Question ID:
2014_1156
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Asset Encumbrance
Article:
99
Paragraph:
n/a
Subparagraph:
n/a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex XVI - F34.00
Disclose name of institution / entity:
Yes
Name of institution / submitter:
British Bankers’ Association
Country of incorporation / residence:
UK
Type of submitter:
Industry association
Subject Matter:
30% shock - template Part C-34.00-AE-CONT 120-020.
Question:

30% shock - template Part C-34.00-AE-CONT 120-020 - regarding Funding for Lending (FLS) pools, we have made an assumption that a 30% shock is applied to the Bank of England Fair Value amount, is this correct?

Background on the question:

Instead of using internal valuations under IFRS 13 we are using BoE provided Fair Values for FLS pools and applying the 30% shock to these.

Date of submission:
07/05/2014
Published as Final Q&A:
04/06/2021
EBA Answer:

The whole reporting framework of asset encumbrance (Annexes XVI and XVII to Regulation (EU) No 680/2014 – ITS on Supervisory Reporting) is based on FINREP definitions and concepts, which is, at the same time, based on IFRS. On these grounds, the determination of fair value of those encumbered assets subject to the 30% shocked shall be based on the relevant provisions by IFRS.
To the extent that fair value amounts within the FLS pools comply with the provisions in IFRS, and more in particular with IFRS 13 (in terms of transactions, market participants, price,…) on the determination of fair values, reporting institutions can use these amounts for the reporting of contingent encumbrance in template F 34.00 of Annex XVI to the ITS on Supervisory Reporting.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Image CAPTCHA