Compliance with the EBA’s Guidelines on disclosure: Composition of collateral for exposures to counterparty credit risk

Consultation Paper 10/17

Update 22 October 2018

In CP10/17 the PRA proposed that Supervisory Statement (SS) 11/14 ‘CRD IV: compliance with the EBA's Guidelines on disclosure of encumbered and unencumbered assets’ would no longer apply to firms after the Regulatory Technical Standard (RTS) for disclosure of encumbered and unencumbered assets (EU) 2017/2295 came into effect. The PRA received no responses to this proposal. This RTS was published in the Official Journal of the European Union, and came into effect on Tuesday 2 January 2018. SS11/14 therefore ceased to apply to firms from Tuesday 2 January 2018.

Published on 21 June 2017

In this consultation paper (CP), the Prudential Regulation Authority (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’s) Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 (‘the EBA Guidelines’). This CP also sets out a proposal to remove Supervisory Statement (SS) 11/14 ‘CRD IV: compliance with the European Banking Authority’s Guidelines on disclosure of encumbered and unencumbered assets’, to align with new EBA Regulatory Technical Standards (RTS).

The draft SS in the Appendix sets out the 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. The SS is not intended to set the PRA’s expectations on meeting disclosure obligations, other than those covered by the EBA Guidelines.

This CP is relevant to PRA-authorised institutions to which Part Eight of the Capital Requirements Regulation (CRR) applies. It is directly relevant to firms within the scope of the EBA Guidelines, which include global systemically important institutions (G-SIIs), other systemically important institutions (O-SIIs) and any other institution that has been opted into the scope of the EBA Guidelines on the basis of a supervisory decision.

Summary of proposals

The PRA presents four proposals:

i) the establishment of a quantitative threshold waiving disclosure of CCR5-B for firms when either collateral received or collateral posted is below the threshold;

ii) the PRA’S expectation on the measure to be used to monitor compliance with the threshold;

iii) 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

iv) the removal of SS11/14 when the RTS comes into force following the current European Commission endorsement process.


By waiving this disclosure requirement, the PRA seeks to reduce the risk that firms’ compliance with the EBA Guidelines could enable the use or non-use of liquidity assistance to be deduced.


The implementation date of the EBA Guidelines is 31 December 2017. The proposed waiver applies to disclosures from this date.

This policy has been designed in the context of the current UK and EU regulatory framework. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework, including those arising once any new arrangements with the European Union take effect.

Responses and next steps

This consultation closed on Monday 21 August 2017.

PDFConsultation Paper 10/17