In August, BaFin published new circulars on the quantitative liquidity standards of the CRR (Capital Requirements Regulation), which, in particular,

  • address the regulatory treatment of off-balance sheet products in the structural liquidity ratio (Net Stable Funding Ratio – NSFR or “simplified NSFR”) as well as
  • adjust the materiality criteria for annual reporting (Art. 23 of Delegated Regulation 2015/61).

The two circulars are relevant for all institutions to which Article 6 (2) CRR apply and which are classified as “Less Significant Institutions (LSIs)” pursuant to Article 6 (4) SSM Regulation, as well as for all institutions pursuant to Section [...]

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