Asset Encumbrance Pillar 3 Disclosure Report 2017

Size: px

Start display at page:

Download "Asset Encumbrance Pillar 3 Disclosure Report 2017"

Abigayle Kennedy
5 years ago
Views:

1 Asset Encumbrance Pillar 3 Disclosure Report 2017 U.K. entities June 2018 J.P. Morgan Bank Luxembourg

2 Table of Contents 1. INTRODUCTION... 2 BACKGROUND... 2 SCOPE DISCLOSURE ON ASSET ENCUMBRANCE... 3 J.P. MORGAN CAPITAL HOLDINGS LTD... 3 Template A Assets Template C - Encumbered / and associated liabilities J.P. MORGAN FINANCIAL INVESTMENTS LIMITED... 4 Template A - Assets Template C - Encumbered / and associated liabilities J.P. MORGAN MANSART MANAGEMENT LTD... 5 Template A - Assets Template C - Encumbered / and associated liabilities J.P. MORGAN ASSET MANAGEMENT INTERNATIONAL LTD... 6 Template A - Assets Template C - Encumbered / and associated liabilities

3 Pillar 3 Disclosure Report Introduction Background Article 443 of Regulation (EU) No 575/2013 ( CRR henceforward) identifies EBA guidelines on the disclosure of (EBA/GL/2014/03- published 27th June ) as the legal source of requirements for the publication of information on Asset Encumbrance by firms. This disclosure document has been produced in conjunction with those guidelines as well as in conjunction with the PRA Supervisory Statement 11/14 (published 19th Dec 2014) and FCA notes on the disclosure of and (published on the FCA website 2 ). The disclosure on of and its publication is made with respect to data for the reporting period, the year ending 31 December 2017, following the EBA guideline Title II, point 11: In accordance with Article 433 of the CRR, annual disclosure specified in these guidelines should be published in conjunction with the date of publication of the financial statements. This annual disclosure should be published no later than six months after the reference date of the financial statements. Scope These disclosures are made at the highest consolidated level of J.P. Morgan entities within the U.K. and include the following: J.P. Morgan Capital Holdings Limited ( JPMCHL ), the regulated subsidiaries of which are J.P. Morgan Securities plc. ( JPMS plc ), J.P. Morgan Europe Limited ( JPMEL ), J.P. Morgan Limited ( JPML ) and J.P. Morgan International Bank Limited ( JPMIB ); J.P. Morgan Financial Investments Limited ( JPMFIL ), the regulated subsidiary of which is J.P. Morgan Markets Limited ( JPMML ); J.P. Morgan Mansart Management Limited ( JPMMML ) which does not have a UK Parent entity; and J.P. Morgan Asset Management International Ltd. which is unregulated but contains the FCA regulated entity, J.P. Morgan Trustee and Administrative Services Ltd., and has therefore been included accordingly

4 2. Disclosure on Asset Encumbrance J.P. Morgan Capital Holdings Ltd Template A Assets 010 Assets of the reporting institution 110, , Equity instruments 31,951 31,951 13,464 13, Debt securities 34,568 34,568 27,206 27, Other ,383 ` 130 Collateral received by the reporting institution 294, , Equity instruments 60,390 8, Debt securities 233, , Other Own debt other than own covered bonds or ABSs 0 0 Template C - Encumbered / and associated liabilities ABSs 010 selected financial liabilities 257, ,128 The above disclosure represents the computed median values of the four quarters between 31 December 2016 and 31 December 2017, in accordance with the European Banking Authority Guidelines EBA/GL/2014/03 on the disclosure of and. Assets and collateral have been with a manner consistent with the European Capital Requirements Regulation (CRR). Assets are considered when they have been pledged or used to secure, collateralise or credit enhance a transaction which impacts their transferability and free use. Asset for JP Morgan Chase Holdings Ltd is almost wholly driven by the subsidiary JP Morgan Securities Plc (JPMS Plc). JPMS plc, like all broker dealers, naturally has a relatively high level of AE given its business model i.e. to finance long inventory, run matched books and pledge collateral in line with the contractual and regulatory derivative requirements. The principal unsecured creditors of the entity are intercompany affiliates, principally JPMCB via its branch network, with a significant proportion of funding on a term basis. Further, JPMS plc holds a pool of highly liquid for liquidity purposes, in addition to the business that finance on an unsecured basis. Based on the UK GAAP balance sheet, the median for JPMCHL was $110.8bn, primarily related to firm financing of trading and other securities, cash collateral and secured financing activities. The ratio of JPMCHL s and collateral over 2017 ranged from approximately 37.9% to 41.4%. This level of has been maintained going into 2018.

