2023_6707 COREP v.3.2, C 08.01 | European Banking Authority

Question ID:

2023_6707

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - COREP (incl. IP Losses)

Article:

430

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions

Article/Paragraph:

Annex II

Disclose name of institution / entity:

Type of submitter:

Other

Subject Matter:

COREP v.3.2, C 08.01

Question:

Columns 150- 210 :CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

The addition of the following additional instructions “The reported collateral values shall be capped at the exposures value.”is not consistent with answer of FAQ 2017_3349 which specifies “The amount of collateral taken into account for a specific exposure does not have to be capped at the exposure value of the exposure in question.”

Should the amounts of collateral declared be capped at the value of the exposure?

Background on the question:

Following the clarifications provided by the EBA in FAQ 2017_3349, it seems to us that the clarifications provided are not consistent with the FAQ.

Date of submission:

30/01/2023

Published as Rejected Q&A

03/03/2023

Rationale for rejection:

This question has been rejected because the issue it deals with is already explained or addressed in section 3.3.3.1 of Annex 2 of Commission Implementing Regulation (EU) 2021/451. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status:

Rejected question