EBA · 2016_2999 Final Q&A

Collateral value

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2016-11-17
Answered
2017-03-24
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Please confirm that the sum of all the collateral values of all the collateral types of all exposures of a given counterparty should be provided? Remark: this sum will be split between the types of risk where relevant according to the corresponding counterparty codes of the given counterparty.

Background

Another approach could be to provide the collateral value of the most important collateral type used for all the exposures of the considered counterparty

Answer

In column 120 of template C 101.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking), the sum of the collateral values for all collateral types attributable to the exposures to the respective counterparty shall be reported. Collateral values shall be split to match the split of exposures according to the classification criteria defined in Annex I of the ITS on Supervisory Benchmarking (e.g. split by type of risk).

Original source: European Banking Authority, Q&A ID 2016_2999

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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