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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XVI - F34.00
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.

Submission date
Final publishing date
Final 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.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.