EBA欧洲银行-Final-draft-RTS-on-Encumbered-and-Unencumbered-Assets-28EBA-RTS-2017-0329_50页_619kb

EBA Draft Regulatory Technical Standards on Asset Encumbrance Disclosure

Core Content

The European Banking Authority (EBA) has developed draft Regulatory Technical Standards (RTS) under Article 443 of the Capital Requirements Regulation (CRR) to enhance transparency and harmonisation of asset encumbrance disclosures across the European Union. These RTS are aligned with the ESRB Recommendation ESRB/2012/2 and the EBA Disclosure Guidelines issued in 2014.

Main Points

• Purpose: To provide comprehensive, harmonised, and transparent information on encumbered and unencumbered assets, enabling market participants to compare institutions and understand their liquidity and solvency profiles.
• Scope: The RTS cover both encumbered and unencumbered assets, including collateral received, liabilities associated with encumbered assets, and off-balance-sheet items.
• Disclosure Templates: Three quantitative templates (A, B, and C) and one narrative template (D) are included to ensure structured and consistent reporting.
• Key Information Required:
  • Template A: Encumbered and unencumbered assets by broad asset type, with unencumbered assets broken down by asset quality (EHQLA and HQLA).
  • Template B: Collateral received by product type.
  • Template C: Carrying amount of encumbered assets and collateral received, along with associated liabilities.
  • Template D: Narrative information on the importance of encumbrance in the institution's funding model.
• Implementation: The RTS follow a gradual approach, enhancing the existing disclosure requirements introduced by the EBA Disclosure Guidelines in 2014.
• Alignment with IFRS and Directive: The RTS are consistent with IFRS 7, IFRS 12, and Council Directive 86/635/EEC but are not a substitute for them. They are specifically designed for the CRR disclosure framework.
• EDTF Consideration: The RTS incorporate elements of the Enhanced Disclosure Task Force (EDTF) recommendations, while addressing the need to avoid inadvertent disclosure of central bank emergency liquidity support.
• Flexibility: The templates allow for additional breakdowns based on the institution's business model, enhancing the usefulness of qualitative disclosures.

Key Information

• Definition of Encumbrance: An asset is considered encumbered if it has been pledged or is subject to any arrangement to secure, collateralise, or credit enhance a transaction from which it cannot be freely withdrawn.
• Enhanced Granularity: The RTS require more detailed breakdowns of encumbered and unencumbered assets by asset class and quality.
• Narrative Disclosure: Institutions must provide narrative information to explain the role of asset encumbrance in their funding strategies.
• Consistency with Supervisory Reporting: The RTS reuse common definitions and formats from supervisory reporting to reduce implementation costs and improve comparability.
• Materiality Principle: The principle of materiality from the CRR is applied to ensure proportionality in disclosure requirements.

Next Steps

• The draft RTS are submitted to the European Commission for endorsement.
• The RTS aim to create a level playing field and improve the quality and consistency of disclosures across EU institutions.

Additional Features

• Central Bank Funding: The RTS ensure that the level and evolution of encumbrance to central banks, and liquidity assistance provided by them, cannot be easily detected.
• Business Model Specificity: The RTS take into account the varying business models of institutions and allow for flexibility in disclosure.
• Compliance: Institutions are required to comply with these RTS in addition to their existing accounting and regulatory disclosure obligations.

Conclusion

The EBA's draft RTS on asset encumbrance represent a significant step towards achieving comprehensive and harmonised transparency in the EU banking sector. They build on previous regulatory and accounting frameworks, incorporate recommendations from the ESRB and EDTF, and aim to improve the comparability and usefulness of asset encumbrance data for market participants and supervisors.