Correct scope of clusters based on collateralisation status and collateral type

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.