EBA · 2022_6470 Rejected question

F 36 - Reporting of rows "Matching liabilities"

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Individual
Submitted
2022-05-31
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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

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)?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6470

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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