Question ID:
2016_2866
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
Annex II, C08.01, r 010, c150-c210
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Clarification of the collateral amounts
Question:

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)?

Background on the question:

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.

Date of submission:
10/08/2016
Published as Final Q&A:
03/02/2017
Final Answer:
According to the instructions in Annex II of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), the amounts to be reported in column 150-210 of template C 08.01 of Annex I to the ITS on Supervisory Reporting must be the estimated market value of the collateral. 
 
Indeed, the instructions on column 150-210 of template C 08.01 require, that, where own estimates of LGD are used and with regard to funded credit protection, the collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of the CRR shall be reported. 
 
The reference to article 181 (1) (e) of Regulation (EU) No 575/2013 (CRR) is to indicate which factors should be taken into account to estimate LGD. In accordance with this article, LGD estimates shall take into consideration not only the collateral’s estimated market value, but also the effect of the potential inability of institutions to expeditiously gain control of the collateral and liquidate it.
Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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