2015_2377 Interaction between benchmarking and additional capital requirements under Article 458 of CRR

Question ID:

2015_2377

Legal Act:

Directive 2013/36/EU (CRD)

Topic:

Supervisory reporting - Supervisory Benchmarking

Article:

Paragraph:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

Article/Paragraph:

Annexes III and IV

Disclose name of institution / entity:

Yes

Name of institution / submitter:

KBC BANK

Country of incorporation / residence:

Belgium

Type of submitter:

Credit institution

Subject Matter:

Interaction between benchmarking and additional capital requirements under Article 458 of CRR

Question:

For the benchmarking exercise for credit risk, the ITS templates request banks to report risk parameters (such as PD, LGD) and capital requirements (RWA) for the low and high default portfolio. However for some portfolios in scope of these exercises NCAs can have imposed additional capital requirements for macroprudential or systemic risk at the level of the member state (Article 458 CRR). For instance, in Belgium the NCA has imposed a 5% additional risk weight add-on (for targeting asset bubbles in the residential property sector). These RWAs relate directly to exposure in scope of the benchmarking exercise (in this example HDP template C 103.00), but under supervisory reporting the resulting RWA is not reported in C 08.01 / C 08.02 but in C 02.00 as an OTHER RISK EXPOSURE AMOUNTS (row 1.8.2). It is unclear whether additional capital requirements under Article 458 CRR, when specifically linked to a portfolio in scope of the ITS on benchmarking, should or should not be included in our submission of benchmarking templates.

Background on the question:

Interaction between benchmarking ITS templates and additional capital requirements under Article 458 CRR

Date of submission:

07/10/2015

Published as Final Q&A:

24/03/2017

Final Answer:

The design of all templates of all Annexes of Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) creates an alignment to the Common Reporting (CoRep) as defined in Regulation (EU) No 680/2014 (ITS on Supervisory Reporting).

The initial objective is a comparison of internal approaches.

Therefore, additional capital requirements under Article 458 of Regulation (EU) No 575/2013 (CRR) should not be included in the data provides in the templates of ITS on Supervisory Benchmarking.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.

Note to Q&A:

Update 26.03.2021: This Q&A has been reviewed in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking and continues to be relevant.