Question
For the fields 080, 120 (i.e. Collateralisation status, Collateral type) of Annex II, templates 102-103, all the type of collateral are required (i.e. Eligible financial collateral, Receivables, Real estate, Physical collateral, Other funded credit protection, Credit derivatives, Guarantees). In Annex IV, templates 102-103, for the field 120 (i.e. Collateral value) the instructions refer to “market value” only. Does this mean that Guarantees do not have to be considered? In this case why the legal reference does not refer only to the columns 180-210 of table 8.1?
Background on the question
Check on coherence between template's fields and COREP
Answer
In coherence with Annex II of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) all the type of collateral (including guarantees) have to be considered except the CRM techniques that have an impact on LGDs as a result of the application of the substitution effect. The market value to be reported is the collateral value as defined in Annex II, Template C 08.01, columns 150-210 of the Regulation (EU) No 680/2014 - ITS on Supervisory Reporting of institutions (ITS on reporting). 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, which may differ from the text of the draft ITS to which this Q&A relates.