5 J.P. Morgan Financial Investments Limited Template A - Assets 010 Assets of the reporting institution 4 4, Equity instruments Debt securities Other - 4, Collateral received by the reporting institution 4 3, Equity instruments Debt securities 4 3, Other Own debt other than own covered bonds or ABSs - - Template C - Encumbered / and associated liabilities ABSs 010 selected financial liabilities - - The above disclosure for JP Morgan Financial Investments Ltd (JPMFIL) represents the computed median values of the four quarters between 31 December 2016 and 31 December 2017, in accordance with the European Banking Authority Guidelines EBA/GL/2014/03 on the disclosure of and. Assets and collateral have been with a manner consistent with the European Capital Requirements Regulation (CRR). Assets are considered when they have been pledged or used to secure, collateralise or credit enhance a transaction which impacts their transferability and free use. JPMFIL is almost wholly made up of JP Morgan Markets Ltd and there is very little asset within this entity. On balance sheet, cash collateral given by the entity is, however the balance is immaterial. The collateral of $4m is an internal application to ensure three months operating expenses at 150% are provided for. This level of has been maintained and no further sources of are expected going forward.

6 J.P. Morgan Mansart Management Ltd Template A - Assets 010 Assets of the reporting institution Equity instruments Debt securities Other Collateral received by the reporting institution Equity instruments Debt securities Other Own debt other than own covered bonds or ABSs - - Template C - Encumbered / and associated liabilities ABSs 010 selected financial liabilities - - The above disclosure for J.P. Morgan Mansart Management Ltd represents the computed median values of the four quarters between 31 December 2016 and 31 December 2017, in accordance with the European Banking Authority Guidelines EBA/GL/2014/03 on the disclosure of and. Assets and collateral have been with a manner consistent with the European Capital Requirements Regulation (CRR). Assets are considered when they have been pledged or used to secure, collateralise or credit enhance a transaction which impacts their transferability and free use. This entity has no to report.

7 J.P. Morgan Asset Management International Ltd Template A - Assets 010 Assets of the reporting institution 14 3, Equity instruments Debt securities Other 14 1, Collateral received by the reporting institution Equity instruments Debt securities Other Own debt other than own covered bonds or ABSs - - Template C - Encumbered / and associated liabilities ABSs 010 selected financial liabilities 4 11 The above disclosure represents the computed median values of the four quarters between 31 December 2016 and 31 December 2017, in accordance with the European Banking Authority Guidelines EBA/GL/2014/03 on the disclosure of and. Asset for JPMorgan Asset Management International Limited (JPMAMIL) is almost wholly driven by the subsidiary JPMorgan Asset Management Holdings (UK) Limited whose source of is derivative activity. The use of asset has been relatively stable over time with types of remaining consistent. All collateral has been placed with affiliate entities outside the JPMAMIL regulatory consolidation group. The other balance is not considered. Assets and collateral have been determined as consistent with the definition provided in the EBA Guidelines on the Disclosure of Encumbered (EBA GL/2014/03). Assets are considered when they have been pledged or used to secure, collateralise or credit enhance a transaction which impacts their transferability and free use. The JPMAMIL group primarily adopts standard collateral agreements and collateralises at appropriate levels based on industry standard contractual agreements. Transactions are not generally overcollateralised.

EBA consultation paper: draft RTS on disclosure of encumbered and unencumbered assets under Article 443 of the CRR

EBA consultation paper: draft RTS on disclosure of encumbered and unencumbered assets under Article 443 of the CRR EBA public hearing event, 1 June 2016 Draft RTS on disclosure of encumbered and unencumbered