Could you please clarify the amounts which need to be reported in column 150-210 of template C08.01 for funded credit protection and where the institution uses its own LGD estimates? Is this the value which is used in the LGD estimation (taking into account article 181 (1) (e) and (f)) or is it solely the estimated market value (without any haircuts)?
Annex II, columns 150-210 of template C08.01 explains that collateral should be taken into account in the LGD estimates according to article 181 (1) points (e) and (f) of the CRR. According to article 181 (1) (e), the estimates shall not solely be based on the collateral’s estimated market value and should take into account the effect of potential inability of institutions to expeditiously gain control of their collateral and liquidate it. In columns 180-210 the amount that should be reported is the estimated market value.