Question ID
2015_2347
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex II
Name of institution / submitter
KBC BANK
Country of incorporation / residence
Belgium
Type of submitter
Credit institution
Subject matter
Correct scope of clusters based on collateralisation status and collateral type
Question

Both template C 102.00 (LDP) and template C 103.00 (HDP) include clusters based on collateralisation status and collateral type. Reference is made to c150-c210 columns of COREP template C 08.01. It remains however unclear how facilities should be treated which are only partially collateralized and/or for which there are several collateral types.

Assume a facility of 100, of which 20 secured by financial collateral, 30 by real estate collateral and 50 unsecured. We see many possibilities to report such a facility in the template, either by splitting the facility over various clusters, by reporting it in full in all concerned clusters or by combinations of these two approaches.

Example:

1) we could use a 'splitted' approach, so
    cluster unsecured  = 50,
    cluster secured      = 50,
                cluster secured financial collateral  = 20,
                cluster secured real estate              = 30
2) we could keep the facility intact and always report it in full, so
    cluster unsecured = 0,
    cluster secured     = 100,
                cluster secured financial collateral  = 100,
                cluster secured real estate              = 100
3) we could use a combination of the two with collateral status clusters determined 'in full' and collateral type cluster using a split approach, so
    cluster unsecured = 0,
    cluster secured     = 100,
                cluster secured financial collateral  = 20,
                cluster secured real estate              = 30
4)  ...?

Please elaborate further on the correct treatment.

Background on the question

See above, unclear reporting requirements w.r.t. facilities with hybrid collateralisation status

Submission date
Final answer

For the purposes of reporting templates C 102.00 respectively C 103.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking), where the portfolio definition incorporates a collateralisation status (i.e. where c110 of template C 102.00 respectively c090 of C 103.00 of Annex I is not defined as ‘not applicable’), exposures shall be split into parts according to their collateralisation status and, where required, collateral type (see c120 of template C 102.00 respectively c130 of template C 103.00).

This corresponds to case 1) in the example mentioned in the question.
For example, where Annex I of the ITS on Supervisory Benchmarking defines the collateralisation status of a portfolio as ‘Exposures with unfunded credit protection’, only those (parts of the) exposures that are fully secured by unfunded credit protection shall be reported. Analogously, only those (parts of the) exposures that are fully secured by collateral in the form of residential real estate shall be assigned to portfolios with the collateralisation status = ‘Exposures with funded credit protection’ and collateral type = ‘Other eligible collateral: Residential Real estate’.

The secured part of the exposure (respectively that part of the exposure which is secured by a specific type of collateral) is determined by the value of the collateral (respectively the value of that specific type of the collateral) after haircuts required in accordance with the provisions of Regulation (EU) No 575/2013 (CRR) and, where applicable, institutions’ internal guidelines.

Where the collateralisation status of a portfolio is different from “Not applicable”, the following information on that portfolio may be omitted if the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure:

  • LGD
    (c130 of C 102.00 respectively c130 of C 103.00 of Annex III)
  • Expected Loss / Expected Loss Amount
    (c150 of C 102.00 respectively c150 of C 103.00 of Annex III)
  • RWA
    (c170 of C 102.00 respectively c170 of C 103.00 of Annex III)
  • Loss rate latest year
    (c210 of C 103.00 of Annex III)
  • Loss rate past 5 years
    (c220 of C 103.00 of Annex III)

DISCLAIMER

The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.