EBA · 2015_2269 Final Q&A

F35.00 Covered Bonds reporting of over collaterization

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
100
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Credit institution
Submitted
2015-09-04
Answered
2019-10-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

In Rows 020 and 030, Columns 220-250, are UK banks required to complete these cells if over collateralisation is determined on a nominal basis as per UK covered bond regulations?  If so, how should over collateralization be translated into Present Value (what discount rate should be applied) or how should we determine the Asset Specific Value?

Background

For UK covered bonds, the committed over collateralisation (which drives encumbrance) is determined on a nominal basis (rather than Present Value or Asset Specific Value basis) as per the UK regulated covered bond regulations.

Answer

The instructions in Annex XVII to Regulation (EU) No 680/2014 (ITS on supervisory reporting) , for F35.00 c220 to 250,  state that the amounts of cover pool shall be reported, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (overcollateralization). For c220, instructions state that the amounts of overcollateralization compared with the minimum coverage required by the relevant statutory covered bond regime shall be reported. The amounts do not exclude the use nominal value for the cover pool amounts. The entity has to complete the cells for overcollateralization, it has to do so by respecting the instruction in c220: report the amounts of overcollateralization compared with the minimum coverage required by the relevant statutory covered bond regime.

Original source: European Banking Authority, Q&A ID 2015_2269

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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