Question ID
2017_3127
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex II, C 102.00, c070
Type of submitter
Credit institution
Subject matter
Specialised lending for the ‘Low Default portfolios’ Supervisory Benchmarking Exercise 2017
Question

According to the instructions related to the Supervisory Benchmarking Exercise 2017 for ‘Low Default portfolios’, we are supposed to report portfolios assigned to one of the following exposure classes:

(a) Central governments and central banks

(b) Institutions

(c) Corporates – Other

(d) Not applicable

The legal reference for this column is the Paragraph 78 of Annex 2 of Commission Implementing Regulation (EU) No 680/2014. This paragraph 78 defines clearly the different exposure classes and particularly distinguishes ‘Corporate – Other’ and ‘Corporate - Specialised lending’ according to article 147 of the regulation (EU) No 575/2013. Thus, we understand that the ‘Specialised lending’ is not to be reported for the ‘Low Default portfolios’ Supervisory Benchmarking Exercise 2017. Please confirm our understanding regarding ‘Specialised lending’.

Background on the question

Ensure that there is no other interpretation.

Submission date
Final answer

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.

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.