EBA · 2016_3069 Archive

Template C 105.01 for 2017 exercise (end 2016 data)

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2016-12-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

According to the 2017 exercise related to “Low Default Portfolios”, entities shall submit Template C 105.01. Given the specific characteristics of these portfolios (low default), information regarding to “default rate”, “cure rate”, etc. is not used in the estimation. Therefore, estimation is based on external information. Overall, are these fields mandatory to report in Template C 105.01? And if so, which ratios should be included?

Background

The applicability of some fields in the report of Low Default Portfolios in Template C 105.01.

Answer

The data used in the calibration of the model parameters should be used. If no internal data exists and the calibration is based on external data, then the external data should be reported in C105.01 of Annex III of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches.   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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.

Original source: European Banking Authority, Q&A ID 2016_3069

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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