EBA · 2017_3222 Final Q&A

Supervisory Benchmarking - Alternative risk weight

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2017-03-10
Answered
2019-07-26
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

Background

How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.

Answer

Paragraph 2 of Part I (General Instructions) of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) states that data shall be submitted only for those exposures where an internal model has been approved and is used in the calculation of the RWA. Hence, if for the mentioned exposures no PD or LGD model is available for regulatory purposes, they shall not be reported.   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 2017_3222

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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