Question
Should retained/own covered bonds that do not generate liabilities on the bank's balance sheet be reported in the Covered bond liabilities columns 0020-0140?
Background on the question
When retained covered bonds are written off the balance sheet, and are not used for any other financing operation (i.e. Own covered bonds issued and not yet pledged), there is no liability in the bank generated by the asset cover pool, and therefore it is not clear whether the covered bond liability should be reported in column 0020 and following ones up to 0140 by their respective notional and carrying amount. The 2017_3531 Q&A and ITS don’t clarify how to proceed in these specific situations. Nonetheless, at all events these retained/own covered bonds are reported in F32.03 at their fair value as requested.
Answer
In the case where retained covered bonds are written off the balance sheet according to the applicable accounting framework no liability is created by the asset cover pool. Consequently, such covered bonds should not be reported in columns 0020 to 0140 of template F35.00, which are intended for recorded liabilities arising from issuing covered bonds. However, in accordance with the reporting framework, these retained covered bonds must still be reported in F32.03 at their fair value, as stipulated in the applicable instructions.