EBA欧洲银行-EBA-CP-2013-48-28Disclosure-of-asset-encumbrance29_19页_512kb

Summary of the Consultation Paper on Disclosure of Encumbered and Unencumbered Assets

Core Content

This Consultation Paper outlines the European Banking Authority's (EBA) draft guidelines for the disclosure of encumbered and unencumbered assets. The guidelines are intended to provide a transparent and harmonised framework for financial institutions across the European Union (EU) to report on their asset encumbrance practices, in line with the Capital Requirements Regulation (CRR) and the European Systemic Risk Board (ESRB) Recommendation ESRB/2012/2. The EBA aims to enhance market transparency and enable investors to better understand the liquidity and solvency profiles of financial institutions.

The guidelines are structured into three main templates (A, B, and C) and narrative information (Template D), with the objective of ensuring that disclosures are consistent, comparable, and meaningful. The EBA has also considered the recommendations of the Enhanced Disclosure Task Force (EDTF) and other regulatory and accounting frameworks, such as IFRS 7 and Council Directive 86/635, to build a comprehensive disclosure regime.

Main Points

• Mandate: The EBA is mandated by Article 443 of Regulation (EU) 575/2013 to develop guidelines on the disclosure of unencumbered assets, in line with the ESRB's Recommendation D on market transparency regarding asset encumbrance.

• Scope: The guidelines apply to financial institutions subject to asset encumbrance reporting under Article 100 of the CRR or to those required to comply with disclosure requirements in Part Eight of the CRR.

• Disclosure Templates:

  • Template A: Discloses the carrying amount of encumbered and unencumbered assets by asset type.
  • Template B: Discloses collateral received by asset type, excluding those that are recognised on the balance sheet.
  • Template C: Discloses the sources of asset encumbrance.
  • Template D: Provides narrative information on the importance of encumbrance in the institution's funding model.

• Key Principles:

  • Disclosures should be made using median values of at least quarterly data to avoid highlighting sporadic spikes in secured funding, which could lead to pro-cyclical effects.
  • The currency and units used for disclosure should align with those used in Part Eight of the CRR, unless additional information is required in a different currency.
  • Disclosures should be consolidated and reflect the scope of consolidation as per Regulation (EU) 575/2013.
  • Emergency liquidity assistance (ELA) provided by central banks should not be disclosed in Template B, as it is considered sensitive and could affect financial stability.

Key Information

• Objectives:

  • To provide a single disclosure framework that enables market participants to compare financial institutions across the EU.
  • To complement existing disclosure requirements, such as IFRS 7 and Council Directive 86/635, and to ensure harmonisation of information.

• Sensitivity Considerations:

  • The EBA recognises the sensitivity of the information on asset encumbrance, particularly regarding central bank support and ELA.
  • To protect financial stability, median values are proposed instead of "point in time" disclosures to prevent the exposure of covert liquidity support by central banks.
  • Disclosures on collateral swaps with central banks and ELA are excluded from Template B to avoid unnecessary market reaction.

• Implementation:

  • The guidelines are intended to be the first step in a broader disclosure framework.
  • They will be reviewed after one year, and more extensive disclosure guidelines are expected to be developed by 2016.
  • The EBA will transform these guidelines into binding technical standards by 2016.

• Consultation Process:

  • The EBA invites responses to the consultation, especially to the questions listed in section 5.2.
  • Comments should be clear, evidence-based, and address specific points in the guidelines.
  • The EBA will publish responses unless they are marked as confidential.

Key Questions for Consultation

1. Should the disclosure of encumbered and unencumbered assets, especially debt securities, be more granular, including details on sovereigns and covered bonds? How sensitive is this information?
2. Should the disclosure include information on the quality of assets? What would be a suitable indicator of asset quality? How sensitive is this information?
3. Could the disclosure required in Template A lead to the detection of the level and evolution of assets encumbered with a central bank? Given that disclosures are based on median values and have a maximum lag of 6 months, is this a concern?
4. Should the disclosure of the nominal amount of collateral received or own debt issued not available for encumbrance be requested? What is the relevance of this information for market participants, and how sensitive is it?
5. Should the granularity of Template B be adjusted, considering that collateral swaps with central banks are not disclosed? How sensitive is this information?
6. Is the information on sources of encumbrance in Template C too sensitive to be disclosed publicly? Should it be included in Template D instead as narrative information?
7. Should the information be disclosed as a point in time (e.g., as of 31 December 2014) instead of using median values? Why?

Conclusion

The EBA aims to develop a comprehensive and harmonised disclosure framework that improves transparency and comparability across the EU. The guidelines are designed to support the ESRB's Recommendation D and to complement existing regulatory and accounting standards. By using median values and structured templates, the EBA seeks to balance market transparency with the need for financial stability. The consultation process is an important step in refining these guidelines and ensuring that they meet the needs of market participants and regulatory bodies.