EBA · 2014_1156 Final Q&A

30% shock - template Part C-34.00-AE-CONT 120-020.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99, para. n/a
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Industry association
Submitted
2014-05-07
Answered
2021-06-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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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

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.

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.

Original source: European Banking Authority, Q&A ID 2014_1156

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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