Question ID:
2022_6470
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Asset Encumbrance
Article:
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph:
Annex XVI, F 36.01 / F 36.02
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Andrea Turla
Country of incorporation / residence:
Italy
Type of submitter:
Individual
Subject Matter:
F 36 - Reporting of rows "Matching liabilities"
Question:

Q&A 682 suggests to follow a ‘quality’ criterion to split the liabilities amount in case of multiple different types of encumbered assets.

In our opinion, the meaning of ‘quality' is not clear, because multiple drivers can be used.

 

 

Background on the question:

The order of the columns of template F 13.01 could be a possible hierarchy criterion to follow, but it is not completely comparable with the columns of template F 36.01.

For example: In order to sort the assets in the ‘equity and debt securities’ category, we can follow different drivers: credit quality step (prudential approach) or first ‘debt securities’ and then ‘equity instruments’ (other specific approach based on the nature of counterparty)?

Date of submission:
31/05/2022
Published as Rejected Q&A
16/02/2023
Rationale for rejection:

This question has been rejected because the matter it refers to has been answered in Q&A 682.

Status:
Rejected question
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