Question ID
2016_3069
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
Annexes
Type of submitter
Credit institution
Subject matter
Template C 105.01 for 2017 exercise (end 2016 data)
Question

According to the 2017 exercise related to “Low Default Portfolios”, entities shall submit Template C 105.01. Given the specific characteristics of these portfolios (low default), information regarding to “default rate”, “cure rate”, etc. is not used in the estimation. Therefore, estimation is based on external information. Overall, are these fields mandatory to report in Template C 105.01? And if so, which ratios should be included?

Background on the question

The applicability of some fields in the report of Low Default Portfolios in Template C 105.01.

Submission date
Final answer

The data used in the calibration of the model parameters should be used. If no internal data exists and the calibration is based on external data, then the external data should be reported in C105.01 of Annex III of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches.

 

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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.