2013_675 Definition of collateral for Table F32.02 and clarification of table structure

Question ID:

2013_675

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - Asset Encumbrance

Article:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Draft ITS on Supervisory Reporting of Institutions

Article/Paragraph:

Annex XVII, Chapter 2.2

Disclose name of institution / entity:

Type of submitter:

Credit institution

Subject Matter:

Definition of collateral for Table F32.02 and clarification of table structure

Question:

Is it correct, that rows 140-230 of table F 32.02 refer to the type of collateral received (eg. Loans on demand received as a collateral, or equity instruments received as collateral) and not to the collateralized asset class? Does collateral include all kind of risk mitigation received (Guarantees, Mortgages, Securities, Equity Instruments)?

Background on the question:

For some collateral it may be difficult to provide a Fair Values, since it might be received, but no frequent market value can be observed. These instruments are usually not eligible for asset encumbrance transactions. Therefore some banks opted not to include these received collaterals (eg. Mortgages) in previous reporting exercises. But since chapter 2-2- of Annex XVII defines table F 32.02 as "All classes of collateral received" we would assume this does not exclude any collateral. Regarding personal guarantees: they are risk mitigating instruments, but are different from material collateral like securities or mortgages and cannot be used for asset encumbrance.

Date of submission:

19/12/2013

Published as Final Q&A:

30/04/2014

Final Answer:

F 32.02 template classifies the collateral received by the reporting entity by nature of the asset received as collateral. It is important to note that receiving this collateral shall not lead to its recognition in balance sheet, as it would then be reported in F 32.01 template. Collateral received is further broken down into that which has been re-used (encumbered) by the reporting entity and that which is not encumbered, be it because the reporting entity is contractually not entitled to re-use the collateral received or simply because it has been decided so.

All kind of collateral received, shall be reported in F 32.02 template. That means that mortgages received shall be reported but guarantees, among other alternative sources of credit mitigation techniques, shall not.

DISCLAIMER:

The present Q&A on Supervisory reporting is provisional. It will be reviewed after the respective Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the relevant draft ITS to which it relates.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.