Question ID
2023_6880
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
F 32.01
Type of submitter
Competent authority
Subject matter
Reporting of liquid assets associated with the issuance of covered bonds
Question

Should the liquid assets, up to net outflows, held as part of the liquidity buffer in the cover portfolio associated with the issuance of covered bonds, be reported as unencumbered?

Background on the question

According to the Commission Implementing Regulation (EU) 2021/451, Annex XVII Instructions for reporting on asset encumbrance, point 2.1.3 Instructions concerning specific columns, specifically the instructions concerning column 060 Carrying amount of non-encumbered assets, the assets shall be considered unencumbered as per the encumbrance definition specified in point 11 of that annex.

The definition, which is closely linked to contractual conditions, mentions that assets pledged that are subject to any restrictions in withdrawal shall be considered encumbered. Within the non-exhaustive list of contracts that are well covered by the definition, the 7th example mentions that the assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds.

This exception does not cover the new situation introduced through Commission Delegated Regulation (EU) 2022/786, which amends Delegated Regulation (EU) 2015/61 and introduces paragraph 2a in article 7, which states that liquid assets that are held as part of the cover pool liquidity buffer shall be deemed to be unencumbered during the 30 calendar day stress period, up to the amount of net liquidity outflows which result from the associated covered bond programmes. Moreover, this new situation is not considered neither in the instructions concerning covered bonds from chapter 2.1.1. General remarks, paragraph 14, point (f) Covered bonds of Annex XVII.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question