The method proposed by the submitter to calculate the relevant losses to be reported in columns 010 and 030 of template C 15.00 of Annex VI of Regulation (EU) No. 680/2014 - ITS on Reporting is not correct.

The reference percentages of Art. 101 (1) (a) and (d) of Regulation (EU) No 575/2013 (CRR) do not represent risk weights but loan-to-value ratios. They are determined and applied in accordance with Part Three, Title II CRR.

Furthermore, in accordance with point 11 of Annex VII of the ITS, all exposures are reported in template C 15.00, ‘that are treated according to Part Three, Title II CRR, and where the collateral is used to reduce own funds requirements’ (i.e. defaulted and non-defaulted). If no loss occurred for an exposure to be reported in template C 15.00 according to point 11 of Annex VII, only column 050 is filled. Regarding the reporting of losses, Annex VII (points 5, 6, 12 and 13 amongst others) provides further guidance. Concerning the consideration of provisions, please also see Q&A 2014_961.

With regard to the question how losses shall be reported in C 15.00, it is clarified that the relevant losses shall not consider proceeds which stem from the unsecured part of an exposure in case the exposure is larger than the exposure value relevant for the loss reporting required by Article 101(1) CRR.

The reference point for the loss reporting in template C 15.00 is determined by Article 101(1) (c) or (f) CRR which limits the relevant exposure value to the part of the exposure treated as fully secured by the immovable property in accordance with Article 124 (1) CRR. Hence, the losses to be determined according to Article 101 (1) (a) and (b) or (c) and (d) CRR are only those stemming from the recognised immovable properties.

Consequently, overall losses shall be reported in column 030 of template C 15.00 when the exposure value at default (corresponding to the pledged amount of the market value [or the mortgage lending value, where relevant] of the collateral) exceeds the effective (or estimated) recoveries from liquidating the property after default was triggered.

The following example clarifies the explanations given:

Example specifications:

The reporting institution has two exposures secured by commercial property:

• Exposure A: exposure value (not in default, fully and completely secured) = 100
• Exposure B: exposure value (in default) = 65 (value at default)
  • market value (commercial property) = 60 (value at default)
  • pledged amount of market value of the collateral = 60
    • fully secured = 60
    • fully and completely secured = 30
    • unsecured = 5 (not relevant for reporting acc. to Art. 101 CRR,  amount of the exposure exceeding the pledged amount of market value of the collateral)
  • price obtained after recovery of the collateral = 25

Computations (reporting):

• Art. 101 (1) (d) CRR: Losses stemming from the part of the exposure secured by 50% of the market value (= 50% * pledged amount of market value of the collateral, “fully and completely secured”) = 30 – 25 = 5

Reporting: {C 15.00;r020;c010} = 5

• Art. 101 (1) (e) CRR: Overall losses stemming from the part of the exposure treated as fully secured according to Article 124 (1) CRR  = 60 – 25 = 35

Reporting: {C 15.00;r020;c030} = 35

• Art. 101 (1) (f) CRR: Sum of exposures treated as fully secured according to Article 124 (1) CRR (= pledged amount of market value of the collateral): 100 (exposure A) + 60 (exposure B) = 160

Reporting: {C 15.00;r020;c050} = 160