3 disclosure on Net Stable Funding Ratio

How should NSFR LIQ2 table for Pillar 3 disclosure be compiled with respect to amounts reported in NSFR regulatory template C80 rows 0040, 0050 and 0060 for the non-HQLA part (i.e., 0010, 0020, 0030, respectively weighted by applicable weights reported in columns 0090, 0100, 0110). Those items seem to be not included in any of the weighted RSF items/components of LIQ2.

Net Stable Funding Ratio and its main components are part of Pillar3 disclosure as per Regulation (EU) No 575/2013 (CRR): data have to be published according to the scheme provided in the so-called LIQ2 Table.   According to EBA Mapping Tool, the item 33 “Total Required Stable Funding (RSF)” in LIQ2 table is required to be aligned to NSFR C 80.00 template, row 0010, column 0130.   At the same time, to ensure internal consistency within LIQ2 Table, the item 33 Total RSF is expected to be in line with the sum of the weighted amount (column e) of the following components: Item 15 “Total high-quality liquid assets (HQLA)”, Item 15a “Assets encumbered for a residual maturity of one year or more in a cover pool”, Item 16 “Deposits held at other financial institutions for operational purposes”, Item 17 “Performing loans and securities”, Item 25 “Interdependent assets”, Item 26 “Other Assets”, Item 32 Off-balance sheet items.   According to the current EBA mapping, the contribution of Non-HQLA Required Stable Funding from central bank assets in C 80.00 Rows 0040, 0050 and 0060 (unweighted amount in column 0010, 0020, 0030) is not taken in any of the RSF weighted components of the LIQ2 Table.   This leads to a different RSF value when comparing LIQ2 sum of all weighted RSF components (from item 15 to 32) to: total RSF of regulatory NSFR template, total RSF i.e., item 33 in LIQ2.   The mapping tool has been reviewed with a track change as of May 2022, but it still seems not to include the above mentioned non-HQLA weighted contribution.