Question ID:
2017_3191
Legal Act:
Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic:
Supervisory reporting
Article:
78
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
Article/Paragraph:
Annex II, C 102, Column 070 & 080
Type of submitter:
Credit institution
Subject Matter:
Supervisory Benchmarking Exercise, Annex II, C 102, columns 070 and 080 Counterparty types
Question:

What counterparty types should be included in the Low Default Portfolio exercise?

Background on the question:

Should Pensions / Hedge Funds / other similar investor types of counterparties be included under the scope of "LDP" portfolios and counterparties? And if so, should we report them in the “Not Applicable” or “Institutions” or “Corporate other” category? Similarly for Column 080, would we report the sector as “Other financial corporations” or “Not Applicable”?

Date of submission:
28/02/2017
Published as Final Q&A:
26/07/2019
EBA Answer:

As a general rule, only exposures covered by an institution’s approved IRB model have to be reported as part of the benchmarking exercise (see Part 1, paragraph 2 of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking).

Having said that, exposures to pensions funds, hedge funds and other similar investor types are expected to be assigned in the same way as they assigned and reported for the purposes of calculating own funds requirements, i.e. usually to the exposure classes ‘exposures to institutions’ or ‘exposures to corporates’ (Article 147 (2) lit. b or c of Regulation (EU) No 575/2013 (CRR)). Consequently, they shall be included in those portfolios of template C 102.00 of Annex I to the ITS on Supervisory Benchmarking which reference these exposure classes.

However, exposures to the mentioned entities which represent ‘equity exposures’ in accordance with Article 147 (2) lit. e CRR are out of scope of the benchmarking exercise, as no portfolios capturing this kind of exposures exist.

The assignment of counterparties to sectors (column 080 of template C 102.00 of Annex I) shall be based on the instructions on c080 of template C 102.00 of Annex I of the ITS on Supervisory Benchmarking, which refer to some of the counterparty sectors, as well as a category (f) not applicable, for which the instructions in Annex V part 1 paragraph 35 of Commission Implementing Regulation (EU) 2016/1702 shall apply. Based on their nature, the mentioned type of entities would usually be characterized as ‘Other financial corporations’.

 

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