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Commission Delegated Regulation (EU) 2017/2295Dangos y teitl llawn
Commission Delegated Regulation (EU) 2017/2295 of 4 September 2017 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for disclosure of encumbered and unencumbered assets (Text with EEA relevance)
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- 2017 No. 2295
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Changes over time for: Commission Delegated Regulation (EU) 2017/2295 (Annexes only)
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Commission Delegated Regulation (EU) 2017/2295 is up to date with all changes known to be in force on or before 07 September 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2017 No. 2295 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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- Regulation revoked by 2023 c. 29 Sch. 1 Pt. 1 3
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- Pt. 2 revoked by S.I. 2021/1078 reg. 13(2)(g) (This amendment not applied to legislation.gov.uk. The affected provision Pt. 2 (PRA) was modified by a non-legislative instrument (Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019) and is not present in the text of the retained EU legislation on legislation.gov.uk. Details of the non-legislative modifications can be found on the Bank of England’s website on the page entitled “The Bank of England’s amendments to financial services legislation under the European Union (Withdrawal) Act 2018”.)
ANNEX IU.K. Disclosure templates
Template A: Encumbered and unencumbered assetsU.K.
Template A — Encumbered and unencumbered assets
| Carrying amount of encumbered assets | Fair value of encumbered assets | Carrying amount of unencumbered assets | Fair value of unencumbered assets | ||||||
|---|---|---|---|---|---|---|---|---|---|
| of which notionally eligible EHQLA and HQLA | of which notionally eligible EHQLA and HQLA | of which EHQLA and HQLA | of which EHQLA and HQLA | ||||||
| 010 | 030 | 040 | 050 | 060 | 080 | 090 | 100 | ||
| 010 | Assets of the reporting institution | ||||||||
| 030 | Equity instruments | ||||||||
| 040 | Debt securities | ||||||||
| 050 | of which: covered bonds | ||||||||
| 060 | of which: asset-backed securities | ||||||||
| 070 | of which: issued by general governments | ||||||||
| 080 | of which: issued by financial corporations | ||||||||
| 090 | of which: issued by non-financial corporations | ||||||||
| 120 | Other assets | ||||||||
| 121 | of which: … | ||||||||
Template B: Collateral receivedU.K.
Template B — Collateral received
| Fair value of encumbered collateral received or own debt securities issued | Unencumbered | ||||
|---|---|---|---|---|---|
| Fair value of collateral received or own debt securities issued available for encumbrance | |||||
| of which notionally eligible EHQLA and HQLA | of which EHQLA and HQLA | ||||
| 010 | 030 | 040 | 060 | ||
| 130 | Collateral received by the reporting institution | ||||
| 140 | Loans on demand | ||||
| 150 | Equity instruments | ||||
| 160 | Debt securities | ||||
| 170 | of which: covered bonds | ||||
| 180 | of which: asset-backed securities | ||||
| 190 | of which: issued by general governments | ||||
| 200 | of which: issued by financial corporations | ||||
| 210 | of which: issued by non-financial corporations | ||||
| 220 | Loans and advances other than loans on demand | ||||
| 230 | Other collateral received | ||||
| 231 | of which: … | ||||
| 240 | Own debt securities issued other than own covered bonds or asset-backed securities | ||||
| 241 | Own covered bonds and asset-backed securities issued and not yet pledged | ||||
| 250 | TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED | ||||
Template C: Sources of encumbranceU.K.
Template C — Sources of encumbrance
| Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | ||
|---|---|---|---|
| 010 | 030 | ||
| 010 | Carrying amount of selected financial liabilities | ||
| 011 | of which: … | ||
Template D: Accompanying narrative informationU.K.
Template D — Accompanying narrative information U.K.
Narrative information on the impact of the business model on assets encumbrance and the importance of encumbrance to the institution's business model, which provides users with the context of the disclosures required in Template A to C.
ANNEX IIU.K. Instructions for completing the disclosure templates
1.Institutions shall disclose the items referred to in Tables 1 to 7 in the same manner as reported pursuant to Annex XVI to Commission Implementing Regulation (EU) No 680/2014, unless otherwise specifically provided in those tables.U.K.
The items referred to in point 1 shall be disclosed using median values. Median values shall be rolling quarterly medians over the previous 12 months and shall be determined by interpolation.
When disclosures take place on a consolidated basis, the applicable scope of consolidation shall be the scope of prudential consolidation as defined in Part One, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/2013.
Template A — Encumbered and unencumbered assets U.K.
Table 1: Instructions with regard to specific rows of Template AU.K.
Table 2: Instructions with regard to specific columns of Template AU.K.
Template B — Collateral received U.K.
Table 3: Instructions with regard to specific rows of Template BU.K.
Table 4: Instructions with regard to specific columns of Template BU.K.
Template C — Sources of encumbrance U.K.
Table 5: Instructions with regard to specific rows of Template CU.K.
Table 6: instructions with regard to specific columns of Template CU.K.
Template D — Accompanying narrative information U.K.
Table 7: Specific instructions with regard to Template DU.K.
Legal references and instructions U.K.
In order to complete Template D, institutions shall disclose the information referred to in points 1 and 2.
1.
General narrative information on asset encumbrance, including the following:
(a)
an explanation of any difference between the regulatory consolidation scope used for the purpose of the disclosures on asset encumbrance and the scope retained for the application of the liquidity requirements on a consolidated basis as defined in Part Two, Chapter 2 of Regulation (EU) No 575/2013, which is used to define (E)HQLA eligibility;
(b)
an explanation of any difference between, on the one hand, pledged and transferred assets in accordance with the applicable accounting frameworks and as applied by the institution and, on the other hand, encumbered assets and an indication of any difference of treatment of transactions, such as when some transactions are deemed to lead to pledge or transfer of assets but not to encumbrance of assets, or vice versa;
(c)
the exposure value used for the purposes of disclosure and an explanation of how median exposure values are derived.
2.
Narrative information relating to the impact of the institution's business model on its level of encumbrance and the importance of encumbrance on the institution's funding model, including the following:
(a)
the main sources and types of encumbrance, detailing, where applicable, encumbrance due to significant activities with derivatives, securities lending, repos, covered bonds issuance and securitisation;
(b)
the structure of encumbrance between entities within a group, and especially whether the encumbrance level of the consolidated group stems from particular entities and whether there is significant intragroup encumbrance;
(c)
information on over-collateralisation, especially regarding covered bonds and asset-backed securities, and the incidence of over-collateralisation on the levels of encumbrance;
(d)
additional information on encumbrance of assets, collateral and off-balance-sheet items and the sources of encumbrance by any significant currencies other than the reporting currency as referred to in Article 415(2) of Regulation (EU) No 575/2013;
(e)
a general description of the proportion of items included in column 060 ‘Carrying amount of unencumbered assets’ in Template A of Annex I that the institution would not deem available for encumbrance in the normal course of its business (e.g. intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables);
(f)
the amount of underlying assets and of cover pool assets of retained asset-backed securities and retained covered bonds, and whether those underlying and cover pool assets are encumbered or unencumbered, along with the amount of associated retained asset-backed securities and retained covered bonds;
(g)
where relevant for explaining the impact of the institution's business model on its level of encumbrance, details (including quantitative information if relevant) on each of the following:
(i)
the types and amounts of encumbered and unencumbered assets included in row 120 of Template A, where quantitative information shall be provided in row 121 of Template A;
(ii)
the amounts and types of encumbered assets and off-balance-sheet items included in row 010 of Template C that are not associated with any liabilities, where quantitative information shall be provided in row 011 of Template C.
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