EBA · 2023_6783 Rejected question

C_81.00 ASF from capital items and instruments - Tier 2

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
428i, para. III
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Individual
Submitted
2023-04-20

Question

It is written in article 428i (CRR2) that 'the amount of available stable funding shall be calculated by multiplying  the accounting value of various categories or types of liabilities and own funds by the available stable funding factors'. Concrete example: please give us the answer If credit institution has on balance sheet under Liabilities : (residual maturity for part of debt securities is more than 1 year and less than 5 years (2 000 000 eur) and other part has residual maturity more than 5 years) 1. Debt securities issued - 10 200 00 eur           1.1 Debt certificates - 10 000 000 eur           1.2 Interests payables on debt certificates - 200 000 eur   What amounts should be reported on NSFR C81.00 on row 0050, column 0030 - should it be 10 200 000 euros? Or amount is without interest - 10 000 000 euros? Or should it be equal to C01.00 row 0771 (where amortization is used for those debt securities that have residual maturity less than 5 years)? Also checked th Question: 2021_6016 - it does not give the aswer about the interests payables - should they be included or not?

Background

It seems that from the article 428i the value what should be reported in C81.00 row 0050 = 10 200 000 euros (total amount of debt securities).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6783

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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