Single Rulebook Q&A

Question ID: 2016_3069
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for 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.

Date of submission: 21/12/2016
Published as Final Q&A: 26/07/2019
EBA 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: Final Q&A
Permanent link: link