Specialised lending for the ‘Low Default portfolios’ Supervisory Benchmarking Exercise 2017

Annex I and II to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on Supervisory Benchmarking) for the 2017-benchmarking exercise are inconsistent with regard to specialised lending exposures. On one hand, Annex I to the ITS on Supervisory Benchmarking defines portfolios which include specialised lending exposures. On the other hand, the instructions on column 070 of template C 102.00 of Annex I to the ITS on Supervisory Benchmarking as provided in Annex II thereto list the (sub)exposure class ‘Corporate – Other’, what, due to the reference to paragraph 78 of Annex II to Regulation (EU) No 680/2014 (corresponding to paragraph 77 of Annex II to Regulation (EU) No 680/2014 as amended by Regulation (EU) No 2016/1702) may be read as excluding specialised lending exposures. Against the background of this inconsistency, specialised lending exposures shall not be included in the low default corporate portfolios of the 2017-exercise, whether treated according to the slotting criteria approach or otherwise. Consequently, none of the portfolios where the regulatory approach is defined as ‘specialized lending slotting criteria’ has to be reported in template C 102.00 of Annex III to the ITS on Supervisory Benchmarking. In the same vein, portfolios where the regulatory approach is defined as ‘advanced IRB approach’ or ‘foundation IRB approach’ shall be reported, but shall not contain any specialised lending exposures. Analogously, specialised lending exposures shall be excluded from the exposures to the low default portfolio counterparties defined in template C 101.00 of Annex I to the ITS on Supervisory Benchmarking and reported in template C 101.00 thereof. The inconsistency in the ITS on Supervisory Benchmarking will be eliminated in the future and specialised lending exposures included in the scope of the benchmarking exercise. 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.