EBA · 2019_4946 Final Q&A

Residual maturity of the source of encumbrance

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Annex XVII point 3.1., para. 21
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Credit institution
Submitted
2019-10-15
Answered
2021-04-30
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

What is the residual maturity of an ABS issued, the WAL or the FORD? For an encumbrance reason without maturity date, should we place it in the bucket Open Maturity or in the bucket 5yrs <= 10 yrs, as stated in Annex XXV, 1.1. 12 (e)

Background

E.g. We have a total of 350 assets encumbered: 100 are encumbered by TLTRO (collateralized central bank deposit) with a maturity date of 31/10/2020; 150 are encumbered by Covered bonds issued, 100 in a series with a maturity date of 31/12/2020 and 50 in a series with a maturity date of 30/06/2020; 50 are encumbered by ABS issued, with a FORD of 31/10/2021 and WAL of 4 years; and 50 are encumbered by another source, without maturity date. Should the split be: a) Open Maturity || >6mths <=1yr || >1yr <=2yrs || >2yrs <=3yrs 50 50 200 50 b) >6mths <=1yr || >1yr <=2yrs || 3yrs <=5yrs || 5yrs <=10yrs 50 200 50 50

Answer

According to 3.2.2 of Annex XVII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), assets on demand or without a specific maturity date have to be reported in the bucket “Open Maturity” (c010). Regarding the residual maturity of an ABS issued, assets with optionality should be reported on the basis of a conservative approach according to Part I, paragraph 12 of Annex XXIII, hence the relevant asset shall be assigned to the time bucket of the weighted average life considered in the legal contract.

Original source: European Banking Authority, Q&A ID 2019_4946

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.

Similar Q&As

Breakdown of exposures by residual maturity

Answered 2019-05-10

F 33.00 - MATURITY DATA (AE-MAT) - Maturity of the encumbered asset

Answered 2021-06-04

Annex 11: Underlying Exposures - ABCP - Residual maturity

Answered 2020-05-28

Assets which are not immediately available for monetisation in C 66.01

Answered 2024-12-13

Calculation of original and residual maturities in the context of ALMM (C 66.01) for puttable bonds

Answered 2018-03-02

More Q&As on this topic

Retained covered bonds not used for funding – F35.00

Answered 2025-06-27

Central bank eligibility of cash

Answered 2023-10-13

Should collateral received via securities financing transaction that is subsequently sold short be reported as encumbered in F32.02? Follow-up question on 2014_946 related to short positions in Asset Encumbrance

Answered 2023-10-06

Treatment of TIPS and IP in AE reporting

Answered 2023-04-28

Treatment of additional collateral on top of overcollateralization of Covered bond program

Answered 2023-04-28

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.