Question ID:
2015_2269
Legal Act:
Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic:
Supervisory reporting
Article:
100
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex IV
Type of submitter:
Credit institution
Subject Matter:
F35.00 Covered Bonds reporting of over collaterization
Question:

In Rows 020 and 030, Columns 220-250, are UK banks required to complete these cells if over collateralisation is determined on a nominal basis as per UK covered bond regulations?  If so, how should over collateralization be translated into Present Value (what discount rate should be applied) or how should we determine the Asset Specific Value?

Background on the question:

For UK covered bonds, the committed over collateralisation (which drives encumbrance) is determined on a nominal basis (rather than Present Value or Asset Specific Value basis) as per the UK regulated covered bond regulations.

Date of submission:
04/09/2015
Published as Final Q&A:
04/10/2019
EBA Answer:

The instructions in Annex XVII to Regulation (EU) No 680/2014 (ITS on supervisory reporting) , for F35.00 c220 to 250,  state that the amounts of cover pool shall be reported, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (overcollateralization).

For c220, instructions state that the amounts of overcollateralization compared with the minimum coverage required by the relevant statutory covered bond regime shall be reported.

The amounts do not exclude the use nominal value for the cover pool amounts. The entity has to complete the cells for overcollateralization, it has to do so by respecting the instruction in c220: report the amounts of overcollateralization compared with the minimum coverage required by the relevant statutory covered bond regime. 

Status:
Final Q&A