Question ID:

2021_5702

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - Liquidity (LCR, NSFR, AMM)

Article:

Article 415

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Draft ITS on Supervisory Reporting of Institutions

Article/Paragraph:

Annex 13 (NSFR)

Disclose name of institution/entity:

Yes

Name of institution/submitter:

Wolters Kluwer

Country of incorporation/residence:

Ireland

Type of submitter:

Other

Subject Matter:

DPM v3.0 NSFR Derivatives

Question:

Should only derivatives with a residual maturity < 6 be reported on NSFR templates?

Background on the question:

According to the Annotated Table Layout 300-P1-COREP 3.0 C 80.00.b, C 80.00.y, C 81.00.b, C 81.00.y there is a column level condition in col 0010 (TI:x214) < 6 months however according to Article 428d derivatives should be considered on a net basis and there is no requirement to only consider derivatives with a residual maturity < 6 months. Columns 0020 and 0030 are greyed out in these templates for derivatives.