- Question ID
-
2019_4459
- 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 III, C103, column 270
- Type of submitter
-
Credit institution
- Subject matter
-
Clarification of negative RWA--, Annex III, Benchmarking exercise
- Question
-
What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?
- Background on the question
-
When calculation the RWA with a confidence interval, some of the calculated value of RWA-- may be negative. p-- is the smallest negative value which affect the value of RWA--.
- Submission date
- Final answer
-
According to template C 103 of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) – Details on exposures in High Default Portfolio, column 270, “for each obligor grade, p−− shall be the smallest positive value satisfying the equation”.
In this sense, p-- should not be negative and, consequently, the RWA-- should also not be negative.
- 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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.