Interaction between benchmarking and additional capital requirements under Article 458 of CRR

For the benchmarking exercise for credit risk, the ITS templates request banks to report risk parameters (such as PD, LGD) and capital requirements (RWA) for the low and high default portfolio. However for some portfolios in scope of these exercises NCAs can have imposed additional capital requirements for macroprudential or systemic risk at the level of the member state (Article 458 CRR). For instance, in Belgium the NCA has imposed a 5% additional risk weight add-on (for targeting asset bubbles in the residential property sector). These RWAs relate directly to exposure in scope of the benchmarking exercise (in this example HDP template C 103.00), but under supervisory reporting the resulting RWA is not reported in C 08.01 / C 08.02 but in C 02.00 as an OTHER RISK EXPOSURE AMOUNTS (row 1.8.2). It is unclear whether additional capital requirements under Article 458 CRR, when specifically linked to a portfolio in scope of the ITS on benchmarking, should or should not be included in our submission of benchmarking templates.

Interaction between benchmarking ITS templates and additional capital requirements under Article 458 CRR