The EAD to be reported if no IRB exposure exists

In accordance with paragraphs 1 and 2 of Part I of Annex IV to the Draft ITS for the benchmarking exercise 2018 (applicable for the reference date end-2017 data) (Draft ITS on supervisory benchmarking), counterparties shall only be reported in template C 101.00 of Annex III to the Draft ITS on Supervisory Benchmarking, if an actual exposure or a rating exists which is valid to be used in the calculation risk-weighted assets (‘RWA’) and if it the exposure is within the scope of an approved model. This is in line with the instructions on column 110 of template C 101.00, which state that exposure value shall be left blank where the institution has no IRB exposure for a given counterparty. Paragraph 4 of Part I of Annex IV to the Draft ITS on supervisory benchmarking clarifies that, for the purposes of templates C 102.00 and C 103.00 of Annex III to the Draft ITS on Supervisory Benchmarking, in those cases where the portfolio definition includes a reference to a specific rating grade, an EAD of zero (0) shall be reported if no exposure exists for the portfolio at the reporting reference date for this specific rating grade. In contrast to this, where the portfolio definition does not include a reference to a specific rating grade, the portfolio shall not be submitted at all if no exposure exists (see paragraphs 3 and 5 of Part I of Annex IV).   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.