EBA · 2022_6640 Rejected question

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)

Name: 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): EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 416, para. 1
Topic: Liquidity risk
Submitted by: Other
Submitted: 2022-11-25

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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

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.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6640

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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