Question ID
2015_2387
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex I and Annex II
Name of institution / submitter
KBC BANK
Country of incorporation / residence
Belgium
Type of submitter
Credit institution
Subject matter
Mortgages non-defaulted with unknown ILTV
Question

The 103 table of the High Default Portfolio benchmarking exercise contains portfolio IDs which for mortgages (non-SME, non-defaulted) are based on ILTV. No portfolio ID is foreseen for exposures with unknown ILTV. Are we correct to assume that mortgages without known ILTV should not be reported in any of the ILTV-based portfolios and thus that the sum of the exposure values of all ILTV-based portfolos should not equal the total exposure value of the portfolio ID containing all non-defaulted mortgages?

Background on the question

Limited number of mortgage contracts (<0.5%) in portfolio for which no ILTV is known.

Submission date
Final answer
The institution should compute the ILTV following the instruction of template C 103.00 of Annex II of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking). If the ILTV is unknown then the institution should use best efforts to compute it. The mortgages without known ILTV are not to be reported in any of the ILTV-based portfolios but should be reported in the other portfolios for "mortgage non-defaulted". If the total exposure value of the portfolio ID containing all non-defaulted mortgages is not equal to the sum of the exposure values of all ILTV-based portfolios, then the institution should report the reason for that to the competent authority upon request as stated in c160 of Annex II of ITS on 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.
Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.