On 16 January 2024, the European Banking Authority (EBA) published a report on specific aspects of the net stable funding ratio (NSFR) framework.

The report has been prepared in accordance with the mandates set out in Article 510 (4), (6) and (9) of the Capital Requirements Regulation (CRR). These commit the EBA to evaluate the prudential treatment of several items under the NSFR framework: derivative contracts, securities financing transactions and unsecured transactions with a residual maturity of less than six months with financial customers and holding of securities to hedge derivative contracts.

The report leverages mostly on qualitative analysis based on expert judgement supplemented by some materiality and sensitivity analysis. The qualitative analysis did not reveal any reasons in support of the need to modify the prudential treatment currently envisaged for the items discussed. In addition, the quantitative analysis showed that variations to these treatments would have limited impacts. As regards the treatment of securities financing transactions and unsecured transactions with a residual maturity of less than six months with financial counterparties, the report recommends compliance with Basel standards after the phase-in period as envisaged in the CRR.