Single Rulebook Q&A

Question ID: 2017_3379
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Supervisory reporting
Article: 99
Article/Paragraph : Annex V, Part 2, chapter 5, paragraph 41 (i)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
Type of submitter: Credit institution
Subject matter : Validations between F 13.01 and F 05.00

Are validation rules v1076_m, v1079_m, v1082_m and v1085_m correct and applicable in all cases?

Background on the question:

According to Final Q&A 2014_1141, ‘the amounts to be reported in templates F 05.00 and F 13.01 can be different. In the former, the carrying amount of loans shall be reported, while in the latter the amount of the collateral shall be reported, capped by the amount of the loan.’

Also according to the Final Q&A 2014_1309, ‘the sum of F 05.00, row 100 (‘of which: other collateralized loans’) to be equal to or more than the sum of F 13.01, row 010, column 030 to column 040 (‘other collateralised loans’). This excludes financial guarantees received reported in F 13.01, c050.’

According to Final Q&A 2013_685, if loans and advances are simultaneously secured by more than one type of collateral, for example secured by immovable property and other collateral, then: ‘F 05.00 Template requires a breakdown of loans and advances both by product and by type of counterparty. In this template, the entire amount of a given loan contract should be reported in the corresponding type (or types) of loans and advances and not been distributed among various types. The instructions for classifying loan contracts between the two types of collateralized loans (mortgage loans and other collateralized loans) say that mortgages loans include loans formally secured by immovable property independently of the loan/collateral ratio (Annex V. Part 2. Paragraph 41.(h) of the draft ITS on Supervisory reporting). Therefore, the entire amount of the contract should be reported in mortgage loans regardless whether the loan is over-collateralized, under-collateralized or the real estate collateral is complemented by other collateral. The purpose of F 05.00 Template is to collect the amount of all contracts that are formally mortgages.
(…) The instructions for F 13.01 Template explicitly contemplate the case of loans with simultaneously more than one type of collateral and indicate that the allocation amount of the various types should be based on the quality of the collateral (Annex V. Part 2. Paragraph 82 of the draft ITS on Supervisory reporting). (…)’.

It is our view that Q&A 2013_685 contradicts with Q&A 2014_1309.
According to the Q&A 2013_685, in the case where a loan is fully collateralized by part cash and part immovable property collateral, then in template F 13.01 the cash collateral (more liquid therefore of higher quality) will firstly be used / reported to secure the loan and afterwards the property collateral will be used / reported for collateralizing the remaining amount of the loan. Whereas in template3 F 05.00 the entire amount of the loan would be reported in row ‘Mortgage loans (loans collateralized by immovable property)’ due to the fact that the loan has property collateral.
However, in this case the loan will not be reported in F 05.00, row ‘Other collateralized loans’, because it is already reported in F 05.00 as a loan collateralized by immovable property (i.e. mortgage) and as per Annex V instructions Part 2, chapter 5, paragraph 41 (i) ‘’Other collateralized loans’ include loans formally backed by collateral, independently of their loan/collateral ratio (so-called ‘loan-to-value’), other than ‘Loans collateralised by immovable property’ […]’. Consequently, row ‘other collateralized loans’ of template F 05.00 will be less than ‘other collateralized loans’ of template F 13.01 (F 05.00 < F13.01) because the amount of the loan will NOT be reported in F 05.00 row ‘other collateralized loans’, whereas the amount of cash used will be reported in F 13.01, ‘other collateralized loans’.

We believe that based on the above example, the below validation rules cannot be true to all cases and should be deactivated:

v1076_m: sum({F 13.01, r010, (c030-040)}) <= sum({F 05.00, r100, (c020-060)})

v1079_m: sum({F 13.01, r020, (c030-040)}) <= {F 05.00, r100, c040}

v1082_m: sum({F 13.01, r030, (c030-040)}) <= {F 05.00, r100, c050}

v1085_m: sum({F 13.01, r040, (c030-040)}) <= {F 05.00, r100, c060}

Date of submission: 04/07/2017
Published as Final Q&A: 17/11/2017
EBA answer:

The instructions on template F 05.00 of Annexes III and IV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) for reporting loan by collateral type (row 090 ‘of which : mortgages loans (loans collateralized by immovable property’ or row 100 ‘of which : other collateralized loans’) are specified under paragraph 41 h of Part 2 of Annex V of the ITS on Supervisory Reporting:

Mortgage loans [Loans collateralized by immovable property]’ include loans formally secured by immovable property collateral independently of their loans/collateral ratio (commonly referred as ‘loan-to-value).

As clarified in Q&A 2013_685, the carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property collateral where they are secured by immovable property collateral regardless of whether they are also secured by other types of collateral.

Hence, when a loan is collateralized by immovable property, whether over or under collateralized or complemented by other collateral, it should always be entirely reported under row 090 of template F 05.00 as collateralized by immovable property.

The instructions on template F 13.01 for reporting collateral in case of multiple collateral for a given loan are provided under Annex V, Part 2, paragraph 82 of the ITS on Supervisory Reporting: ‘For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum collateral / guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best quality.’ In this regard, immovable property collateral shall be considered as being of better quality than any other type of collateral.

The instructions on F 05.00 and F 13.01 differ as far as the collateral breakdown is concerned as the latter require to split multiple collateral under template F 13.01 whereas the former require not to perform this split under template F 05.00.

While validation rules v1074_m, v1077_m, v1080_m and v1083_m for immovable property collateral will still hold under these circumstances, validation rules v1076_m, v1079_m, v1082_m and v1085_m for other collateral are not in line with these instructions and will be deactivated and deleted in the future.

Status: Final Q&A
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