Maximum amount of the collateral or guarantee that can be considered in F 13.01 and F 18.00

Background provided by the submitter · verbatim

For us is clearly understandable that for Template F 05.01, and related templates which are referred to Annex V Part II, paragraph 86 Market value of collateral (assessed by an independent external or internal appraiser) primarily should be used, because it is defined in ESRB Recommendation on closing real estate data gaps.

Annex V, Part II, paragraph 86:

Loans and advances shall be classified on the basis of the collateral received as follows:

(a) ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral;

(b) ‘Other collateralized loans’ shall include loans and advances formally secured by collateral, regardless of their loan/collateral ratio (commonly referred to as ‘loan-to-value’ (LTV) ratio) and the legal form of the collateral, other than ‘Loans collateralised by immovable property’. That collateral shall include pledges of securities, cash, and other collateral, regardless of the legal form of the collateral.

ESRB Recommendation:

The current loan-to-value ratio LTV-C = LC / VC

Where based on Annex IV of these Recommendation, for the purpose of the calculation, ‘VC’:

a) Reflects the changes in the value of ‘V’, as defined in Section 1(3), since the most recent valuation of the property. The current value of the property should be assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the property can be estimated using a granular real estate value index (e.g. based on transaction data). If such a real estate value index is also not available, a granular real estate price index can be used after application of a suitably chosen mark-down to account for the depreciation of the property. Any real estate value or price index should be sufficiently differentiated according to the geographical location of the property and the property type.

(b) Is adjusted for changes in the prior liens on the property.

(c) Is computed annually.

But for us is not clearly understandable which value should be used for F 13.01 and F 18.00?

Based on Annex V, Part II, paragraph 172 “In template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.”

Also based on Annex V, Part II, paragraph 239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

Could you please give your opinion shall we for F 13.01 and F 18.00:

Primarily use Market value of collateral as it is prescribed in ESRB Recommendation? or

Each Institute can have individual approach, where Internal collateral value (Market value of the assets reduced by a certain percentage => the “haircut”) also can be primarily used?

Rationale for rejection · verbatim

This question has been rejected because the issue it deals with is already addressed in in Part 2, Annex V, paragraph 119 of of Commission Implementing Regulation (EU) 2021/451 (definition of 'Maximum amount of the guarantee that can be considered').

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