Given the current sector situation, as well as the frequency of disclosure on encumbered and unencumbered assets, we do not see any issue regarding potential detection of CB ELA and therefore no necessity to change (i.e. reduce or enlarge) the list of fields required for minimum disclosure.
In our opinion median values have no beneficial effect on the actual consumer of the disclosure. In addition commenting on median values might make the narrative part redundant, e.g. an effective and sustainable change in encumbrance will only materialize in the figures considerable time later. We propose to always use “as of” figures for all disclosure reports.
If median values shall be used we suggest the using of ‘median of the sums’ as a viable approach.
We see no benefit in incorporating a different measure of asset quality in the disclosure than in the regulatory reporting (CB-eligibility) especially if it could lead to a further restriction of eligible asset classes (e.g. non-marketable assets eligible as CB-collateral not HQLA). In our opinion the CB-eligibility is a sufficient measure of asset quality and is a valid approximation of general asset quality with regards to asset encumbrance considering both, the operational burden, as well as the lack of comparability connected to the other suggestions (i.e. internal rating, external rating etc.).
Yes we agree with all points.
In our opinion the annual disclosure fully meets the customer requirements and increasing the frequency would considerably increase the operational burden on fulfilling the qualitative requirements of the disclosure (i.e. quarterly/semi-annual review). Furthermore we do not see any added value to the customer from increasing the frequency of disclosing said part, as both structure of encumbrance and future development (i.e. strategy) are not subject to significant changes below one year.