In this supervisory statement (SS), the Prudential Regulation Authority (PRA) sets out a waiver for the requirement to disclose template ‘EU CCR5-B – Composition of Collateral for exposures to CCR’ (CCR5 B) in the European Banking Authority’s (EBA’s) Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 (the EBA Guidelines). It also sets out the PRA’s expectations in respect of certain aspects of firms’ compliance with the waiver.
The purpose of the SS is to help the PRA meet its primary objective of promoting the safety and soundness of firms. The ability of central banks to undertake liquidity assistance effectively, including the orderly disclosure of that assistance, is regarded as critical to financial stability. This SS 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.
This SS is relevant to firms to which Part Eight of the Capital Requirements Regulation (CRR) applies. Of these firms, it is directly relevant to firms within the scope of application of the full EBA Guidelines which is limited to global systemically important institutions (G-SIIs), other systemically important institutions (O-SIIs), and to any other institution opted into the EBA’s Guidelines on the basis of a supervisory decision.
Responses to Consultation Paper 10/17
On Wednesday 21 June 2016 the PRA published Consultation Paper 10/17 ‘Compliance with the EBA’s Guidelines on disclosure: Composition of collateral for exposures to counterparty credit risk’ which proposed a new supervisory statement (SS) of the same name. The PRA received no responses to its proposals, and is therefore publishing the final SS6/17 ‘Compliance with the EBA’s Guidelines on disclosure’ with no changes to the proposed policy. The Supervisory Statement further clarifies how the threshold should be calculated.