- Question ID
-
2017_3216
- 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
- Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
- Article/Paragraph
-
Templates C 101.00, C 102.00
- Name of institution / submitter
-
BaFin
- Country of incorporation / residence
-
Germany
- Type of submitter
-
Competent authority
- Subject matter
-
C 101.00 / C 102.00 – Calculation of exposure weighted CCF (c100)
- Question
-
Which exposure shall be taken into account for the calculation of the exposure weighted CCF?
- Background on the question
-
In our opinion there are two possibilities to obtain the exposure weighted CCF:
(1) The whole exposures (related to on- and off-balance sheet items) are taken into account. For on-balance sheet items a CCF of 100% is applied even though the application of CCFs is originally intended by CRR only for off-balance sheet items.
(2) Only exposures related to off-balance sheet items are taken into account. In this case it should be taken into consideration that the exposure amount related to the off-balance sheet items is not available in the reporting templates for most of the defined portfolios.
- Submission date
- Final answer
-
For those portfolios which, by definition, comprise both on-balance and off-balance sheet items, the credit conversion factor (CCF) reported in column 100 of template C 102.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) shall refer to all exposures allocated to the respective portfolio, independent from the type of the exposure. In those cases where Regulation (EU) No 575/2013 (CRR) does not envisage the application of a CCF to the certain types of exposures included in such a portfolio, thus in case of on-balance and counterparty credit risk exposures, the CCF used to calculate the average CCF as reported in column 100 of template C 102.00 shall be assumed to be 100%.
The same applies for exposures to counterparties as defined in template C 101.00 of Annex I to the ITS on Supervisory Benchmarking and reported in template C 101.00 of Annex III to the ITS on Supervisory Benchmarking which consist of both off-balance sheet and other exposures.
- 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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.