Question ID
2015_2290
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
Subparagraph
Temmplates 101 - 104
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 and Annex_IV of (Final_Draft_RTS_and_ITS_on_Benchmarking_Exercise)
Type of submitter
Credit institution
Subject matter
A confirmation is required about the rules to fill the EBA Benchmarking templates
Question

Could you confirm whether the following interpretation is correct? Fields of Annex I and the relevant values define the benchmarking portfolios (i.e. the portfolio of analysis identified by the portfolio ID). The same exposure can be included in more than one portfolio_id only in case it is clearly specified in the EBA instructions (i.e. refer to Example 1). For all the other fields the values listed in Annex I have to be considered mutually exclusive (i.e. the same exposure cannot be associated to two different values, with the exception of the 'Not applicable' value). For each portfolio id, Institutions have to fill the information contained in Annex III. These information have to be aggregated in case they are defined at a lower level than the relevant portfolio id (refer to Example 2). According to Annex I (template 103) Rating is not a segmentation criteria (not applicable), but in Annex II (template 103) the internal Rating grade shall be inserted. This would mean that: - is not the portfolio_id unique and an artificial further segmentation would be created? - should the rating grade be dependent on the average PD which was calculated for that portfolio? - is the field 'Rating' indeed required also in Annex I (template 103), i.e. the 'Not applicable' value, indicated in Annex I (template 103) is not significant

Background on the question

Example 1: for the field ‘Collateralisation status’ of templates 102, 103, 104, one cluster for each value (a)-(c) has to be created; the exposure for cluster (a), is the sum of the exposures contained in clusters (a.1) and (a.2) Example 2: with reference to template 103, fields such as PD, LGD, Regulatory approach etc.., have to be aggregated according to the rules specified in EBA RTS

Submission date
Final answer
The benchmarking portfolios are only the ones defined in Annex I of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) and therefore no extra ones should be created based on the different potential combinations of the multi entries fields provided in Annex II. In the future other benchmarking portfolios can indeed be identified in Annex I taking advantage of such additional potential combinations. Regarding the Example 2, the information to be reported for each benchmarking portfolio in Template C 103.00 of Annex III must be consistent with the level of aggregation defined in Template C.103.00 of Annex I. For the interpretation of the "Not Applicable" values see Q&A 2015_2291. 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, which may differ from the text of the draft ITS to which this Q&A relates.
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.