Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Asset Encumbrance
Asset Encumbrance - Part E: Advanced data
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Annex XVI, F 36
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
F 36 - Reporting of rows "Matching liabilities".

In the tables F 36 of Asset Encumbrance - Advance data, it must be reported the cross between asset type and source of encumbrance type. For each crossing it must be reported the "encumbered assets" and the "matching liabilities". How must the amount of "matching liabilities" be shared out between the asset types (columns) if it has been collateralized by different type of assets?

Background on the question:

Example: Source of encumbrance="Over-the-counter derivative"; Matching liability=100um. Collaterals' value 110um: 1- Collateral type="Equity instrument"; Encumbered asset=60um. 2- Collateral type="Other assets"; Encumbered asset=50um. The overcollateralization is equal to 10um. The reported encumbrance assets will be 60um for Equity instruments (r050, c020) and 50um for other assets (r050, c170). The question is: How must the matching liability amount (100um) be divided between the Equity instruments (r050, c020) and other assets (r050, c170)?

Date of submission:
Published as Final Q&A:
Final Answer:

The criteria followed in FINREP to allocate different categories of collateral received to loans (see Paragraph 174 of Part 2 of Annex V) shall be applied.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.