Question
Further to the publication of the P3DH Framework, we would like to clarify the expectation around the periodic data to be disclosed within the Disclosure Period, relating to the NSFR LIQ2 template. As part of the Taxonomy 4.1 Release and the publication of the associated 'Annotated Tables', it is apparent that firms will be required to disclose 4-quarters worth of data, so 'T', 'T-1', 'T-2' and 'T-3'. At present, it is apparent that firms across the EU have interpreted the CRR in different ways when reviewing their Pillar 3 Disclosures for this template. For example, for year-end related disclosures we are observing a combination of : a) a 'spot' year-end position; b) a year-on-year comparison or c) a quarter-on-quarter comparison across Financial Institutions. The CRR guidance states the following: 3. Institutions shall disclose the following information in relation to their net stable funding ratio as calculated in accordance with Title IV of Part Six: (a) quarter-end figures of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period; We take this to mean the 'quarter-end' periods within the current disclosure year, rather than a 'rolling' quarter-end view. Note that when we refer to a 'rolling' quarter view, for example when disclosing at HY (half-year) 2024, this would include Q3 and Q4 from 2023, together with Q1 and Q2 from 2024.
Background on the question
Differing interpretation across industry in terms of requirements.
Answer
In accordance with Article 451a(3)(a) of Regulation (EU) No 575/2013 (CRR), institutions shall disclose the quarter-end figures of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period. This means that the 'quarter-end' figures within the current disclosure year, rather than 'rolling' quarter-end figures, shall be disclosed. In particular, considering a large institution that disclose semi-annually the template EU LIQ2, the following information should be required to disclose: For half-year disclosures, two data templates representing the first (Q1) and the second quarter (Q2) of the current disclosure year; For full-year disclosures, fours data templates representing the first (Q1), the second (Q2), the third (Q3) and the quarter (Q4) of the current disclosure year.