- Question ID
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2022_6640
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Liquidity risk
- Article
-
416
- Paragraph
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1
- Subparagraph
-
(b)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
- Article/Paragraph
-
11(1)(e)(iii)
- Type of submitter
-
Other
- Subject matter
-
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)
- 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 on the question
-
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.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the matter it refers to has been answered in Q&A 2014_1103.
- Status
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Rejected question