Circular 06/2022 (BA) – on the Stable Refinancing of Off-Balance Sheet Items under Articles 428p(10) and 428aq(10) of Regulation (EU) No 575/2013 as Amended by Delegated Regulation 2019/876

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on the stable refinancing of off-balance sheet items under Article 428p(10) and/or 428aq(10) of Regulation (EU) No 575/2013 as amended by Delegated Regulation 2019/876

Reference: BA 55-K 2103-2021/0001

August 1, 2022

1. Introduction

With this Circular, the Federal Financial Supervisory Authority (BaFin) specifies the supervisory approach regarding the exercise of the competent authority's option right under Article 428p(10) and/or 428aq(10) of Regulation (EU) No 575/2013 as amended by Delegated Regulation 2019/876 (Capital Requirements Regulation, CRR) and the corresponding provisions of Implementing Regulation 2021/451 (hereinafter 'IR 2021/451') in their respective applicable versions for off-balance sheet items not mentioned in Part 6, Title IV, Chapters 4 and 7 of the CRR within the structural liquidity ratio (Net Stable Funding Ratio - 'NSFR') and/or simplified structural liquidity ratio (simplified Net Stable Funding Ratio - 'sNSFR').

2. Applicability

This Circular applies to institutions subject to Article 6(4) of the CRR and classified as 'less significant institutions (LSI)' pursuant to Article 6(4) of the SSM Regulation. Furthermore, it also applies to all institutions treated as CRR credit institutions pursuant to Section 1a of the German Banking Act (KWG). The Circular applies both at the individual institution level and, provided that the exemption from applying liquidity requirements on an individual basis under Article 8 of the CRR is claimed, at the level of the corresponding liquidity sub-group, as well as on a consolidated basis.

3. Refinancing Requirements

Unless otherwise specified in this section, institutions apply a stable refinancing factor of 0% to the off-balance sheet items covered by Articles 428p(10) and/or 428aq(10) of the CRR. These items are therefore not included in the regular NSFR reporting under IR 2021/451.

If an institution reuses or re-pledges assets that it has borrowed without providing collateral in the context of off-balance sheet transactions, including unsecured securities lending, and does not recognize them on its balance sheet, these assets are classified as encumbered and reported under Article 428p(10) or Article 428aq(10) of the CRR, provided that the transaction under which the assets were borrowed cannot mature without the institution returning the borrowed assets.

As the calculation basis and as the unweighted amount to be reported in accordance with the supervisory reporting under IR 2021/451, the current market value of the borrowed and re-lent security is used.

The applicable RSF factor is derived from the difference between the RSF factor that would apply to the reused or re-lent assets under Article 428p(5) and/or Article 428aq(5) of the CRR if the assets had been borrowed in the context of on-balance sheet transactions, and the ASF factor that would apply to unsecured refinancing transactions with the relevant counterparty pursuant to Part 6, Title IV, Chapter 3 and/or Chapter 6 of the CRR.

The defined factors are reviewed at least once a year - in line with the supervisory notification to the EBA - and, if necessary, adjusted.

In supervisory reporting under IR 2021/451, only positions falling under Article 428p(10) and/or Article 428aq(10) of the CRR for which a positive RSF factor is defined in this Circular are to be considered. The unweighted amount shall be stated as the market value of the reused or re-pledged assets. When using reporting form C 80.00, reused or re-pledged assets with an RSF factor of 50% (applicable according to this Circular) are assigned to positions with maturities from six months up to less than one year, and assets with an RSF factor of 100% are assigned to positions with maturities of one year and longer. When using reporting form C 82.00, reused or re-pledged assets with an RSF factor of 50% are assigned to positions with maturities under one year, and assets with an RSF factor of 100% are assigned to positions with maturities of one year or longer.

This Circular enters into force upon publication and is to be applied as of the reporting date March 31, 2023.

On behalf of,
Güldner

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