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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.