QA2018-92 - Secured liabilities T04.00

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Feb 01, 2024
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QA2018-92

Question


c150/c170: Referring to secured liabilities (reported in r120), could you please explain, why detailed information like a 'pro rate application of an overall coverage ratio' or the 'indication if structured or not' is necessary? Secured liabilities are already excluded from bail-in. And in case of a shortfall (collateral less than liability), the uncovered amount has to be reported separatly. If necessary, information according to asset encumbrance could be taken from the official asset encumbrance reporting.


Response


Detailed information is required because the possible application of a possible bail-in depends on it. Indeed, while secured liabilities are excluded from bail-in, this holds true for the collateralized part only, so that the uncollateralized part is relevant for application of the bail-in tool. The separate reporting in T01.00 has to be reconciled with the detailed tabs, hence, the detailed tabs need also to distinguish between the collateralized and uncollateralized parts of a single liability. Asset encumbrance reports do not provide the required level of detail.