Question ID
2015_2291
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 101.00, c080 & Annex IV, C 103.00, columns 150, 120
Type of submitter
Credit institution
Subject matter
Clarification for filling the 'Not applicable' value in Annex II and IV
Question

To clarify the meaning of the value 'Not applicable' within Annex II. In some cases the 'Not applicable' value seems to represent a total portfolio (refer to Example 1). In other case, the 'Not applicable' value seems to mean that the driver is not significant for the specific cluster of analysis (refer to Example 2). In other cases, the 'Not Applicable' value seems to be a residual value (refer to Example 3). Summarizing, does the meaning of 'Not applicable' depend, in Annex II, on the considered field or it always represent a total portfolio? For every field of Annex IV, 'Not applicable' shall be used always when none of the answers in the list is correct, therefore does it represent a residual cluster?

Background on the question

Example 1: e.g. for field 080, Template 101, Annex II the 'Not applicable' value includes all the countries Example 2: e.g. for field 150, Template 103, Annex II for portfolios different from Mortgages Example 3: e.g. for field 120, Template 103, Annex II does the 'Not applicable' represent the exposures without collateral, or the total of the collateralized and uncollateralized exposures?

Submission date
Final answer

'Not applicable' in Annexes I and II

The value 'Not applicable' within Annexes I and II of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) always specifies that this driver is not used for segmentation respective clustering. This represents a consistent use of 'Not applicable' in Annexes I and II.

Regarding the abovementioned examples:

Ad example 1:

Template C 101.00 of Annex II includes the information on obligor level for the hypothetical portfolio in Low Default Portfolios. Therefore column 080 (Geographical Area) is always provided. 'Not applicable' is just a default value for column 080.
In Template C 102.00 of Annex II 'Not applicable' has the meaning that all information has to be provided regardless of the country of residence.

Ad example 2:

Again 'Not applicable' has the meaning that all information ignoring 'Indexed Loan to value range' has to be provided in this cluster. These clusters are therefore a higher aggregation of clusters where a breakdown by 'Indexed Loan to value range' is required due to including all LTV ranges.

Ad example 3:

'Not applicable' in column 120, Template C 103.00 of Annex II, must be read in conjunction with the column 080, Template C 103.00 of Annex II. In particular:

  • for the segmentation value 'Exposure with credit protection' in column 080 'Not applicable' in column 120 means all the exposures secured by any credit protection;
  • for the segmentation value 'Exposure without credit protection' in column 080 'Not applicable' in column 120 means all the unsecured exposures;
  • for the segmentation value 'Not applicable' in column 080 'Not applicable' in column 120 means all the secured and unsecured exposures.

 

'Not applicable' in Annexes III and IV

Value 'Not applicable' is just used in two fields in Annexes III and IV, namely columns 030 'Regulatory approach' and 020 'Exposure class'. The meaning of 'Not applicable' is given in a footnote of Annex IV: ''Not applicable' shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly pre-dominant).'

Therefore 'Not applicable' in Annex IV represents a residual value.

 

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.

* As of 21/11/2016, this answer was corrected. 

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.