Question ID
2014_1491
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Asset Encumbrance
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
99
Type of submitter
Credit institution
Subject matter
Asset Encumbrance - Treatment of Intraday
Question

Where institutions hold surplus assets to manage intraday risk we would expect these assets should be reported as encumbered in AE-ASS and AE-COL (if security is held via reverse repo for example). In what line would the source encumbrance be reported on in the AE-SOU?

Background on the question

Encumbered assets and collateral in the AE-ASS and AE-COL respectively must reconcile to the source of encumbrance in the AE-SOU.

Submission date
Final publishing date
Final answer

According to the definition of asset encumbrance, provided in section 1.7 of the general instructions (Annex II) on reporting asset encumbrance: “an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralize or credit enhance any transaction from which it cannot be freely withdrawn”. For instance, regarding liquidity risk, the ITS states, in its summary of main issues and responses to the consultation and the EBA’s analysis, that liquid assets held in order to comply with the LCR are not deemed to be encumbered for Parts A, B, C and E. Similarly, surplus assets held by the reporting institution to manage intraday risk are not deemed, by that mere fact, to be encumbered; they should only categorized as encumbered if they fall within any of the cases covered by the above definition.

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

Disclaimer

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