EBA · 2015_2402 Archive

Assignment of Mortgage Exposures to Portfolio IDs

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2015-10-15
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Please clarify to what Portfolio ID(s) shall be assigned a non-defaulted mortgage exposure with a real estate collateral and a LTV of 70%. Shall it be included in "Mortgages Non-defaulted funded Credit Risk Mitigation (e.g. collaterals)" or in "Mortgages Non-defaulted ILTV >50%,<=75%" ? Or in both portfolios?

Background

In Annex I, table C.103 there are 2 portfolio IDs where a non-defaulted mortgage exposure with a real estate collateral and a LTV of 70% could be included. These are "Mortgages Non-defaulted funded Credit Risk Mitigation (e.g. collaterals)" and "Mortgages Non-defaulted ILTV >50%,<=75%". It is unclear to us if we should include the mentioned exposure in both portfolios or in just one of them. In the latter case, it is unclear to which portfolio ID it shall be assigned.

Answer

The portfolio IDs in template C 103.00 of Annex I of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) are not mutually exclusive. Exposures can be reported in more than one portfolio ID. 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_2402

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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