Annex I, template C103, Column 030: When 'not applicable' is stated for geographical location,should we report the aggregate of the 24 countries listed or the aggregate of the bank's worldwide portfolio?
Annex I, template C103, Column 030 lists 24 countries and 4 portfolios with geographical area 'not applicable'. In accordance Q&A 2015_2291, a driver with value 'not applicable' is not used for segmentation and all the requested information has to be provided regardless of the country of residence. We would be grateful if EBA could clarify the geographical scope of the benchmark portfolios when the geographical area of column 30 is not a driver for segmentation.
Referring to c050 of templates C 102.00 and
c030 of templateC 103.00 of Annex I of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking), where the geographical area is not a driver for segmentation, the geographical scope of the respective benchmark portfolio should be understood to be worldwide.
It should be noted that there are several differences with the definitions used in the context of the Common Reporting (CoRep) as defined in Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), in particular with the templates C09. In particular:
• For the ‘Retail – SME - secured by real estate’ and ‘Retail – Non-SME - secured by real estate’ portfolios, exposures shall be split into parts based on the location of the collateral
• No materiality threshold are applicable in the context of the supervisory benchmarking
DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.
Update 26.03.2021: This Q&A has been updated in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.