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