EBA · 2019_4459 Archive

Clarification of negative RWA--, Annex III, Benchmarking exercise

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2019-01-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?

Background

When calculation the RWA with a confidence interval, some of the calculated value of RWA-- may be negative. p-- is the smallest negative value which affect the value of RWA--.

Answer

According to template C 103 of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) – Details on exposures in High Default Portfolio, column 270, “for each obligor grade, p−− shall be the smallest positive value satisfying the equation”. In this sense, p-- should not be negative and, consequently, the RWA-- should also not be negative.

Original source: European Banking Authority, Q&A ID 2019_4459

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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