The PRA has published Consultation Paper 10/17: Compliance with the EBA’s Guidelines on disclosure: Composition of collateral for exposures to counterparty credit risk (CP10/17).

CP10/17 is relevant to PRA-authorised institutions to which Part Eight of the Capital Requirements Regulation (CRR) applies (firms).

In CP10/17 the PRA sets out a proposal for the threshold for, and objective criteria to waive the requirement to disclose the template ‘EU CCR5-B – Composition of collateral for exposures to CCR’ (CCR5-B) of the European Banking Authority’s (EBA) Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 (the EBA Guidelines). The PRA also sets out in CP10/17 a proposal to remove Supervisory Statement 11/14: CRD IV: compliance with the EBA’s Guidelines on disclosure of encumbered and unencumbered assets (SS11/14), to align with new EBA regulatory technical standards (RTS).

The draft Supervisory Statement in the appendix to CP10/17 sets out a proposed waiver condition for the disclosure of CCR5-B, as well as the PRA’s expectations relating to firms’ monitoring of the waiver condition and discretion regarding disclosure. However, the draft Supervisory Statement is not intended to set the PRA’s expectations on meeting disclosure obligations, other than those covered by the EBA Guidelines.

The PRA presents four proposals in CP10/17:

  • the establishment of a quantitative threshold waiving disclosure of CCR5-B for firms when either collateral received or collateral posted is below the threshold;
  • the PRA’s expectation on the measure to be used to monitor compliance with the threshold;
  • the establishment of principles for firms to consider when determining whether to exercise discretions on disclosure, including the effectiveness of covert liquidity assistance and the benefits of the lag in disclosure of liquidity assistance; and
  • the removal of SS11/14 when the RTS comes into force following the current European Commission endorsement process.

The deadline for comments on CP10/17 is 21 August 2017.

View Compliance with the EBA’s Guidelines on disclosure: Composition of collateral for exposures to counterparty credit risk – CP10/17, 21 June 2017