List of Q&As

Clarification of negative RWA--, Annex III, Benchmarking exercise

What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2019_4459| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 14/01/2019

Definition of numerator for loss rate

How should the numerator of the loss rate be computed when some credit adjustments are applied to the exposure before the default date.

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4293| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Definition of PD*/PD** for RWA*/RWA**

Regarding the treatment of continuous ratings, the former description of RWA*/** stated: "An institution using continuous PD shall first determine the PD* for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at obligor grade level." This paragraph has been deleted for RWA-/--/+/++. Shall the rating grade used for reporting requirements by the bank be used for the caclulation of p-/--/+/++?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4292| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Definition of RWA* and RWA**

The application portfolios of RWA-/--/+/++ are defined as follows in Annex IV: CORP_ALL_0086_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, MORT_ALL_0094_**_****_**_Rx0. However, in Annex I these portfolios exist with a suffix ALL, ONX, OFF und OTH only. Shall RWA-/--/+/++ be reported for all these portfolios?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4291| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 25/09/2018

Reporting of collateral type in the template C 102

How to report collateral type in the template C 102?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2018_4271| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 12/09/2018

Supervisory Formula Method - calculation of parameters

When using the Supervisory Formula Method, how do you calculate parameters T and L for a securitisation whose underlying assets are made of drawn and undrawn Revolving Credit Facilities?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4262| Topic: Securitisation and Covered Bonds| Date of submission: 11/09/2018

Reporting of RWA* and RWA** in Template C.103 of the Benchmarking exercise.

How to report metrics RWA* and RWA** in Template C.103 of the Benchmarking exercise?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2018_4092| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 10/07/2018

Impact of a profit and loss transfer agreement under German company law on the eligibility of CET1 instruments for subsidiaries having full discretion on contributing common equity tier 1 capital as defined in Article 26 of the CRR

According to Q&A 408, an agreement an institution has entered into with its 100% parent entity, pursuant to which the institution must transfer its profit for the period to the parent entity (and the parent entity must cover any losses) constitutes an obligation to distribute (mandatory distribution), which is not permitted under Article 28(1)(h)(v) of the CRR. Is the case different where the institution is free to decide to set aside reserves from profits generated, according to its own commercial judgement or discretion, hence avoiding a profit transfer?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3675| Topic: Own funds| Date of submission: 22/01/2018

Value for column c040 of template C 101.00 in case of counterparties with multiple ratings

How shall cells in column c040 in template C 101.00 be filled out in case of counterparties with multiple ratings?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3635| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 15/12/2017

CAP for synthetic securitisations of originator institutions in STD based on Article 252

In case of originator institutions using the standardised approach (STD) having synthetic securitisations, is the CAP applied to all the securitised positions or only on the ones where the risk is retained?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3610| Topic: Securitisation and Covered Bonds| Date of submission: 01/12/2017

Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253

How shall the weighted average risk weight of the securitised exposures for an unrated securitisation position in the standardised approach (STD) be calculated? Has the average to be weighted on EAD before the conversion factor (EAD_pre_ccf) or on EAD?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3609| Topic: Securitisation and Covered Bonds| Date of submission: 01/12/2017

The EAD to be reported if no IRB exposure exists

Within the general instructions of Annex IV it is explicitly mentioned that for portfolios, which are defined with a specific rating grade in Annex I, information on the PD shall be reported for the entire rating scale, even if no IRB exposure exists for the respective portfolio at the reporting reference date for each rating grade. In this case, the EAD shall be reported as zero and information on the other columns shall not be submitted. The definition of the EAD in template C 101.00 states in turn that the exposure value shall be left blank if the institution has no IRB exposure for a given counterparty. In our opinion these two specifications are contradictory. Please clarify, if the exposure should be left blank or should be reported as “0” if no IRB exposure exists for the given counterparty/portfolio.

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2017_3555| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 12/10/2017

Specialised Lending exposures

Could you confirm that Specialised lending exposures should not be reported in templates C 102.00 or C 103.00?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3429| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 31/07/2017

Revolving exposures

Could you confirm that ‘Retail - qualifying revolving’ exposures should not be reported in the template C 103.00?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3428| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 31/07/2017

Undrawn uncommitted credit lines

What do we understand with "Undrawn uncommitted credit lines"? Are uncommited credit lines in the scope of the benchmarking? What kind of products are we talking about that fall into this category of facilities - are we talking about internal lines that have not been communicated to the customer? Are these relevant for COREP and the supervisory benchmarking?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3221| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 10/03/2017

C 101.00 / C 102.00 – Calculation of exposure weighted CCF (c100)

Which exposure shall be taken into account for the calculation of the exposure weighted CCF?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2017_3216| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 08/03/2017

C 101.00 – Reporting of Rating (c040) - counterparties with multiple ratings

How shall the rating (column 040) be reported in template C 101.00, in case more than one rating applies to a certain counterparty?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)

ID: 2017_3215| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 08/03/2017

Eligible liabilities for the purpose of MREL

Can only eligible liabilities counting towards MREL be bailed in?

Legal act: Directive 2014/59/EU (BRRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3207| Topic: MREL| Date of submission: 07/03/2017

Supervisory Benchmarking Exercise, Annex II, C 102.00, Columns 150-170 - NACE code, type of exposure, size of exposure

How should we report NACE code / Type of Exposure / Size of Exposure in template C 102.00 of Annex I?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3194| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 28/02/2017

Supervisory Benchmarking Exercise, Annex II, C 102.00, Column 100 - Facilities

How should we classify exposures into the list of facility types provided in the templates?

Legal act: Directive 2013/36/EU (CRD)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)

ID: 2017_3192| Topic: Supervisory reporting - Supervisory Benchmarking| Date of submission: 28/02/2017