The application portfolios of RWA-/--/+/++ are defined as follows in Annex IV: CORP_ALL_0086_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, MORT_ALL_0094_**_****_**_Rx0. However, in Annex I these portfolios exist with a suffix ALL, ONX, OFF und OTH only. Shall RWA-/--/+/++ be reported for all these portfolios?
Ensure that there is no other interpretation.
The computation of RWA -/--/+/++ is restricted to the total non-defaulted portfolios with ‘type of risk “Credit risk, Counterparty credit risk and free deliveries” covering both on and off balance-sheet exposures, i.e. the collection of the following portfolios:
CORP_ALL_0086_CT_****_**_Rx0_ALL, SMEC_ALL_0106_CT_****_**_Rx0_ALL, SMER_ALL_0106_CT_****_**_Rx0_ALL, MORT_ALL_0094_CT_****_**_Rx0_ALL]
The respective instructions for Annex I to the Draft ITS on Supervisory Reporting , c250, c260, c270, c280 should be amended in the following way:
Institutions shall calculate and report RWA[-/--/+/++] for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total non-defaulted portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: