Question ID
2017_3222
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 IV
Type of submitter
Credit institution
Subject matter
Supervisory Benchmarking - Alternative risk weight
Question

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

Background on the question

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

Submission date
Final publishing date
Final answer

Paragraph 2 of Part I (General Instructions) of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) states that data shall be submitted only for those exposures where an internal model has been approved and is used in the calculation of the RWA. Hence, if for the mentioned exposures no PD or LGD model is available for regulatory purposes, they shall not be reported.

 

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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

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

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.