Question ID
2018_4291
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, C103, c230-c240
Name of institution / submitter
BaFin
Country of incorporation / residence
Germany
Type of submitter
Competent authority
Subject matter
Definition of RWA* and RWA**
Question

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?

Background on the question

Ensure that there is no other interpretation.

Submission date
Final answer

The computation of RWA -/--/+/++ is restricted to the total non-defaulted portfolios with ‘type of risk “Credit risk, Counterparty credit risk and free deliveries”  covering both on and off balance-sheet exposures, i.e. the collection of the following portfolios:

CORP_ALL_0086_CT_****_**_Rx0_ALL, SMEC_ALL_0106_CT_****_**_Rx0_ALL, SMER_ALL_0106_CT_****_**_Rx0_ALL, MORT_ALL_0094_CT_****_**_Rx0_ALL]

The respective instructions for Annex I to the Draft ITS on Supervisory Reporting , c250, c260, c270, c280 should be amended in the following way:

Institutions shall calculate and report RWA[-/--/+/++] for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total non-defaulted portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively:

 

CORP_ALL_0086_ CT_****_**_Rx0_ALL

SMEC_ALL_0106_ CT_****_**_Rx0_ALL

SMER_ALL_0106_ CT_****_**_Rx0_ALL

MORT_ALL_0094_ CT_****_**_Rx0_ALL

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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.