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Application provision

1.1 This Part applies to a CRR firm.



A firm must actively manage its asset encumbrance position.



For the purpose of 10.1 a firm must ensure that:

  1. (1) its risk management policies take into account:
    1. (a) the firm’s business model;
    2. (b) the countries in which it operates;
    3. (c) the specificities of the funding markets; and
    4. (d) the macroeconomic situation; and
  2. (2) its management body receives timely information on:
    1. (a) the current and expected level and types of asset encumbrance and related sources of encumbrance, such as secured funding or other transactions;
    2. (b) the amount, expected level and credit quality of unencumbered assets that are capable of being encumbered, specifying the volume of assets available for encumbrance; and
    3. (c) the expected amount, level and types of additional encumbrance that may result from stress scenarios.



For the purpose of this Chapter a firm must treat an asset as encumbered if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction.