How to report collateral type in the template C 102?
Reporting of collateral type in the template C 102.
According to the Draft ITS on 2019 portfolios in the supervisory benchmarking exercise (EBA-2018-ITS-04) published the last 2nd July 2018 in the Draft benchmarking package for 2019 exercise (end 2018 data), at Annex I template C 102 there are two types of collateral that was not in the annex I of last year (end 2017): Credit derivatives and Guarantees
All the collateral of Credit derivatives and guarantees were report in the previous exercise as “unfunded credit protection”.
In this exercise, these different collaterals were at the same level so we need to choose which ones to report to avoid creating duplication of information.
To be aligned with the COREP N08, the guarantees and credit derivatives belongs to a lower level than the unfunded credit protection.
In template C 102 of Annex I of the ITS on Supervisory Reporting for Institutions - for benchmarking the internal approaches (ITS on benchmarking) the collateralization type shall be reported as “Credit derivatives” or “Guarantees”, in accordance with columns 150 and 160 of template 8.1 of Annex I to Regulation (EU) No 680/2014. The option “unfunded credit protection” should be understood as “other unfunded credit protection”, and should be used for exposures subject to the double default treatment, i.e. for guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217(1) of Regulation (EU) No 575/2013, which is in line with column 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014. In addition, the Legal Reference in column 120 of C 102 of Annex II of the ITS on benchmarking should be changed to “Columns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 ”.
Please see also Q&A 2018_4093.