Identification of exposures treated under Standard approach

Question

The part of transactions which is secured by guarantees could be moved to the permanent partial use, i.e. standard approach. RTS, page 34, point 10, states that: 1e [ 26] As a result, the benchmarking exercise should only relate to validated internal approaches. Institutions should not provide data for those portfolios which include instruments or risk factors that are reported under the standardized rules. 1d What exactly is meant with 1cportfolio 1d? Shall only be a part of the transaction be excluded (part which is STC), shall the customer be excluded or the portfolio of which the transaction/partner is part of?

European Banking Authority · Accepted Answer

Annex IV of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) specifies the exposures that should be included in templates C 101.00, C 102.00, C 103.00 and C 104.00 by a reference to column c020 of Template C 08.01, Annex I of Regulation (EU) No 680/2014 – ITS on Supervisory Reporting of institutions (ITS on reporting).   Annex II of ITS on reporting defines in 3.3.1 (paragraph 74): “ The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).”   Therefore the part of the transaction treated under the Standardised Approach for credit risk has to be excluded.   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.

Identification of exposures treated under Standard approach

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