EBA · 2015_2256 Archive

Reporting of different AIRB models in the same benchmarking class (portfolio) - credit risk

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2015-08-25
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

If one of the credit risk portfolios defined in the benchmarking exercise covers two different AIRB models, how it should be presented in the benchmarking templates?

Background

Reporting data on consolidated basis implies necessary presentation of values for distinct AIRB models in the same class (portfolios) (eg. different PD models applied by bank and its subsidiaries). Models are dedicated for different types of business, however they should be reported in one and the same class of exposures (portfolio).

Answer

The reported risk values should be aggregated and presented as exposure weighted figures (compare use of column 110 in the C 103.00 template, as stated in Annex IV of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) and instructions of column 060), as required by provisions referred in Art. 452 (e-ii) of the Regulation (EU) No. 575/2013 (CRR) and also of Annex IV. The reported exposure values should simply be summed. This applies to all IRB banks. 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, which may differ from the text of the draft ITS to which this Q&A relates.

Original source: European Banking Authority, Q&A ID 2015_2256

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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