The PRA has published Supervisory Statement 6/17: Compliance with the EBA’s Guidelines on disclosure (SS6/17).
Paragraph 122 of the European Banking Authority’s (EBA) guidelines on disclosure requirements under Part Eight of the Capital Requirements Regulation (CRR) allows Member State competent authorities to waive the requirement to disclose template ‘EU CCR5-B – Composition of Collateral for exposures to CRR’ (template CCR5-B) if disclosure of this template ‘would allow (now or in the future) for the recognition of liquidity assistance provided by central banks via collateral swaps’.
In SS6/17 the PRA sets out a waiver for the requirement to disclose template CCR5-B. It also sets out the PRA’s expectations in respect of certain aspects of firms’ compliance with the waiver.
The PRA waives the requirement to disclose template CCR5-B for firms where the fair value of collateral received or the fair value of collateral posted in the form of debt securities (as reported by the firm in accordance with Article 100 of the CRR) has not exceeded £100 billion.
The waiver threshold is based on the twelve month rolling arithmetic mean of the fair value of collateral received or posted by the firm in the form of debt securities. The PRA expects forms to calculate this using quarterly data, covering the twelve months immediately preceding the disclosure reference date. The quarterly data used should be calculated in a manner that is consistent with the data reported in accordance with Article 100 of the CRR.
View Compliance with the EBA’s Guidelines on disclosure – SS6/17, 27 September 2017