We agree with the disclosures requirements in this RTS and with the fields in the Templates which are required to be disclosed.
We believe that using end of period values will provide easily understandable information to users and investors as those values could be matched with balance sheet figures. Using end of period values would meet the transparency criterion and would allow comparability across institutions.
As explained in point 2, we believe that the use of median values is not relevant for disclosure purposes, thus the “median of the sums” method should not be used in calculating a “Total” or “Sub-total” row.
We do not believe that using the EHQLA / HQLA metrics is the most appropriate indicator to determine the asset quality of the encumbered assets and unencumbered assets.
The objective to disclose encumbered and unencumbered assets quality is to provide information on the capacity of banks to maintain sufficient level of assets to secure funding and to cover their potential funding and collateral needs, whereas the information on EHQLA / HQLA aims to reflect the necessary level of eligible assets to meet the short-term liquidity needs within the liquidity framework.
Therefore, we believe that a breakdown by asset type and central bank eligibility is the most appropriate alternative metrics. This should concern every central bank, even for banks which do not have access to central bank refinancing facilities, because it remains a good measure of the liquidity of an asset.
Indeed, it will meet the objectives of assets encumbrance disclosures as it will provide information on funding and collateral needs by type of operation and on the capacity of banks to obtain funding from their central banks and thus, it will be more useful to users. It is also less burdensome to implement as required for supervisory reporting purposes and already available. Moreover, this metrics could give an indicator of the liquidity of loans, which could be eligible to central bank refinancing, when the HQLA eligibility concerns only securities.
In addition, using EHQLA and HQLA data collected for the liquidity framework purposes would not reduce costs of implementation as data related to EHQLA or HQLA for encumbered assets are not currently provided in the IT systems. Should the EHQLA / HQLA disclosures as asset quality of encumbered and unencumbered assets be maintained, it would imply further developments to collect the information and to automatize the data streams and it would require necessary longer time periods in order to implement the new disclosures.
Besides, the breakdown of encumbered and unencumbered assets for EHQLA and HQLA assets is not required in the ITS.
We agree with a general narrative information and description on asset encumbrance of the institution, but we believe that the model proposed in template D should be informative rather than prescriptive.
We agree that the proposed annual disclosure frequency meet the needs of users for transparency.